Study: Buy ICIL when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy ICIL 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 ICIL 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
167201.5583394446.998530.1339702.23-6033.49-17894.741.411.250.025809.66
212390983364743.3713963.6363523.57-8059.19-33333.331.731.330.0311492.88
323001283394446.9914643.8178908.19-7752.19-27586.211.891.670.0562771.23
419235383384545.7817262.0571464.02-10302.34-34736.841.681.410.042317.5
523144383424150.616409.2884096.5-11164.56-32631.581.471.510.0462788.47
628331483443953.0117189.278631.22-12128.48-28448.281.421.60.0543413.42
735356183384545.7822091.48102806-10798.12-360002.051.730.0594259.77
845611483473656.6319728.5133087-13086.84-32631.581.511.970.0685495.34
955462683453854.2223673.4166371-13438.86-41052.631.762.090.0716682.25
1070652283424150.628692.28165879-12159.84-41052.632.362.420.0868512.32
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
ICIL Performance, X=10, Profit Factor:2.42

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017607 Mar 2017 (14.63%), 28 Apr 2017 (-5.65%), 13 Jul 2017 (-7.51%), 06 Oct 2017 (1.54%), 10 Nov 2017 (9.89%), 21 Dec 2017 (-0.7%)
2016801 Feb 2016 (-12.77%), 03 Mar 2016 (-0.34%), 31 May 2016 (-4.34%), 22 Sep 2016 (-11.17%), 14 Oct 2016 (13.2%), 10 Nov 2016 (-10.82%), 29 Nov 2016 (3.39%), 30 Dec 2016 (6.05%)
20151115 Jan 2015 (14.53%), 11 Mar 2015 (-9.26%), 06 Apr 2015 (12.84%), 12 May 2015 (17.38%), 10 Jun 2015 (7.23%), 25 Jun 2015 (6.57%), 21 Jul 2015 (24.77%), 21 Sep 2015 (-7.29%), 20 Oct 2015 (-1.28%), 16 Nov 2015 (5.74%), 31 Dec 2015 (0.0%)
2014710 Feb 2014 (-8.51%), 24 Mar 2014 (7.76%), 09 May 2014 (47.97%), 06 Aug 2014 (6.69%), 22 Sep 2014 (4.61%), 05 Nov 2014 (82.94%), 30 Dec 2014 (-1.97%)
2013412 Apr 2013 (9.87%), 15 May 2013 (20.97%), 16 Jul 2013 (8.31%), 13 Aug 2013 (53.85%)
2012705 Jan 2012 (3.23%), 23 Mar 2012 (11.9%), 01 Jun 2012 (5.93%), 07 Aug 2012 (-0.63%), 05 Sep 2012 (-7.02%), 03 Oct 2012 (11.8%), 12 Nov 2012 (-6.71%)
2011814 Feb 2011 (10.49%), 01 Apr 2011 (-0.34%), 23 May 2011 (-7.27%), 04 Jul 2011 (-2.02%), 16 Aug 2011 (-13.02%), 07 Sep 2011 (0.0%), 21 Oct 2011 (-5.56%), 01 Dec 2011 (-20.53%)
2010405 Jan 2010 (8.23%), 26 Mar 2010 (-2.63%), 23 Apr 2010 (17.53%), 03 Dec 2010 (-11.28%)
2009705 Jan 2009 (-6.82%), 17 Mar 2009 (42.03%), 21 May 2009 (20.83%), 15 Jul 2009 (6.29%), 25 Aug 2009 (-1.22%), 17 Sep 2009 (0.0%), 26 Nov 2009 (7.69%)
2008401 Apr 2008 (14.05%), 18 Jun 2008 (-18.0%), 10 Jul 2008 (-5.17%), 23 Oct 2008 (5.0%)
2007803 Jan 2007 (13.79%), 16 Mar 2007 (-2.91%), 05 Apr 2007 (-3.79%), 25 May 2007 (-1.36%), 13 Jul 2007 (-7.49%), 16 Aug 2007 (-1.13%), 25 Oct 2007 (-10.32%), 14 Nov 2007 (8.24%)
2006810 Mar 2006 (-11.11%), 05 May 2006 (-9.11%), 22 Jun 2006 (15.76%), 08 Aug 2006 (0.58%), 11 Sep 2006 (0.58%), 04 Oct 2006 (16.76%), 14 Nov 2006 (-8.2%), 18 Dec 2006 (-4.02%)
2005128 Nov 2005 (1.13%)

