Study: Buy INDUSINDBK when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy INDUSINDBK 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 INDUSINDBK 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
1-14710.09165828349.73576.1615982.72-3710.31-14310.650.960.95-0.004-89.15
2-36998.25165828349.75241.9233414.04-5624.53-27791.560.930.92-0.0067-224.23
3-42713.61165808548.486531.5752300.24-6649.87-37882.550.980.92-0.0059-258.87
41661.15165739244.249524.9872639.23-7539.81-35070.311.2610.0001810.07
551625.61165798647.8810832.4894430.99-9350.47-37607.611.161.060.0047312.88
6162654165858051.5211307.98118160-9981.56-38241.961.131.20.014985.78
7240058165838250.312729.47142857-9957.18-33879.131.281.290.0181454.9
8258288165828349.713893.79115738-10614.49-49912.741.311.290.0191565.38
9336130165887753.3314239.2113317-11908.04-48484.851.21.370.0232037.15
10308357165838250.316208.98138015-12646.2-51101.931.281.30.021868.83
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
atrtrail-15.62278122017212935.8215351.85125762-6802.49-21853.292.261.260.0161133.4
atrnil26.132015761967512138.2717422.2842704.69-9133.01-26568.981.911.180.0161028.45
atrnil38.772056391885513329.2626073.863392.52-9236.24-26568.982.821.170.0141093.83
atrtrail35.051370682027312936.1413898.4756939.97-6802.49-21853.292.041.160.012678.55
atrtrail24.451161852027312936.1413612.4137959.98-6802.49-21853.2921.130.011575.17

In the table above, row 1 shows the best exit criterion. Profit factor is 1.26. 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 35.82%, which is not acceptable. Avoid this strategy. Average return per trade is 0.57%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, 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.
INDUSINDBK Performance, Profit Factor:1.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019801 Feb 2019 (-2.47%), 04 Feb 2019 (-0.16%), 01 Mar 2019 (-0.5%), 22 May 2019 (4.08%), 03 Jul 2019 (0.56%), 30 Aug 2019 (-4.05%), 03 Sep 2019 (0.42%), 23 Sep 2019 (-1.39%)
2018905 Jan 2018 (0.46%), 23 Jan 2018 (2.12%), 28 Feb 2018 (1.53%), 16 May 2018 (-1.65%), 25 Jul 2018 (1.23%), 12 Oct 2018 (-3.26%), 15 Oct 2018 (-3.43%), 02 Nov 2018 (-4.55%), 14 Dec 2018 (-0.6%)
20171116 Mar 2017 (1.63%), 27 Apr 2017 (-1.6%), 26 May 2017 (1.56%), 07 Jul 2017 (2.06%), 27 Jul 2017 (1.95%), 01 Sep 2017 (-1.69%), 04 Sep 2017 (5.28%), 12 Oct 2017 (-1.49%), 08 Nov 2017 (-2.09%), 21 Nov 2017 (-0.2%), 18 Dec 2017 (-1.9%)
20161029 Jan 2016 (-2.87%), 02 Jun 2016 (-1.62%), 08 Jul 2016 (-1.96%), 15 Jul 2016 (-1.63%), 21 Jul 2016 (3.54%), 06 Sep 2016 (-1.89%), 23 Sep 2016 (-2.11%), 03 Oct 2016 (-2.26%), 03 Nov 2016 (-1.97%), 05 Dec 2016 (-0.14%)
20151001 Jan 2015 (-1.16%), 13 Jan 2015 (3.74%), 28 Feb 2015 (0.17%), 01 Apr 2015 (-0.02%), 15 May 2015 (3.38%), 19 Jun 2015 (1.16%), 10 Sep 2015 (2.69%), 20 Nov 2015 (1.59%), 17 Dec 2015 (-1.93%), 18 Dec 2015 (-0.3%)
2014915 Jan 2014 (-0.52%), 18 Feb 2014 (0.62%), 12 May 2014 (5.1%), 24 Jun 2014 (-0.6%), 23 Jul 2014 (-1.36%), 19 Aug 2014 (8.92%), 22 Sep 2014 (-2.34%), 14 Oct 2014 (9.96%), 01 Dec 2014 (-0.61%)
