Study: Buy HINDALCO when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy HINDALCO 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 HINDALCO 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
150239.431969610048.984219.9121783.74-3548.72-26724.141.191.140.0097256.32
263635.581961029452.045954.9424185.83-5784.77-24137.931.031.120.0088324.67
31561471969610048.988372.6442341.06-6476.26-24591.131.291.240.016796.67
43009871969510148.4710191.5352452.59-6606.02-23251.231.541.450.0271535.65
54197421961078954.5910719.5367398.7-8171.32-29689.681.311.580.0332141.54
63849291961019551.5311827.0462761.09-8522.12-30975.681.391.480.0291963.92
72998791961078954.5911522.3957324.75-10483.34-32764.891.11.320.0211530
83945071961088855.112229.7753075.82-10526.23-29163.941.161.430.0272012.79
94177531961078954.5913093.2963878.33-11047.52-45554.371.191.420.0272131.39
104490881961108656.1213185.0762352.01-11642.67-33254.531.131.450.0282291.27
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
atrnil38.763406222146914532.2422512.543791.12-8363.73-58313.842.691.280.0211591.69
atrnil26.111439932338614736.9115480.5337457.98-8077.1-58313.841.921.120.01617.99
atrtrail-15.1893418.872348514936.3212283.2758999.66-6380.26-41528.931.931.10.0066399.23
atrtrail34.632355.812358614936.611430.435433.65-6380.26-41528.931.791.030.0026137.68
atrtrail23.98-72380.712439015337.0410105.8227981.52-6417.68-41528.931.570.93-0.0063-297.86

In the table above, row 1 shows the best exit criterion. Profit factor is 1.28. 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 32.24%, which is not acceptable. Avoid this strategy. Average return per trade is 0.8%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDALCO Performance, Profit Factor:1.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191021 Jan 2019 (-2.54%), 22 Jan 2019 (-2.64%), 30 Jan 2019 (-2.55%), 25 Feb 2019 (-3.0%), 26 Feb 2019 (9.24%), 22 May 2019 (-3.08%), 27 May 2019 (-3.19%), 24 Jun 2019 (-2.86%), 23 Jul 2019 (-2.88%), 31 Oct 2019 (8.87%)
20181620 Feb 2018 (-3.55%), 23 Feb 2018 (-3.58%), 28 Mar 2018 (-3.89%), 06 Apr 2018 (11.93%), 11 May 2018 (-3.48%), 28 May 2018 (-3.59%), 04 Jun 2018 (-3.33%), 10 Jul 2018 (-3.35%), 11 Jul 2018 (-3.53%), 27 Jul 2018 (-4.36%), 14 Sep 2018 (-3.44%), 26 Sep 2018 (-3.63%), 03 Oct 2018 (-4.27%), 01 Nov 2018 (-4.51%), 03 Dec 2018 (-3.89%), 17 Dec 2018 (-3.46%)
20171110 Jan 2017 (9.95%), 03 Mar 2017 (-3.35%), 16 Mar 2017 (-3.16%), 26 Apr 2017 (-2.83%), 15 May 2017 (-3.2%), 26 May 2017 (-3.62%), 05 Jul 2017 (7.6%), 01 Sep 2017 (-3.1%), 06 Oct 2017 (8.36%), 15 Dec 2017 (-2.89%), 18 Dec 2017 (9.45%)
20161205 Feb 2016 (-4.21%), 18 Feb 2016 (16.89%), 12 Apr 2016 (12.84%), 30 May 2016 (11.65%), 12 Jul 2016 (-3.0%), 08 Aug 2016 (-3.04%), 30 Aug 2016 (-2.76%), 31 Aug 2016 (-2.91%), 28 Sep 2016 (-3.49%), 03 Oct 2016 (-3.69%), 02 Nov 2016 (9.18%), 23 Nov 2016 (-4.83%)
2015702 Feb 2015 (10.67%), 01 Apr 2015 (-4.06%), 19 Jun 2015 (-3.03%), 16 Jul 2015 (-3.23%), 09 Sep 2015 (-5.4%), 01 Dec 2015 (-3.79%), 14 Dec 2015 (-3.6%)
2014823 Jan 2014 (-2.75%), 26 Feb 2014 (8.48%), 19 May 2014 (-4.18%), 04 Jun 2014 (13.05%), 16 Jul 2014 (-4.45%), 14 Oct 2014 (-5.18%), 22 Oct 2014 (15.02%), 30 Dec 2014 (-3.61%)
