Study: Buy GSFC when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy GSFC 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 GSFC 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
1259929183948951.376219.940000-3648.78-15803.811.71.80.0391420.38
2249089183939050.827973.3755000-5471.49-17441.861.461.510.0281361.14
3281580183859846.4510861.6344015.44-6547.54-22868.221.661.440.0271538.69
4405404183879647.5412674.2759459.46-7263.1-29515.941.751.580.0332215.32
5483455183909349.1813611.9780000-7974.43-26839.831.711.650.0352641.83
6525647183939050.8214033.83110420-8661.1-28941.941.621.670.0352872.39
7416272183899448.6315292.9979884.23-10051.1-29894.741.521.440.0282274.71
8475666183968752.4615251.481910.27-11361.7-49454.551.341.480.032599.27
96233401831018255.1916484.9293198.26-12702.89-52363.641.31.60.0363406.23
10572616183929150.2718483.8993921.85-12394.53-42322.431.491.510.0323129.05

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.8. 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 51.37%, which is not acceptable. Avoid this strategy. Average return per trade is 0.71%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, which is low, don't trade solely on the basis of this study.

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-15.491.16081e+062027512737.1328333.27918930-7592.02-17400.393.732.20.0185746.58
nilnil-11259929183948951.376219.940000-3648.78-15803.811.71.80.0391420.38
atrnil37.5471994200661343327143.0257773.04-9846.61-21763.692.761.360.0272359.97
atrnil25.163872282108612440.9518551.0743527.37-9743.26-20173.61.91.320.0261843.94
atrtrail34.682283322067513136.4116340.5957773.04-7612.31-17400.392.151.230.0161108.41
atrtrail23.922246922138113238.0315150.8938515.36-7594.93-17400.391.991.220.0181054.89

