Study: Buy HINDUNILVR when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy HINDUNILVR 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 HINDUNILVR 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
11168192171298859.453020.5516000.8-3100.36-13163.520.971.430.027538.34
288736.822171219655.764296.7533282.93-4491.35-23467.760.961.210.014408.93
356218.3921711210551.615587.3528881.81-5424.42-21553.881.031.10.0071259.07
4164610217115102536340.3845662.55-5534.64-30882.941.151.290.018758.57
5153833217115102536865.0850000-6231.87-28190.311.11.240.015708.91
697399.172171239456.686503.2143179.47-7473.35-34278.870.871.140.0092448.84
763065.742171209755.36468.5834705.08-7352.2-29908.270.881.090.0062290.63
811086121710910850.237879.3938018.3-6925.85-27353.621.141.150.01510.88
9-43094.09217115102537776.2132677.32-9189.79-1784080.850.95-0.0025-198.59
1066763.292171189954.388324.2441638.92-9247.45-1789280.91.070.0039307.66

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.43. 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 59.45%, which is not acceptable. Avoid this strategy. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.

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
nilnil-111168192171298859.453020.5516000.8-3100.36-13163.520.971.430.027538.34
atrtrail35.3517457224810414441.947969.2629146.76-4543.28-13767.071.751.270.018703.92
atrtrail-15.8514910424810414441.947724.3833834.02-4543.28-13767.071.71.230.015601.23
atrnil314.381883961936512833.6815954.237760.19-6629.9-93800.022.411.220.015976.14
atrtrail24.6714474325410714742.137628.920112.55-4568.36-13767.071.671.220.016569.85
atrnil210.991031802148812641.1210474.8625173.46-6496.88-93800.021.611.130.0092482.15