20131019 Feb 2013 (-2.97%), 08 Mar 2013 (-3.52%), 01 Apr 2013 (-3.77%), 01 Jul 2013 (-4.46%), 14 Aug 2013 (-4.81%), 16 Aug 2013 (15.48%), 26 Sep 2013 (-4.24%), 08 Oct 2013 (-4.09%), 05 Nov 2013 (-3.79%), 18 Nov 2013 (-3.79%)
20121007 Jan 2012 (12.71%), 04 Apr 2012 (-4.09%), 17 Apr 2012 (-3.98%), 02 May 2012 (-3.57%), 08 May 2012 (-3.66%), 25 May 2012 (11.82%), 03 Jul 2012 (-3.12%), 08 Aug 2012 (-2.95%), 10 Sep 2012 (9.51%), 27 Nov 2012 (8.05%)
2011903 Feb 2011 (-3.64%), 04 Feb 2011 (-4.02%), 04 Mar 2011 (-4.51%), 25 Mar 2011 (-3.48%), 30 May 2011 (-3.65%), 27 Jun 2011 (10.31%), 29 Aug 2011 (-5.11%), 12 Oct 2011 (-5.02%), 01 Dec 2011 (-4.69%)
2010617 Feb 2010 (13.83%), 14 Jun 2010 (14.89%), 18 Aug 2010 (-2.82%), 06 Sep 2010 (9.89%), 05 Nov 2010 (-3.41%), 06 Dec 2010 (-4.31%)
2009809 Feb 2009 (-7.02%), 06 Mar 2009 (17.72%), 06 May 2009 (19.11%), 20 Jul 2009 (20.11%), 09 Sep 2009 (13.48%), 20 Oct 2009 (-4.07%), 13 Nov 2009 (15.5%), 23 Dec 2009 (11.95%)
2008704 Feb 2008 (-8.65%), 15 Feb 2008 (-7.93%), 15 May 2008 (-4.97%), 09 Jul 2008 (-6.03%), 27 Aug 2008 (-3.88%), 10 Sep 2008 (-4.34%), 03 Nov 2008 (-12.3%)
2007715 Mar 2007 (-6.67%), 06 Jun 2007 (11.61%), 13 Jul 2007 (-3.44%), 28 Aug 2007 (13.26%), 11 Oct 2007 (11.49%), 09 Nov 2007 (-6.85%), 11 Dec 2007 (-5.89%)
2006306 Mar 2006 (-3.45%), 24 Mar 2006 (11.38%), 19 Jun 2006 (-9.36%)
2005731 Jan 2005 (9.97%), 07 Mar 2005 (-2.41%), 06 Apr 2005 (-2.69%), 09 May 2005 (-2.83%), 27 May 2005 (-2.9%), 09 Jun 2005 (9.55%), 20 Sep 2005 (-29.16%)
2004911 Feb 2004 (-5.29%), 08 Mar 2004 (-4.45%), 16 Mar 2004 (-4.18%), 23 Mar 2004 (-4.03%), 02 Apr 2004 (-3.95%), 25 May 2004 (21.9%), 10 Aug 2004 (11.75%), 16 Sep 2004 (6.93%), 05 Nov 2004 (8.88%)
20031324 Jan 2003 (-2.0%), 04 Mar 2003 (-2.28%), 03 Apr 2003 (8.34%), 16 May 2003 (7.17%), 11 Jun 2003 (7.41%), 11 Jul 2003 (-2.99%), 14 Jul 2003 (-3.22%), 28 Jul 2003 (10.62%), 29 Sep 2003 (11.63%), 03 Nov 2003 (-5.02%), 04 Nov 2003 (-5.18%), 02 Dec 2003 (-3.84%), 10 Dec 2003 (12.08%)
2002607 Jan 2002 (11.71%), 20 Mar 2002 (-3.74%), 30 Apr 2002 (-3.11%), 13 Jun 2002 (-2.57%), 19 Aug 2002 (-4.28%), 22 Oct 2002 (-4.57%)
2001711 Jan 2001 (-3.87%), 08 Feb 2001 (-3.6%), 28 Mar 2001 (-4.82%), 18 Jul 2001 (-3.32%), 20 Aug 2001 (-3.36%), 05 Sep 2001 (-3.52%), 05 Oct 2001 (16.6%)
2000803 Jan 2000 (12.33%), 14 Feb 2000 (-6.67%), 16 Mar 2000 (-6.87%), 03 May 2000 (20.99%), 17 Jul 2000 (-3.17%), 02 Aug 2000 (-3.29%), 04 Sep 2000 (6.8%), 20 Nov 2000 (11.73%)
1999926 Feb 1999 (-3.43%), 16 Mar 1999 (13.04%), 08 Jun 1999 (-5.26%), 09 Jun 1999 (17.81%), 06 Jul 1999 (14.29%), 16 Aug 1999 (-4.55%), 11 Nov 1999 (-4.95%), 12 Nov 1999 (-5.13%), 17 Dec 1999 (-4.55%)
19981403 Feb 1998 (12.49%), 27 Mar 1998 (-2.61%), 07 Apr 1998 (8.7%), 05 Jun 1998 (-4.75%), 08 Jun 1998 (-4.92%), 18 Jun 1998 (-5.07%), 19 Jun 1998 (-5.29%), 24 Jun 1998 (-5.4%), 09 Jul 1998 (-4.34%), 08 Sep 1998 (13.92%), 11 Nov 1998 (-3.47%), 10 Dec 1998 (-2.78%), 28 Dec 1998 (-2.64%), 31 Dec 1998 (8.44%)
1997628 Feb 1997 (7.47%), 27 May 1997 (5.72%), 01 Jul 1997 (5.63%), 29 Jul 1997 (7.89%), 09 Sep 1997 (-2.66%), 22 Dec 1997 (-4.21%)
1996430 Jan 1996 (6.4%), 10 Apr 1996 (7.34%), 12 Aug 1996 (-3.19%), 20 Sep 1996 (-4.03%)
1995704 Apr 1995 (-2.38%), 10 May 1995 (-3.31%), 12 May 1995 (10.3%), 13 Jul 1995 (3.94%), 14 Jul 1995 (4.44%), 26 Sep 1995 (-1.99%), 29 Nov 1995 (7.24%)



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