Study: Buy GRASIM when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy GRASIM 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 GRASIM 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
11639101951059053.854099.7324020.18-2961.8-14267.41.381.610.034840.56
21506801949310147.946622.0733304.4-4605.66-20652.31.441.320.02776.7
3203762194959948.977428.0351610.17-5069.71-28274.61.471.410.0221050.32
42716821941049053.617864.4871779.66-6069.16-25380.461.31.50.0251400.42
53824041941088655.679071.0478813.56-6944.98-24468.091.311.640.0331971.15
63534321941068854.649891.4671101.69-7898.45-33674.631.251.510.0291821.81
74409101941078755.1511269.6392796.61-8792.41-33054.091.281.580.0322272.73
83298871941049053.6111332.19116271-9429.56-43863.521.21.390.0221700.45
94118461941019352.0612960.6492881.36-9647.08-56283.751.341.460.0272122.92
105298391941078755.1513139.3192711.86-10069.73-60039.271.31.60.0332731.13
Although, strategy looks good but profit factor on day 2 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
atrnil38.183981932196915031.5120750.2753419.05-6890.51-20459.193.011.390.0261818.23
atrnil25.993103052268913739.3813966.7235612.7-6808.27-20459.192.051.330.0251373.03
atrtrail-15.542316842268813838.941080098998.99-5208.09-20459.192.071.320.0171025.15
atrtrail34.932167692278913839.2110511.0741481.33-5208.09-20459.192.021.30.019954.93
atrtrail24.221946682309014039.1310337.3333536.29-5254.94-20459.191.971.260.019846.38

In the table above, row 1 shows the best exit criterion. Profit factor is 1.39. 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 31.51%, which is not acceptable. Avoid this strategy. Average return per trade is 0.91%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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.
GRASIM Performance, Profit Factor:1.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019808 Jan 2019 (-2.68%), 13 Feb 2019 (-3.27%), 29 Mar 2019 (-2.43%), 16 Apr 2019 (-2.2%), 18 Apr 2019 (6.91%), 24 May 2019 (-3.28%), 26 Jun 2019 (-2.8%), 26 Aug 2019 (-4.48%)
20181122 Feb 2018 (-3.33%), 05 Apr 2018 (-3.11%), 17 Apr 2018 (-2.57%), 11 Jun 2018 (-2.81%), 26 Jun 2018 (-2.42%), 24 Jul 2018 (-2.9%), 25 Jul 2018 (8.99%), 18 Sep 2018 (-2.77%), 01 Nov 2018 (-4.06%), 14 Dec 2018 (-3.16%), 31 Dec 2018 (-2.84%)
2017820 Mar 2017 (8.02%), 20 Apr 2017 (-2.59%), 02 Jun 2017 (-2.63%), 21 Jun 2017 (6.72%), 07 Aug 2017 (-3.21%), 14 Aug 2017 (10.4%), 23 Oct 2017 (7.89%), 18 Dec 2017 (8.43%)
2016804 Feb 2016 (-2.37%), 02 Mar 2016 (7.7%), 12 May 2016 (-1.97%), 13 May 2016 (6.01%), 02 Aug 2016 (5.19%), 06 Sep 2016 (8.55%), 29 Nov 2016 (-3.32%), 29 Dec 2016 (8.03%)
2015803 Mar 2015 (-2.81%), 04 Mar 2015 (-2.96%), 01 Apr 2015 (-2.65%), 18 May 2015 (-2.4%), 04 Aug 2015 (-1.94%), 10 Sep 2015 (7.77%), 26 Nov 2015 (-1.75%), 31 Dec 2015 (-1.59%)
20141027 Jan 2014 (-1.91%), 11 Feb 2014 (-1.92%), 24 Feb 2014 (6.44%), 12 May 2014 (7.89%), 22 Jul 2014 (-2.75%), 11 Aug 2014 (7.81%), 22 Sep 2014 (-2.24%), 29 Oct 2014 (-2.41%), 23 Dec 2014 (-2.16%), 24 Dec 2014 (6.96%)
20131001 Jan 2013 (-1.75%), 31 Jan 2013 (-2.27%), 06 Mar 2013 (-2.36%), 15 Apr 2013 (6.72%), 21 Jun 2013 (-2.41%), 24 Jun 2013 (-2.44%), 30 Aug 2013 (-3.78%), 31 Oct 2013 (-2.85%), 02 Dec 2013 (-2.52%), 24 Dec 2013 (-2.54%)
2012617 Apr 2012 (-2.45%), 06 Jun 2012 (9.26%), 30 Jul 2012 (6.9%), 14 Sep 2012 (5.02%), 30 Nov 2012 (-2.09%), 20 Dec 2012 (-1.94%)
