Study: Buy INDIACEM when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy INDIACEM 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 INDIACEM 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
189544.21184859946.25967.8624094.03-4219.43-13980.141.411.210.015486.65
21826491841008454.357068.5337560.98-6240.53-23071.051.131.350.023992.66
3299519184988653.269834.8738853.5-7724.39-34835.751.271.450.0291627.82
4321462184899548.3712115.1350000-7966.15-30387.411.521.420.0281747.08
5440061184978752.7212008.3568400-8330.45-29056.351.441.610.0352391.63
65552031841038155.9813207.8690000-9940.82-31947.481.331.690.0373017.41
7644266184958951.6315375.2786340.64-9172.86-35010.941.681.790.043501.44
8502073184869846.7416920.0894436.09-9725.04-42888.41.741.530.032728.66
9621292184919349.4617396.85118195-10342.16-36323.851.681.650.0353376.59
10675415184968852.1717813.4494736.84-11757.68-46894.81.521.650.0363670.73
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
atrtrail24.462915932218613538.9114629.5639934.91-7159.62-19410.662.041.30.0221319.43
atrnil38.214086462045914528.9230588.2174734.69-9627.99-19410.663.181.290.0212003.16
atrtrail-15.52670412148413039.2514255.0975299.79-7156.81-19410.661.991.290.0171247.86
atrtrail35.012459772158413139.0714078.0559902.36-7149.46-19410.661.971.260.0181144.08
atrnil26.122471492147813636.4519997.4149823.13-9651.83-19410.662.071.190.0161154.9

In the table above, row 1 shows the best exit criterion. Profit factor is 1.3. 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 38.91%, which is not acceptable. Avoid this strategy. Average return per trade is 0.66%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, 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.
INDIACEM Performance, Profit Factor:1.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019607 Feb 2019 (-4.28%), 08 Feb 2019 (-4.6%), 13 Feb 2019 (3.19%), 29 Mar 2019 (-1.26%), 23 May 2019 (10.16%), 24 May 2019 (-5.04%)
20181220 Feb 2018 (-2.96%), 13 Mar 2018 (-2.35%), 27 Mar 2018 (8.09%), 28 May 2018 (-4.21%), 26 Jun 2018 (-4.07%), 27 Jun 2018 (-4.35%), 05 Jul 2018 (-1.27%), 23 Jul 2018 (9.95%), 24 Jul 2018 (-0.61%), 21 Aug 2018 (-0.13%), 30 Oct 2018 (11.58%), 13 Dec 2018 (2.14%)
2017905 Apr 2017 (0.79%), 20 Apr 2017 (-3.54%), 05 Jun 2017 (-0.55%), 12 Jul 2017 (-3.29%), 01 Sep 2017 (8.16%), 04 Oct 2017 (-2.41%), 23 Nov 2017 (-1.83%), 11 Dec 2017 (-3.43%), 19 Dec 2017 (8.22%)
2016902 Mar 2016 (11.79%), 27 May 2016 (2.41%), 29 Jun 2016 (7.69%), 29 Jul 2016 (-3.59%), 08 Aug 2016 (-3.41%), 19 Aug 2016 (7.66%), 07 Oct 2016 (-3.42%), 01 Dec 2016 (-5.83%), 02 Dec 2016 (-0.08%)
2015703 Mar 2015 (-5.75%), 07 Apr 2015 (9.61%), 18 May 2015 (-3.76%), 18 Jun 2015 (9.22%), 03 Aug 2015 (-2.96%), 20 Nov 2015 (8.35%), 18 Dec 2015 (-3.9%)
20141105 Feb 2014 (0.42%), 20 Feb 2014 (8.94%), 28 Mar 2014 (8.7%), 14 May 2014 (-4.26%), 15 May 2014 (8.93%), 04 Aug 2014 (10.85%), 22 Sep 2014 (-4.75%), 23 Sep 2014 (-5.44%), 23 Oct 2014 (-4.77%), 31 Oct 2014 (-1.1%), 24 Dec 2014 (1.17%)
20131028 Jan 2013 (-2.92%), 22 Feb 2013 (-2.12%), 01 Apr 2013 (-3.67%), 11 Apr 2013 (0.94%), 02 May 2013 (2.09%), 18 Jun 2013 (-5.08%), 01 Jul 2013 (-5.23%), 16 Aug 2013 (0.67%), 01 Nov 2013 (7.66%), 27 Dec 2013 (-2.57%)
2012704 Jan 2012 (1.38%), 21 Mar 2012 (-4.8%), 25 May 2012 (-4.71%), 01 Aug 2012 (-2.52%), 21 Sep 2012 (6.66%), 03 Dec 2012 (-1.57%), 28 Dec 2012 (5.97%)