In the table above, row 1 shows the best exit criterion. Profit factor is 1.43. 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 59.45%, which is not acceptable. Avoid this strategy. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDUNILVR Performance, X=1, Profit Factor:1.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019701 Feb 2019 (0.18%), 14 Mar 2019 (-2.24%), 29 Mar 2019 (-0.98%), 20 May 2019 (0.72%), 26 Jul 2019 (-1.0%), 20 Sep 2019 (3.55%), 15 Oct 2019 (0.32%)
2018830 Jan 2018 (-2.21%), 13 Mar 2018 (-0.28%), 16 May 2018 (-0.27%), 04 Jul 2018 (0.72%), 01 Aug 2018 (0.82%), 17 Aug 2018 (-0.43%), 01 Oct 2018 (-1.43%), 17 Oct 2018 (1.05%)
2017927 Feb 2017 (-0.06%), 29 Mar 2017 (0.73%), 27 Apr 2017 (-1.3%), 13 Jul 2017 (0.41%), 04 Aug 2017 (-0.49%), 31 Aug 2017 (-0.3%), 13 Oct 2017 (2.62%), 10 Nov 2017 (-0.86%), 07 Dec 2017 (2.69%)
20161002 Feb 2016 (2.69%), 14 Mar 2016 (-1.91%), 13 Apr 2016 (0.16%), 26 May 2016 (1.28%), 30 Jun 2016 (-0.11%), 09 Aug 2016 (-1.0%), 06 Sep 2016 (-0.52%), 30 Oct 2016 (-0.46%), 23 Nov 2016 (-0.77%), 29 Dec 2016 (0.96%)
2015807 Jan 2015 (1.89%), 03 Mar 2015 (-1.46%), 08 Apr 2015 (1.52%), 21 May 2015 (-0.07%), 16 Jun 2015 (3.25%), 28 Sep 2015 (-0.8%), 23 Oct 2015 (1.05%), 24 Nov 2015 (0.06%)
2014820 Jan 2014 (0.85%), 11 Mar 2014 (-0.02%), 15 May 2014 (-1.4%), 30 May 2014 (-0.39%), 24 Jul 2014 (3.24%), 28 Aug 2014 (-0.28%), 22 Oct 2014 (0.2%), 26 Nov 2014 (2.64%)
2013812 Feb 2013 (-0.92%), 12 Mar 2013 (0.52%), 30 Apr 2013 (-2.05%), 05 Jul 2013 (0.06%), 30 Aug 2013 (1.56%), 23 Oct 2013 (-0.84%), 19 Nov 2013 (-1.82%), 20 Dec 2013 (-0.62%)
20121003 Feb 2012 (-3.57%), 07 Mar 2012 (-0.71%), 11 Apr 2012 (1.1%), 03 May 2012 (0.03%), 11 Jun 2012 (-0.83%), 24 Jul 2012 (-2.47%), 14 Sep 2012 (-2.96%), 04 Oct 2012 (1.78%), 26 Nov 2012 (0.79%), 21 Dec 2012 (0.86%)
2011815 Feb 2011 (1.01%), 28 Mar 2011 (0.36%), 10 May 2011 (0.99%), 02 Jun 2011 (-0.69%), 17 Jun 2011 (0.51%), 24 Aug 2011 (0.19%), 24 Oct 2011 (1.23%), 22 Dec 2011 (0.81%)
20101205 Jan 2010 (0.57%), 25 Jan 2010 (-1.74%), 16 Feb 2010 (1.43%), 25 Mar 2010 (2.8%), 20 Apr 2010 (2.22%), 11 May 2010 (0.7%), 02 Jun 2010 (3.91%), 11 Aug 2010 (1.82%), 03 Sep 2010 (-0.46%), 08 Nov 2010 (4.03%), 15 Dec 2010 (-1.59%), 30 Dec 2010 (1.16%)
2009912 Jan 2009 (-3.52%), 29 Jan 2009 (1.79%), 23 Mar 2009 (0.27%), 04 May 2009 (-0.65%), 19 May 2009 (1.72%), 24 Jul 2009 (6.01%), 01 Sep 2009 (1.79%), 22 Sep 2009 (-2.34%), 20 Nov 2009 (1.54%)
20081004 Feb 2008 (-1.99%), 18 Feb 2008 (2.0%), 24 Mar 2008 (4.34%), 28 Apr 2008 (1.84%), 09 Jul 2008 (0.95%), 09 Sep 2008 (-0.34%), 26 Sep 2008 (0.85%), 21 Oct 2008 (0.68%), 05 Nov 2008 (2.55%), 28 Nov 2008 (-1.65%)
2007911 Jan 2007 (0.85%), 09 Mar 2007 (0.68%), 26 Apr 2007 (-2.09%), 23 May 2007 (1.33%), 22 Jun 2007 (-1.64%), 24 Jul 2007 (1.1%), 28 Aug 2007 (-0.07%), 30 Oct 2007 (-5.65%), 16 Nov 2007 (1.84%)
2006731 Jan 2006 (-1.87%), 30 Mar 2006 (-0.44%), 19 Jun 2006 (-2.76%), 26 Jul 2006 (2.28%), 17 Aug 2006 (1.3%), 15 Sep 2006 (2.69%), 01 Nov 2006 (-0.02%)
2005924 Jan 2005 (1.32%), 04 Mar 2005 (-3.24%), 04 Apr 2005 (-1.33%), 27 May 2005 (4.52%), 16 Aug 2005 (0.76%), 13 Sep 2005 (1.42%), 27 Sep 2005 (2.05%), 09 Nov 2005 (-2.23%), 19 Dec 2005 (-0.44%)
2004912 Feb 2004 (3.02%), 07 May 2004 (-1.79%), 24 May 2004 (2.35%), 24 Jun 2004 (-1.73%), 27 Jul 2004 (0.58%), 24 Aug 2004 (1.09%), 30 Sep 2004 (0.96%), 03 Nov 2004 (0.23%), 29 Nov 2004 (2.95%)
2003919 Feb 2003 (1.27%), 22 Mar 2003 (-4.6%), 07 Apr 2003 (-3.02%), 30 Apr 2003 (-4.13%), 28 Jul 2003 (1.77%), 08 Sep 2003 (-2.21%), 03 Oct 2003 (0.34%), 10 Nov 2003 (-0.3%), 04 Dec 2003 (3.34%)
2002624 Jan 2002 (0.11%), 07 May 2002 (0.5%), 28 May 2002 (-3.28%), 28 Jun 2002 (0.7%), 13 Aug 2002 (0.66%), 14 Oct 2002 (1.66%)
20011105 Jan 2001 (1.23%), 30 Jan 2001 (-2.04%), 28 Feb 2001 (0.61%), 02 Apr 2001 (0.02%), 23 Apr 2001 (-2.38%), 09 May 2001 (-2.44%), 13 Jun 2001 (0.13%), 20 Aug 2001 (2.03%), 01 Oct 2001 (0.95%), 19 Nov 2001 (-2.7%), 06 Dec 2001 (-0.46%)
2000807 Jan 2000 (0.76%), 18 Feb 2000 (8.0%), 16 Mar 2000 (-3.01%), 07 Apr 2000 (0.3%), 09 May 2000 (-1.63%), 26 May 2000 (2.77%), 22 Jun 2000 (5.7%), 25 Jul 2000 (0.52%)
1999906 Jan 1999 (0.57%), 21 Jan 1999 (-1.41%), 03 Mar 1999 (-0.29%), 12 May 1999 (2.46%), 17 Jun 1999 (0.4%), 14 Jul 1999 (-1.37%), 31 Aug 1999 (0.73%), 07 Oct 1999 (-3.74%), 03 Nov 1999 (1.13%)
1998903 Feb 1998 (1.79%), 20 May 1998 (0.6%), 17 Jun 1998 (-3.9%), 01 Jul 1998 (-6.58%), 04 Sep 1998 (0.29%), 24 Sep 1998 (-0.91%), 12 Oct 1998 (0.33%), 05 Nov 1998 (-0.16%), 04 Dec 1998 (2.47%)
1997828 Feb 1997 (5.0%), 07 Apr 1997 (2.34%), 30 May 1997 (3.51%), 31 Jul 1997 (1.64%), 10 Sep 1997 (-1.61%), 09 Oct 1997 (-0.11%), 25 Nov 1997 (0.84%), 19 Dec 1997 (1.74%)
1996916 Apr 1996 (2.37%), 03 Jun 1996 (1.71%), 09 Jul 1996 (-2.41%), 07 Aug 1996 (-0.96%), 29 Aug 1996 (-0.66%), 17 Sep 1996 (0.29%), 17 Oct 1996 (0.92%), 13 Nov 1996 (1.29%), 11 Dec 1996 (-1.68%)
1995703 Apr 1995 (-0.35%), 05 May 1995 (1.19%), 31 May 1995 (1.6%), 20 Jun 1995 (0.58%), 13 Jul 1995 (1.74%), 21 Sep 1995 (0.17%), 08 Dec 1995 (0.06%)



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