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
atrnil25.962018.6796356136.4627895.8358954.25-14989.1-38196.851.861.070.0092646.03
atrnil38.6531607.5688246427.2742079.1488431.37-15285.81-38196.852.751.030.0041359.18
atrtrail24.29-66415.11101346733.6621930.8556731.24-12120.36-38196.851.810.92-0.011-657.58
atrtrail34.86-14386210032683221300.485096.86-12139.33-38196.851.750.83-0.023-1438.62
atrtrail-15.57-16596810032683220609.5795610.94-12139.33-38196.851.70.8-0.026-1659.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.07. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 36.46%, which is not acceptable. Avoid this strategy. Average return per trade is 0.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0092, 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.
ICIL Performance, Profit Factor:1.07

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017812 Jan 2017 (7.58%), 07 Mar 2017 (7.3%), 28 Apr 2017 (-3.03%), 13 Jul 2017 (-3.35%), 06 Oct 2017 (11.61%), 10 Nov 2017 (-4.78%), 15 Nov 2017 (-5.26%), 21 Dec 2017 (-4.07%)
2016801 Feb 2016 (8.36%), 03 Mar 2016 (14.1%), 31 May 2016 (-3.6%), 07 Jun 2016 (-3.96%), 22 Sep 2016 (-4.07%), 14 Oct 2016 (8.2%), 10 Nov 2016 (-4.55%), 29 Nov 2016 (11.85%)
20151215 Jan 2015 (11.45%), 11 Mar 2015 (-5.42%), 06 Apr 2015 (13.34%), 12 May 2015 (12.59%), 10 Jun 2015 (10.13%), 25 Jun 2015 (-4.28%), 21 Jul 2015 (-3.91%), 30 Jul 2015 (8.51%), 21 Sep 2015 (-7.52%), 20 Oct 2015 (-5.0%), 16 Nov 2015 (7.76%), 31 Dec 2015 (-3.72%)
2014810 Feb 2014 (-6.29%), 24 Mar 2014 (9.99%), 09 May 2014 (11.17%), 06 Aug 2014 (-5.06%), 19 Aug 2014 (-6.43%), 22 Sep 2014 (11.45%), 05 Nov 2014 (12.56%), 30 Dec 2014 (-7.34%)
2013512 Apr 2013 (-8.41%), 15 May 2013 (-7.82%), 28 May 2013 (13.68%), 16 Jul 2013 (16.2%), 13 Aug 2013 (15.59%)
2012705 Jan 2012 (-8.64%), 23 Mar 2012 (-9.33%), 01 Jun 2012 (-7.22%), 07 Aug 2012 (-8.01%), 05 Sep 2012 (-9.95%), 03 Oct 2012 (28.37%), 12 Nov 2012 (-10.32%)
20111114 Feb 2011 (18.8%), 01 Apr 2011 (-5.38%), 23 May 2011 (-7.87%), 31 May 2011 (-7.89%), 04 Jul 2011 (-9.79%), 11 Jul 2011 (-9.66%), 16 Aug 2011 (-12.64%), 07 Sep 2011 (-11.3%), 21 Oct 2011 (-8.58%), 08 Nov 2011 (-8.48%), 01 Dec 2011 (-9.47%)
2010505 Jan 2010 (10.69%), 26 Mar 2010 (11.97%), 23 Apr 2010 (-5.03%), 07 May 2010 (-4.95%), 03 Dec 2010 (-7.51%)
2009705 Jan 2009 (-11.78%), 17 Mar 2009 (29.48%), 21 May 2009 (12.55%), 15 Jul 2009 (-5.46%), 25 Aug 2009 (-9.65%), 17 Sep 2009 (-10.98%), 26 Nov 2009 (18.34%)
2008501 Apr 2008 (19.8%), 18 Jun 2008 (-9.73%), 10 Jul 2008 (-8.79%), 23 Jul 2008 (-10.07%), 23 Oct 2008 (-19.1%)
2007903 Jan 2007 (-6.2%), 16 Mar 2007 (22.38%), 05 Apr 2007 (-11.04%), 25 May 2007 (12.57%), 13 Jul 2007 (-7.32%), 16 Aug 2007 (-8.4%), 28 Aug 2007 (19.24%), 25 Oct 2007 (-5.94%), 14 Nov 2007 (-7.03%)
2006910 Mar 2006 (-8.28%), 24 Mar 2006 (20.22%), 22 Jun 2006 (-12.12%), 08 Aug 2006 (18.71%), 11 Sep 2006 (11.39%), 15 Sep 2006 (-6.89%), 04 Oct 2006 (10.25%), 14 Nov 2006 (-6.33%), 18 Dec 2006 (-6.99%)
2005228 Nov 2005 (-8.07%), 08 Dec 2005 (-7.11%)



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