In the table above, row 1 shows the best exit criterion. Profit factor is 2.2. 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 37.13%, which is not acceptable. Avoid this strategy. Average return per trade is 2.87%, which is very good. Sharpe Ratio is 0.018, 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.
GSFC Performance, Profit Factor:2.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019329 Mar 2019 (-0.98%), 11 Apr 2019 (-2.43%), 20 May 2019 (6.92%)
20181026 Feb 2018 (-4.55%), 13 Mar 2018 (-1.95%), 03 Apr 2018 (4.3%), 08 Jun 2018 (-1.99%), 09 Jul 2018 (0.01%), 24 Jul 2018 (4.07%), 21 Aug 2018 (1.51%), 15 Oct 2018 (-3.35%), 12 Dec 2018 (-0.52%), 31 Dec 2018 (-3.02%)
20171220 Feb 2017 (-3.46%), 16 Mar 2017 (-1.47%), 03 Apr 2017 (-3.42%), 27 Apr 2017 (10.79%), 05 Jun 2017 (-4.49%), 05 Jul 2017 (-2.29%), 18 Aug 2017 (-4.59%), 09 Oct 2017 (-0.82%), 29 Nov 2017 (-3.47%), 12 Dec 2017 (-3.17%), 15 Dec 2017 (-3.31%), 18 Dec 2017 (4.87%)
2016823 Feb 2016 (3.24%), 14 Jun 2016 (-3.36%), 30 Jun 2016 (-3.44%), 22 Sep 2016 (-3.2%), 03 Oct 2016 (5.04%), 01 Nov 2016 (-4.4%), 02 Nov 2016 (-4.82%), 30 Nov 2016 (2.55%)
20151024 Feb 2015 (-4.53%), 12 Mar 2015 (-2.55%), 31 Mar 2015 (2.36%), 13 May 2015 (-2.5%), 10 Aug 2015 (-4.01%), 14 Sep 2015 (-4.14%), 26 Oct 2015 (-3.31%), 27 Oct 2015 (-1.38%), 23 Nov 2015 (1.52%), 28 Dec 2015 (14.3%)
2014914 Feb 2014 (2.31%), 07 Mar 2014 (14.9%), 10 Apr 2014 (-0.64%), 23 Apr 2014 (-4.26%), 13 May 2014 (17.64%), 01 Jul 2014 (-3.63%), 05 Sep 2014 (-4.3%), 08 Sep 2014 (42.0%), 22 Dec 2014 (-0.98%)
2013921 Jan 2013 (-3.42%), 14 Feb 2013 (-1.85%), 08 Mar 2013 (-0.87%), 04 Apr 2013 (-4.06%), 17 Apr 2013 (-2.91%), 08 May 2013 (-4.21%), 10 Jun 2013 (-3.12%), 30 Aug 2013 (-5.47%), 28 Oct 2013 (6.86%)
2012705 Jan 2012 (13.89%), 09 Mar 2012 (-0.25%), 02 Apr 2012 (-3.47%), 30 May 2012 (-0.28%), 29 Jun 2012 (-2.73%), 02 Aug 2012 (3.7%), 30 Aug 2012 (459.46%)
2011901 Feb 2011 (-3.08%), 16 Feb 2011 (0.03%), 04 Apr 2011 (1.07%), 28 Apr 2011 (-3.42%), 02 Jun 2011 (-4.19%), 15 Jun 2011 (-3.44%), 27 Jun 2011 (0.13%), 02 Sep 2011 (5.45%), 25 Oct 2011 (5.1%)
2010611 Mar 2010 (-3.71%), 10 Jun 2010 (-3.09%), 28 Jun 2010 (11.33%), 07 Sep 2010 (-0.93%), 06 Oct 2010 (6.52%), 16 Dec 2010 (3.06%)
20091129 Jan 2009 (-6.03%), 17 Mar 2009 (20.87%), 04 May 2009 (-3.18%), 18 May 2009 (-5.33%), 19 May 2009 (33.79%), 24 Jul 2009 (-4.32%), 25 Aug 2009 (20.02%), 29 Sep 2009 (-2.16%), 14 Oct 2009 (3.81%), 02 Dec 2009 (-2.34%), 24 Dec 2009 (13.02%)
2008718 Feb 2008 (5.54%), 02 Apr 2008 (18.1%), 29 May 2008 (-5.1%), 13 Jun 2008 (1.82%), 11 Jul 2008 (-6.32%), 01 Sep 2008 (-2.12%), 27 Oct 2008 (4.98%)
20071008 Feb 2007 (1.6%), 29 Mar 2007 (-3.05%), 18 May 2007 (3.49%), 02 Jul 2007 (-3.17%), 12 Jul 2007 (8.21%), 03 Sep 2007 (-3.49%), 28 Sep 2007 (-2.17%), 24 Oct 2007 (-3.43%), 14 Dec 2007 (-5.94%), 26 Dec 2007 (9.39%)
2006716 Jan 2006 (7.38%), 27 Feb 2006 (-4.77%), 03 Apr 2006 (2.51%), 22 Jun 2006 (-7.1%), 01 Aug 2006 (-5.17%), 09 Oct 2006 (-3.51%), 29 Dec 2006 (8.27%)
2005903 Jan 2005 (-3.2%), 28 Jan 2005 (11.69%), 05 Apr 2005 (-4.92%), 22 Apr 2005 (-3.17%), 09 May 2005 (4.14%), 08 Jul 2005 (4.05%), 16 Aug 2005 (-0.86%), 29 Sep 2005 (0.89%), 07 Nov 2005 (2.11%)
20041102 Jan 2004 (-6.16%), 05 Jan 2004 (-6.73%), 09 Jan 2004 (-7.47%), 01 Mar 2004 (9.47%), 29 Mar 2004 (4.5%), 10 Jun 2004 (-8.35%), 30 Aug 2004 (2.98%), 27 Sep 2004 (-5.47%), 05 Oct 2004 (-2.9%), 02 Nov 2004 (-3.03%), 13 Dec 2004 (-0.73%)
20031004 Feb 2003 (-6.63%), 20 Feb 2003 (-5.81%), 02 May 2003 (0.21%), 09 Jun 2003 (-5.02%), 04 Jul 2003 (-1.89%), 08 Aug 2003 (9.76%), 03 Sep 2003 (-5.1%), 06 Oct 2003 (1.34%), 07 Nov 2003 (13.09%), 22 Dec 2003 (-5.55%)
2002715 Jan 2002 (-5.74%), 29 Jan 2002 (-6.02%), 21 Mar 2002 (18.76%), 27 May 2002 (-6.67%), 14 Aug 2002 (-6.14%), 16 Sep 2002 (-8.7%), 04 Nov 2002 (-6.18%)
2001706 Feb 2001 (23.96%), 29 Mar 2001 (-7.67%), 17 May 2001 (6.76%), 16 Jul 2001 (-4.63%), 17 Aug 2001 (-2.39%), 25 Sep 2001 (-2.8%), 09 Nov 2001 (4.58%)
2000905 Jan 2000 (7.83%), 23 Feb 2000 (-0.08%), 28 Mar 2000 (-6.57%), 04 May 2000 (-1.73%), 25 May 2000 (4.61%), 13 Jul 2000 (-4.82%), 23 Aug 2000 (-5.89%), 03 Oct 2000 (-4.26%), 20 Oct 2000 (-0.52%)
1999717 Feb 1999 (-6.16%), 16 Apr 1999 (-5.54%), 21 Apr 1999 (-5.84%), 07 Jun 1999 (-4.68%), 23 Jun 1999 (2.57%), 17 Aug 1999 (10.88%), 07 Oct 1999 (-5.07%)
1998824 Mar 1998 (3.54%), 27 May 1998 (-4.34%), 30 Jun 1998 (-5.41%), 14 Sep 1998 (-3.82%), 19 Oct 1998 (-4.57%), 26 Oct 1998 (-4.66%), 27 Oct 1998 (-4.28%), 28 Dec 1998 (15.33%)
1997528 Feb 1997 (5.53%), 17 Apr 1997 (-2.36%), 13 Jun 1997 (1.01%), 28 Jul 1997 (0.39%), 30 Sep 1997 (-4.25%)
1996702 Feb 1996 (10.45%), 03 Apr 1996 (-1.49%), 20 Jun 1996 (-3.54%), 12 Jul 1996 (-4.15%), 18 Jul 1996 (-3.85%), 29 Aug 1996 (-3.49%), 19 Dec 1996 (38.35%)
1995412 Jul 1995 (14.15%), 13 Oct 1995 (11.51%), 08 Dec 1995 (-2.89%), 11 Dec 1995 (0.3%)



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