Study: Buy GODFRYPHLP when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy GODFRYPHLP when there is Bullish Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy GODFRYPHLP at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. sell after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
164782.661908110942.635301.3235294.12-3345.18-18803.421.581.180.011340.96
21317331907811241.058437.8549911.92-4700.17-15895.971.81.250.015693.33
33226831908510544.7411647.896550.21-6356-23671.811.831.480.0251698.33
44778331908810246.3213839.5471432.77-7255.35-28748.21.911.650.0332514.91
5697001190939748.9516004.2391077.44-8158.68-41948.881.961.880.043668.43
6704461190949649.4716629.192742.24-8944.53-25762.881.861.820.043707.69
77099281908910146.8418244.9186579.43-9048.21-45868.672.021.780.0383736.46
87149821908810246.3219124.84109525-9490.23-48272.352.021.740.0373763.06
9640777190929848.4218355.62102258-10693.27-50693.411.721.610.0333372.51
105856781908710345.7919523.64105295-10804.64-50188.261.811.530.0293082.52
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
atrtrail-15.224934442197814135.6217947.0781777.38-6428.56-16209.12.791.540.0282253.17
atrtrail34.52423362268214436.2814293.0738036.55-6456.22-16209.12.211.260.0191072.28
atrnil25.052131072328714537.515611.7429225.05-7897.34-16209.11.981.190.016918.56
atrtrail24.031694212358914637.8712510.8825357.7-6466.08-16209.11.931.180.014720.94
atrnil37.311886962146115328.523106.8438036.55-7979.22-16209.12.91.150.012881.76

In the table above, row 1 shows the best exit criterion. Profit factor is 1.54. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 35.62%, which is not acceptable. Avoid this strategy. Average return per trade is 1.13%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GODFRYPHLP Performance, Profit Factor:1.54