20111013 Jan 2011 (-2.97%), 16 Feb 2011 (-3.0%), 03 Mar 2011 (7.98%), 31 May 2011 (-2.66%), 30 Jun 2011 (-2.63%), 24 Aug 2011 (-2.75%), 12 Oct 2011 (-3.07%), 25 Oct 2011 (-2.92%), 02 Dec 2011 (-3.11%), 22 Dec 2011 (9.29%)
2010715 Feb 2010 (-3.11%), 03 Mar 2010 (7.99%), 11 Jun 2010 (13.2%), 03 Sep 2010 (7.33%), 03 Nov 2010 (-2.34%), 02 Dec 2010 (-2.79%), 30 Dec 2010 (6.49%)
20091004 Feb 2009 (15.94%), 13 Mar 2009 (14.14%), 23 Apr 2009 (13.63%), 18 May 2009 (-4.63%), 03 Jun 2009 (15.23%), 31 Aug 2009 (-3.43%), 07 Sep 2009 (-3.05%), 17 Sep 2009 (-2.96%), 05 Nov 2009 (11.65%), 31 Dec 2009 (7.11%)
2008901 Jan 2008 (-3.45%), 04 Feb 2008 (-6.48%), 14 Feb 2008 (-6.05%), 28 Mar 2008 (-4.86%), 09 Apr 2008 (-4.92%), 21 May 2008 (-4.01%), 16 Jul 2008 (15.64%), 09 Sep 2008 (-3.79%), 04 Nov 2008 (-10.23%)
2007719 Mar 2007 (17.73%), 20 Jun 2007 (8.43%), 30 Aug 2007 (11.29%), 11 Oct 2007 (-3.65%), 19 Nov 2007 (-4.36%), 20 Nov 2007 (-4.58%), 30 Nov 2007 (-4.19%)
20061019 Jan 2006 (10.12%), 28 Feb 2006 (10.11%), 03 Apr 2006 (8.47%), 02 May 2006 (-4.53%), 15 Jun 2006 (26.71%), 14 Sep 2006 (7.21%), 12 Oct 2006 (-2.48%), 30 Oct 2006 (-2.36%), 30 Nov 2006 (-2.11%), 26 Dec 2006 (-3.44%)
2005931 Jan 2005 (-2.9%), 13 Apr 2005 (-2.72%), 20 Apr 2005 (-3.34%), 12 May 2005 (-2.48%), 09 Jun 2005 (-1.99%), 11 Jul 2005 (-2.61%), 12 Jul 2005 (8.25%), 14 Sep 2005 (-2.81%), 02 Nov 2005 (12.19%)
2004917 Feb 2004 (-4.68%), 05 Mar 2004 (-4.48%), 31 Mar 2004 (-4.33%), 02 Jun 2004 (-7.62%), 08 Jun 2004 (-7.12%), 28 Jun 2004 (16.28%), 05 Nov 2004 (-2.72%), 24 Nov 2004 (-2.51%), 30 Nov 2004 (8.08%)
20031012 Feb 2003 (-2.9%), 04 Apr 2003 (-2.75%), 07 Apr 2003 (-2.96%), 11 Apr 2003 (8.97%), 20 May 2003 (-2.71%), 18 Jun 2003 (10.23%), 31 Jul 2003 (12.3%), 29 Sep 2003 (12.45%), 29 Oct 2003 (13.83%), 15 Dec 2003 (-3.54%)
20021307 Jan 2002 (-4.18%), 01 Feb 2002 (-2.96%), 10 Apr 2002 (-2.53%), 24 Apr 2002 (-1.99%), 02 May 2002 (-2.32%), 03 May 2002 (-2.34%), 12 Jun 2002 (-2.72%), 01 Jul 2002 (-2.28%), 20 Aug 2002 (-2.48%), 28 Oct 2002 (-2.48%), 01 Nov 2002 (-2.9%), 10 Dec 2002 (-2.98%), 26 Dec 2002 (9.05%)
20011003 Jan 2001 (-4.51%), 09 Apr 2001 (-6.84%), 18 May 2001 (-5.45%), 10 Jul 2001 (-3.52%), 07 Aug 2001 (-3.49%), 16 Aug 2001 (-3.25%), 19 Sep 2001 (-4.66%), 20 Sep 2001 (-5.05%), 28 Sep 2001 (-5.08%), 28 Nov 2001 (-3.79%)
2000709 Feb 2000 (-6.05%), 02 Mar 2000 (-7.3%), 31 Mar 2000 (21.31%), 25 May 2000 (-8.38%), 03 Aug 2000 (-6.24%), 28 Aug 2000 (-5.35%), 19 Oct 2000 (19.16%)
19991018 Feb 1999 (-5.5%), 04 May 1999 (20.74%), 07 Jun 1999 (18.76%), 07 Jul 1999 (14.91%), 13 Aug 1999 (18.65%), 17 Sep 1999 (-5.51%), 20 Sep 1999 (-5.76%), 11 Oct 1999 (-5.86%), 17 Dec 1999 (-5.57%), 20 Dec 1999 (-6.09%)
1998723 Feb 1998 (-2.89%), 18 Jun 1998 (-5.54%), 26 Jun 1998 (-4.97%), 14 Aug 1998 (-4.77%), 04 Sep 1998 (-5.53%), 26 Oct 1998 (-6.14%), 08 Dec 1998 (13.7%)
19971019 Feb 1997 (8.96%), 15 Apr 1997 (-2.79%), 12 Jun 1997 (5.03%), 26 Jun 1997 (-1.72%), 04 Aug 1997 (-2.19%), 05 Aug 1997 (-2.42%), 10 Oct 1997 (-2.01%), 13 Oct 1997 (-2.2%), 11 Nov 1997 (-2.58%), 19 Nov 1997 (8.23%)
1996702 Feb 1996 (7.99%), 12 Feb 1996 (9.64%), 08 Apr 1996 (-2.91%), 31 May 1996 (6.12%), 23 Aug 1996 (-2.69%), 11 Oct 1996 (-3.38%), 09 Dec 1996 (8.86%)
1995505 May 1995 (6.44%), 17 Jul 1995 (4.84%), 17 Oct 1995 (-1.18%), 31 Oct 1995 (-1.29%), 01 Dec 1995 (7.61%)



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