Study: Buy IDEA when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy IDEA 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 IDEA 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
19054.3496514553.124164.2314902.81-4518.26-18247.460.921.040.004794.32
215020.2596524454.175991.3322937.63-6739.29-26949.380.891.050.0052156.46
312651096514553.128991.1757444.01-7378.65-30642.951.221.380.0311317.82
472635.5696534355.218881.6390118.58-9257.93-52393.980.961.180.014756.62
5839.3696455146.8810540.6983003.95-9284.15-70041.041.1410.000168.74
624012.8696504652.0811078.9489328.06-11520.31-87140.90.961.050.0039250.13
7-27549.3796474948.9612114.5388405.8-12182.29-99179.210.990.95-0.0041-286.97
8-1167169648485010811.8785639-13243.45-92065.660.820.82-0.018-1215.79
9-25718296465047.9210582.1882872.2-14879.25-84952.120.710.65-0.039-2678.98
10-2573739648485010953.3888669.3-16315.32-94391.240.670.67-0.037-2680.97
Although, strategy looks good but profit factor on day 1 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
atrnil26.873392.42104386636.5416096.6625693.55-9216.37-25854.691.751.010.0007232.62
atrtrail-15.3-2063.43108396936.1111766.1776246.46-6680.35-22986.981.761-0.00041-19.11
atrnil39.75-48827.7495257026.3223995.6635007.44-9267.42-25854.692.590.92-0.0095-513.98
atrtrail34.78-88752.33108396936.119543.3727708.5-6680.35-22986.981.430.81-0.024-821.78
atrtrail24.57-119596109406936.78533.6919558.74-6680.35-22986.981.280.74-0.035-1097.22

In the table above, row 1 shows the best exit criterion. Profit factor is 1.01. 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 36.54%, which is not acceptable. Avoid this strategy. Average return per trade is 0.016%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.00072, 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.
IDEA Performance, Profit Factor:1.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019311 Feb 2019 (-6.01%), 18 Apr 2019 (-8.91%), 16 Aug 2019 (-11.49%)
2018623 Feb 2018 (-4.12%), 24 Apr 2018 (-3.16%), 23 May 2018 (9.24%), 24 Jul 2018 (-5.37%), 15 Oct 2018 (-6.53%), 17 Dec 2018 (-5.78%)
2017802 Jan 2017 (-3.09%), 24 Jan 2017 (6.7%), 13 Apr 2017 (-4.45%), 12 Jun 2017 (-3.46%), 19 Jun 2017 (6.81%), 12 Oct 2017 (7.14%), 13 Oct 2017 (7.36%), 19 Dec 2017 (7.62%)
2016909 Feb 2016 (-4.58%), 10 Feb 2016 (9.78%), 22 Mar 2016 (6.66%), 30 May 2016 (-3.76%), 28 Jun 2016 (-3.13%), 24 Aug 2016 (-3.22%), 19 Sep 2016 (-3.19%), 20 Oct 2016 (-3.57%), 21 Nov 2016 (7.78%)
20151316 Jan 2015 (5.95%), 18 Feb 2015 (-2.8%), 03 Mar 2015 (-3.01%), 11 Mar 2015 (8.04%), 20 May 2015 (-3.9%), 29 May 2015 (-3.95%), 18 Jun 2015 (-3.74%), 31 Aug 2015 (-3.58%), 03 Sep 2015 (-3.94%), 09 Sep 2015 (-3.94%), 01 Oct 2015 (-3.61%), 20 Nov 2015 (6.47%), 21 Dec 2015 (-3.12%)
20141014 Jan 2014 (-2.91%), 06 Feb 2014 (-4.28%), 19 Feb 2014 (-4.48%), 13 May 2014 (6.77%), 06 Jun 2014 (-3.37%), 18 Jun 2014 (-3.6%), 14 Jul 2014 (5.57%), 02 Sep 2014 (-3.03%), 30 Oct 2014 (6.97%), 23 Dec 2014 (6.98%)
2013925 Feb 2013 (-3.33%), 02 Apr 2013 (-3.57%), 12 Apr 2013 (7.84%), 17 Jun 2013 (6.87%), 01 Jul 2013 (-3.99%), 15 Jul 2013 (-3.57%), 13 Aug 2013 (-5.16%), 11 Sep 2013 (-5.24%), 18 Nov 2013 (-3.25%)
2012705 Mar 2012 (7.05%), 03 Apr 2012 (-3.18%), 10 May 2012 (-5.18%), 29 Jun 2012 (6.86%), 30 Aug 2012 (6.15%), 30 Oct 2012 (5.86%), 26 Dec 2012 (5.95%)
2011918 Jan 2011 (-3.49%), 04 Feb 2011 (-3.91%), 08 Mar 2011 (10.87%), 30 May 2011 (7.02%), 07 Jul 2011 (-3.29%), 25 Jul 2011 (-3.27%), 02 Sep 2011 (-4.04%), 01 Nov 2011 (7.69%), 30 Dec 2011 (9.72%)
2010925 Jan 2010 (-3.46%), 27 Jan 2010 (-3.62%), 25 Feb 2010 (7.4%), 17 Mar 2010 (-3.23%), 02 Jun 2010 (10.87%), 07 Sep 2010 (6.91%), 09 Nov 2010 (-3.44%), 10 Nov 2010 (-3.69%), 29 Dec 2010 (-3.6%)
2009529 Jan 2009 (12.47%), 20 Mar 2009 (10.9%), 11 Jun 2009 (-6.61%), 20 Jul 2009 (12.34%), 12 Nov 2009 (11.67%)
20081122 Feb 2008 (-7.54%), 25 Mar 2008 (12.85%), 15 May 2008 (-4.38%), 17 Jun 2008 (-4.95%), 22 Jul 2008 (-6.31%), 04 Sep 2008 (-4.19%), 22 Sep 2008 (-5.36%), 15 Oct 2008 (-7.65%), 16 Oct 2008 (-8.51%), 05 Nov 2008 (-12.93%), 30 Dec 2008 (-7.54%)
2007527 Jun 2007 (7.11%), 17 Jul 2007 (5.99%), 29 Aug 2007 (9.64%), 25 Oct 2007 (-6.11%), 27 Dec 2007 (-5.49%)



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