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019408 Jan 2019 (4.95%), 25 Feb 2019 (-3.42%), 26 Feb 2019 (4.37%), 28 May 2019 (-3.66%)
2018820 Feb 2018 (0.8%), 13 Mar 2018 (0.34%), 02 Apr 2018 (3.56%), 11 Jun 2018 (-3.81%), 23 Jul 2018 (3.44%), 30 Aug 2018 (-3.1%), 07 Sep 2018 (-3.62%), 16 Oct 2018 (10.05%)
20171208 Feb 2017 (-3.88%), 14 Mar 2017 (16.77%), 25 Apr 2017 (-4.01%), 26 Apr 2017 (-0.88%), 05 Jun 2017 (-1.78%), 03 Jul 2017 (-3.62%), 18 Aug 2017 (-5.48%), 05 Oct 2017 (-1.67%), 30 Oct 2017 (-0.78%), 10 Nov 2017 (-2.8%), 15 Dec 2017 (-2.62%), 18 Dec 2017 (-2.3%)
2016801 Feb 2016 (-7.23%), 22 Feb 2016 (-6.74%), 12 Apr 2016 (-2.91%), 17 May 2016 (-4.88%), 28 Jun 2016 (-3.65%), 29 Jun 2016 (31.57%), 02 Sep 2016 (7.93%), 14 Oct 2016 (2.64%)
20151029 Jan 2015 (-2.84%), 04 Mar 2015 (-4.41%), 06 Apr 2015 (13.1%), 12 May 2015 (-2.79%), 01 Jun 2015 (-3.59%), 22 Jun 2015 (-3.73%), 03 Jul 2015 (17.41%), 18 Sep 2015 (-4.34%), 14 Oct 2015 (40.89%), 16 Nov 2015 (4.81%)
20141001 Jan 2014 (-3.81%), 23 Jan 2014 (-3.2%), 04 Feb 2014 (33.38%), 03 Apr 2014 (3.59%), 22 May 2014 (-4.11%), 01 Jul 2014 (0.28%), 21 Jul 2014 (3.46%), 03 Sep 2014 (10.53%), 28 Oct 2014 (6.93%), 31 Dec 2014 (-3.14%)
20131007 Mar 2013 (-3.1%), 08 Mar 2013 (-1.84%), 30 Apr 2013 (35.05%), 24 Jun 2013 (-4.27%), 29 Jul 2013 (1.97%), 23 Aug 2013 (-4.32%), 02 Sep 2013 (-3.38%), 09 Oct 2013 (-0.73%), 01 Nov 2013 (-1.48%), 27 Nov 2013 (-3.5%)
2012613 Mar 2012 (-1.45%), 14 Jun 2012 (2.94%), 13 Aug 2012 (-2.06%), 14 Sep 2012 (5.96%), 22 Oct 2012 (-3.2%), 30 Nov 2012 (4.97%)
20111103 Jan 2011 (-0.42%), 21 Feb 2011 (3.64%), 30 Mar 2011 (-0.99%), 21 Apr 2011 (3.24%), 30 May 2011 (-1.29%), 18 Jul 2011 (-4.61%), 06 Sep 2011 (-2.74%), 21 Sep 2011 (-3.99%), 14 Oct 2011 (-1.65%), 05 Dec 2011 (-4.04%), 28 Dec 2011 (-4.95%)
20101120 Jan 2010 (-2.57%), 27 May 2010 (-1.94%), 14 Jun 2010 (-2.36%), 23 Jun 2010 (-1.91%), 08 Jul 2010 (2.67%), 24 Aug 2010 (-2.47%), 02 Sep 2010 (-2.24%), 16 Sep 2010 (-0.77%), 01 Nov 2010 (10.03%), 06 Dec 2010 (-4.73%), 31 Dec 2010 (-3.05%)
2009829 Jan 2009 (-3.92%), 18 Feb 2009 (-5.41%), 19 Mar 2009 (15.07%), 20 May 2009 (19.88%), 07 Jul 2009 (24.91%), 15 Sep 2009 (0.68%), 23 Nov 2009 (-3.62%), 14 Dec 2009 (8.19%)
2008601 Jan 2008 (19.99%), 19 Feb 2008 (-5.49%), 10 Jun 2008 (-2.24%), 11 Jul 2008 (-3.45%), 28 Oct 2008 (-8.1%), 02 Dec 2008 (-2.65%)
2007829 Jan 2007 (-2.87%), 19 Mar 2007 (1.79%), 14 Aug 2007 (-3.64%), 16 Aug 2007 (-0.69%), 31 Oct 2007 (-5.42%), 01 Nov 2007 (-6.51%), 16 Nov 2007 (5.53%), 31 Dec 2007 (-3.89%)
2006728 Mar 2006 (5.19%), 20 Jun 2006 (3.36%), 04 Aug 2006 (-2.74%), 03 Oct 2006 (2.02%), 07 Nov 2006 (-4.07%), 08 Nov 2006 (-4.5%), 28 Nov 2006 (28.37%)
20051103 Jan 2005 (0.95%), 20 Jan 2005 (2.85%), 04 Mar 2005 (-3.3%), 07 Mar 2005 (3.41%), 27 May 2005 (-3.09%), 30 May 2005 (0.02%), 27 Jun 2005 (-3.16%), 11 Jul 2005 (-2.89%), 25 Jul 2005 (-1.08%), 08 Nov 2005 (2.99%), 26 Nov 2005 (-3.47%)
2004913 Jan 2004 (-1.41%), 26 Feb 2004 (-3.42%), 30 Mar 2004 (6.59%), 09 Jun 2004 (-1.25%), 16 Aug 2004 (10.37%), 29 Oct 2004 (-1.71%), 17 Nov 2004 (4.06%), 22 Dec 2004 (-2.1%), 31 Dec 2004 (-3.48%)
2003928 Feb 2003 (-0.94%), 07 Apr 2003 (-2.52%), 17 Apr 2003 (-2.76%), 21 Apr 2003 (0.83%), 09 Jun 2003 (-3.03%), 23 Jun 2003 (2.85%), 07 Aug 2003 (11.17%), 09 Oct 2003 (-3.21%), 27 Nov 2003 (9.41%)
20021408 Feb 2002 (-3.74%), 22 Feb 2002 (-1.4%), 14 Mar 2002 (-4.0%), 18 Apr 2002 (-3.54%), 06 May 2002 (4.02%), 24 May 2002 (-3.8%), 27 Jun 2002 (-0.37%), 06 Aug 2002 (-3.88%), 23 Aug 2002 (-3.75%), 03 Sep 2002 (-3.44%), 01 Oct 2002 (-3.6%), 09 Oct 2002 (4.68%), 26 Nov 2002 (-4.85%), 09 Dec 2002 (-3.49%)
2001715 Mar 2001 (-6.59%), 29 Jun 2001 (1.28%), 24 Aug 2001 (-4.8%), 10 Sep 2001 (-1.51%), 24 Sep 2001 (-5.75%), 10 Oct 2001 (0.09%), 06 Dec 2001 (4.19%)
2000907 Jan 2000 (-2.29%), 17 Feb 2000 (2.37%), 05 Apr 2000 (-0.2%), 08 May 2000 (-6.34%), 25 May 2000 (16.22%), 18 Sep 2000 (-4.38%), 04 Oct 2000 (-5.68%), 16 Oct 2000 (-6.15%), 29 Nov 2000 (11.09%)
1999722 Jan 1999 (11.05%), 04 May 1999 (10.43%), 02 Jul 1999 (39.62%), 31 Aug 1999 (26.31%), 27 Oct 1999 (-3.67%), 19 Nov 1999 (-0.58%), 13 Dec 1999 (-5.53%)
19981218 Feb 1998 (-3.56%), 19 Feb 1998 (15.54%), 22 Apr 1998 (-5.31%), 20 May 1998 (-0.76%), 26 Jun 1998 (3.56%), 09 Sep 1998 (-2.71%), 11 Nov 1998 (-2.69%), 30 Nov 1998 (-2.96%), 01 Dec 1998 (-1.76%), 16 Dec 1998 (-2.79%), 17 Dec 1998 (1.57%), 31 Dec 1998 (-3.1%)
1997901 Mar 1997 (0.77%), 11 Apr 1997 (-2.8%), 24 Apr 1997 (-2.77%), 28 Apr 1997 (-0.8%), 17 Jun 1997 (-1.89%), 30 Jun 1997 (22.23%), 09 Sep 1997 (-4.25%), 10 Sep 1997 (-4.53%), 03 Dec 1997 (-2.88%)
1996902 Feb 1996 (12.7%), 03 Apr 1996 (-0.27%), 17 May 1996 (-3.16%), 07 Jun 1996 (8.79%), 22 Jul 1996 (-2.73%), 28 Aug 1996 (-3.84%), 09 Oct 1996 (0.17%), 26 Nov 1996 (0.79%), 12 Dec 1996 (-3.35%)
1995417 May 1995 (2.76%), 17 Jul 1995 (0.23%), 27 Sep 1995 (17.73%), 12 Dec 1995 (-4.13%)



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