20131001 Feb 2013 (-2.31%), 13 Feb 2013 (-1.71%), 11 Mar 2013 (-2.65%), 12 Mar 2013 (-2.74%), 02 Apr 2013 (-3.37%), 16 Apr 2013 (8.27%), 04 Jul 2013 (4.22%), 22 Aug 2013 (-4.6%), 08 Oct 2013 (1.06%), 02 Dec 2013 (4.21%)
2012904 Jan 2012 (12.73%), 02 Apr 2012 (2.36%), 28 May 2012 (-3.94%), 06 Jun 2012 (2.06%), 16 Aug 2012 (-1.25%), 14 Sep 2012 (13.74%), 13 Nov 2012 (-1.69%), 26 Nov 2012 (5.69%), 18 Dec 2012 (-1.85%)
2011820 Jan 2011 (-5.12%), 03 Feb 2011 (-5.34%), 14 Feb 2011 (1.51%), 26 May 2011 (1.87%), 27 Jun 2011 (4.32%), 02 Sep 2011 (2.12%), 13 Oct 2011 (3.47%), 02 Dec 2011 (-4.43%)
20101620 Jan 2010 (-3.77%), 21 Jan 2010 (-2.02%), 02 Feb 2010 (-1.36%), 19 Feb 2010 (-3.6%), 03 Mar 2010 (-3.95%), 04 Mar 2010 (-2.0%), 21 Apr 2010 (-3.73%), 31 May 2010 (-4.71%), 01 Jun 2010 (-2.9%), 14 Jun 2010 (2.14%), 10 Aug 2010 (1.85%), 27 Aug 2010 (-3.04%), 03 Sep 2010 (10.23%), 03 Nov 2010 (1.56%), 29 Nov 2010 (-2.34%), 30 Dec 2010 (-3.31%)
20091210 Feb 2009 (-4.06%), 13 Mar 2009 (9.57%), 05 May 2009 (-6.66%), 19 May 2009 (34.17%), 19 Jun 2009 (1.13%), 20 Jul 2009 (-7.84%), 21 Jul 2009 (-6.42%), 14 Aug 2009 (-5.79%), 14 Sep 2009 (3.96%), 08 Oct 2009 (13.0%), 11 Nov 2009 (-5.64%), 03 Dec 2009 (-5.16%)
20081105 Feb 2008 (-10.52%), 06 Feb 2008 (-10.93%), 14 Feb 2008 (-10.47%), 27 Mar 2008 (7.64%), 16 Jun 2008 (-3.85%), 10 Jul 2008 (-8.08%), 02 Sep 2008 (-5.6%), 26 Sep 2008 (-5.71%), 01 Oct 2008 (-6.52%), 03 Nov 2008 (-2.35%), 08 Dec 2008 (11.82%)
20071108 Feb 2007 (-5.2%), 09 Feb 2007 (-5.86%), 19 Mar 2007 (-0.76%), 22 Jun 2007 (8.09%), 13 Jul 2007 (-3.8%), 17 Aug 2007 (-2.37%), 27 Aug 2007 (4.96%), 16 Oct 2007 (-8.04%), 25 Oct 2007 (7.97%), 15 Nov 2007 (-4.68%), 28 Nov 2007 (9.05%)
20061113 Feb 2006 (-4.01%), 24 Feb 2006 (-3.03%), 10 Mar 2006 (-3.69%), 31 Mar 2006 (18.56%), 29 Apr 2006 (4.44%), 22 Jun 2006 (-2.76%), 29 Sep 2006 (-4.79%), 10 Nov 2006 (-4.06%), 27 Nov 2006 (-4.38%), 05 Dec 2006 (-4.54%), 27 Dec 2006 (11.83%)
20051008 Mar 2005 (-3.91%), 09 Mar 2005 (-4.15%), 04 Apr 2005 (1.82%), 05 May 2005 (7.72%), 06 Jul 2005 (-4.58%), 07 Jul 2005 (-0.61%), 29 Jul 2005 (-3.81%), 05 Aug 2005 (-3.82%), 08 Aug 2005 (0.84%), 07 Nov 2005 (5.21%)
2004814 Jan 2004 (-2.71%), 17 Feb 2004 (-5.15%), 19 Mar 2004 (-5.49%), 25 Mar 2004 (33.58%), 17 Jun 2004 (-1.46%), 20 Jul 2004 (-1.47%), 30 Aug 2004 (-1.15%), 03 Nov 2004 (-0.91%)
20031315 Jan 2003 (5.74%), 20 Feb 2003 (-4.36%), 21 Feb 2003 (-1.02%), 22 Mar 2003 (-3.79%), 03 Apr 2003 (10.15%), 05 May 2003 (-0.77%), 27 May 2003 (4.67%), 03 Jul 2003 (-4.42%), 04 Jul 2003 (-4.63%), 21 Aug 2003 (-3.09%), 08 Oct 2003 (-2.26%), 25 Oct 2003 (-4.14%), 03 Nov 2003 (25.43%)
2002608 Jan 2002 (-4.65%), 07 Mar 2002 (-7.27%), 03 May 2002 (-1.87%), 04 Jun 2002 (-2.26%), 07 Aug 2002 (-3.79%), 28 Oct 2002 (-0.95%)
2001219 Jul 2001 (-3.6%), 20 Sep 2001 (-6.39%)
2000119 Jan 2000 (-3.59%)
1999903 Mar 1999 (2.06%), 01 Apr 1999 (-6.14%), 08 Apr 1999 (-5.43%), 30 Apr 1999 (17.4%), 22 Jun 1999 (-3.9%), 30 Jun 1999 (22.51%), 13 Aug 1999 (62.88%), 13 Oct 1999 (-4.35%), 29 Nov 1999 (20.67%)
1998722 May 1998 (-3.71%), 07 Jul 1998 (2.52%), 29 Jul 1998 (-3.23%), 09 Sep 1998 (14.46%), 12 Nov 1998 (-5.91%), 30 Nov 1998 (-2.41%), 30 Dec 1998 (21.69%)



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