20111114 Feb 2011 (-4.38%), 03 Mar 2011 (-0.72%), 31 May 2011 (-1.34%), 05 Jul 2011 (-1.16%), 11 Aug 2011 (-1.48%), 02 Sep 2011 (10.67%), 30 Sep 2011 (-5.74%), 11 Oct 2011 (-0.64%), 26 Oct 2011 (-0.82%), 01 Dec 2011 (-1.79%), 28 Dec 2011 (-4.58%)
20101110 Feb 2010 (0.29%), 02 Mar 2010 (1.12%), 17 Mar 2010 (6.62%), 03 Jun 2010 (1.47%), 09 Jul 2010 (-1.99%), 06 Aug 2010 (0.39%), 20 Aug 2010 (-2.8%), 07 Sep 2010 (-3.06%), 08 Sep 2010 (-3.29%), 03 Nov 2010 (2.16%), 15 Dec 2010 (0.41%)
20091002 Jan 2009 (14.31%), 09 Feb 2009 (-6.05%), 16 Mar 2009 (-5.76%), 17 Mar 2009 (12.39%), 19 May 2009 (12.57%), 15 Jul 2009 (-0.54%), 03 Aug 2009 (1.39%), 31 Aug 2009 (-4.43%), 17 Sep 2009 (-0.02%), 16 Nov 2009 (-4.53%)
2008506 Feb 2008 (-9.71%), 26 Mar 2008 (-6.92%), 16 May 2008 (-2.17%), 18 Jul 2008 (4.15%), 08 Sep 2008 (-3.24%)
2007712 Jan 2007 (7.44%), 15 Mar 2007 (-0.97%), 19 Jun 2007 (8.78%), 08 Aug 2007 (-5.15%), 16 Oct 2007 (-4.6%), 17 Oct 2007 (-5.33%), 16 Nov 2007 (1.38%)
20061216 Jan 2006 (-4.12%), 17 Jan 2006 (-4.49%), 01 Mar 2006 (-4.39%), 02 Mar 2006 (10.05%), 05 Apr 2006 (7.96%), 19 Jun 2006 (-0.93%), 26 Jul 2006 (-1.58%), 14 Aug 2006 (-4.09%), 29 Aug 2006 (2.75%), 18 Sep 2006 (7.12%), 23 Nov 2006 (5.83%), 22 Dec 2006 (-1.25%)
2005904 Feb 2005 (-1.5%), 01 Apr 2005 (1.43%), 22 Apr 2005 (-5.1%), 10 May 2005 (1.14%), 10 Jun 2005 (-3.84%), 06 Jul 2005 (9.52%), 18 Aug 2005 (8.21%), 19 Aug 2005 (-4.13%), 07 Nov 2005 (4.54%)
2004616 Feb 2004 (-6.22%), 08 Mar 2004 (-4.98%), 26 Mar 2004 (13.02%), 30 Apr 2004 (-6.61%), 28 Jun 2004 (-6.39%), 12 Nov 2004 (6.02%)
2003918 Feb 2003 (-1.87%), 03 Apr 2003 (1.51%), 05 May 2003 (6.63%), 27 Jun 2003 (-5.5%), 29 Jul 2003 (10.93%), 30 Jul 2003 (-5.36%), 29 Sep 2003 (-2.83%), 03 Nov 2003 (10.54%), 26 Dec 2003 (0.3%)
2002808 Jan 2002 (0.35%), 27 Feb 2002 (-4.91%), 04 Mar 2002 (-4.23%), 28 Mar 2002 (-1.41%), 06 Jun 2002 (8.5%), 16 Aug 2002 (-4.87%), 03 Sep 2002 (-0.35%), 30 Dec 2002 (-3.43%)
2001801 Jan 2001 (-4.02%), 24 Jan 2001 (-1.38%), 06 Apr 2001 (19.97%), 18 May 2001 (12.75%), 09 Jul 2001 (10.72%), 28 Sep 2001 (10.74%), 20 Nov 2001 (8.57%), 21 Nov 2001 (8.89%)
2000704 Jan 2000 (-6.36%), 27 Jan 2000 (14.01%), 24 Mar 2000 (-1.26%), 24 May 2000 (19.69%), 28 Aug 2000 (-3.42%), 13 Sep 2000 (-2.02%), 27 Oct 2000 (8.41%)
19991527 Jan 1999 (7.9%), 28 Jan 1999 (-2.44%), 23 Feb 1999 (-5.82%), 24 Feb 1999 (-4.32%), 20 Mar 1999 (10.34%), 07 May 1999 (13.01%), 07 Jun 1999 (-6.62%), 08 Jun 1999 (-6.75%), 08 Jul 1999 (11.85%), 04 Aug 1999 (11.68%), 08 Oct 1999 (-6.67%), 11 Oct 1999 (14.92%), 11 Nov 1999 (-4.83%), 23 Dec 1999 (-6.33%), 24 Dec 1999 (-6.77%)
1998820 Feb 1998 (8.91%), 26 Mar 1998 (11.84%), 06 May 1998 (-1.21%), 19 May 1998 (-3.29%), 01 Jul 1998 (-4.3%), 21 Aug 1998 (-0.76%), 31 Oct 1998 (-6.48%), 10 Nov 1998 (-5.76%)
19971112 Feb 1997 (-6.16%), 21 Apr 1997 (-2.92%), 08 May 1997 (-2.81%), 02 Jun 1997 (5.77%), 06 Aug 1997 (-3.68%), 07 Aug 1997 (-4.2%), 16 Sep 1997 (-3.15%), 23 Sep 1997 (-2.89%), 14 Oct 1997 (-3.55%), 10 Dec 1997 (-4.16%), 11 Dec 1997 (-3.27%)
1996715 Feb 1996 (-8.04%), 18 Apr 1996 (11.49%), 31 May 1996 (-3.51%), 03 Jun 1996 (7.45%), 22 Aug 1996 (-2.95%), 15 Oct 1996 (-4.1%), 11 Dec 1996 (9.31%)
1995625 Jul 1995 (-2.17%), 18 Aug 1995 (-0.31%), 12 Oct 1995 (-2.22%), 31 Oct 1995 (5.59%), 01 Nov 1995 (-3.1%), 15 Dec 1995 (-3.29%)



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