Study: Buy KAJARIACER when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy KAJARIACER 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 KAJARIACER 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
1112782188919748.44895.7837826.09-3430.25-18760.471.431.340.019599.9
21738101888710146.288043.4785652.17-5207.64-21596.241.541.330.018924.52
3245369188969251.068882.11102174-6601.23-27405.251.351.40.0211305.15
4333051188939549.4710761.0475217.39-7028.7-39650.151.531.50.0271771.55
5325460188989052.1311253.3994401.38-8637.47-34893.621.31.420.0241731.17
6294061188979151.612268.39110939-9845.86-47765.961.251.330.021564.15
726170118894945012678.8296468.56-9894.76-56595.741.281.280.0171392.03
8513415188959350.5314575.57107149-9368.43-53617.021.561.590.0322730.93
9574633188969251.0615964.51131783-10412.61-65319.151.531.60.0313056.56
107369511881038554.7916735.94158312-11610.02-63404.261.441.750.0363919.95
Although, strategy looks good but profit factor on day 7 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-16.274060162257015531.1121661.03151698-7162.95-21413.573.021.370.0181804.51
atrnil26.534095572198613339.2719120.48102245-9284.24-28223.292.061.330.0251870.12
atrnil39.423550702045714727.9430091.8154266.83-9252.81-51122.73.251.260.0191740.54
atrtrail35.232185412287315532.0218224.348146.88-7173.12-21413.572.541.20.014958.51
atrtrail24.51487672328115134.9115611.5636177.89-7389.2-21413.572.111.130.011641.24

In the table above, row 1 shows the best exit criterion. Profit factor is 1.37. 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 31.11%, which is not acceptable. Avoid this strategy. Average return per trade is 0.9%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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.
KAJARIACER Performance, Profit Factor:1.37

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019526 Feb 2019 (6.49%), 01 Apr 2019 (0.64%), 20 May 2019 (-1.77%), 16 Jul 2019 (-3.12%), 08 Aug 2019 (0.43%)
20181027 Feb 2018 (-3.05%), 14 May 2018 (0.11%), 13 Jun 2018 (-3.1%), 12 Jul 2018 (-3.03%), 13 Jul 2018 (-3.11%), 26 Jul 2018 (2.61%), 21 Aug 2018 (3.29%), 16 Oct 2018 (-5.59%), 25 Oct 2018 (23.67%), 19 Dec 2018 (12.28%)
2017831 Mar 2017 (2.71%), 09 May 2017 (-2.37%), 14 Jul 2017 (-2.61%), 31 Jul 2017 (-2.44%), 21 Aug 2017 (14.02%), 09 Nov 2017 (-3.04%), 10 Nov 2017 (-3.29%), 21 Dec 2017 (-2.25%)
20161327 Jan 2016 (-2.86%), 28 Jan 2016 (-0.94%), 02 Mar 2016 (-3.55%), 03 Mar 2016 (-1.01%), 12 Apr 2016 (6.39%), 01 Jun 2016 (5.22%), 08 Jul 2016 (-0.82%), 01 Aug 2016 (-2.56%), 23 Aug 2016 (-2.31%), 06 Sep 2016 (1.77%), 28 Sep 2016 (3.21%), 28 Nov 2016 (-1.29%), 30 Dec 2016 (21.84%)
2015831 Mar 2015 (-3.7%), 01 Apr 2015 (-3.87%), 04 May 2015 (-1.75%), 09 Jul 2015 (2.37%), 05 Aug 2015 (-1.93%), 04 Sep 2015 (30.09%), 23 Nov 2015 (-0.39%), 15 Dec 2015 (-0.2%)
2014924 Jan 2014 (-3.28%), 05 Feb 2014 (-2.55%), 12 Mar 2014 (75.85%), 04 Jul 2014 (-3.92%), 18 Jul 2014 (11.52%), 22 Aug 2014 (2.33%), 07 Oct 2014 (-3.29%), 17 Nov 2014 (-1.6%), 29 Dec 2014 (2.09%)
20131107 Feb 2013 (-3.63%), 20 Feb 2013 (-3.03%), 28 Mar 2013 (-2.41%), 22 Apr 2013 (22.63%), 31 May 2013 (-0.49%), 12 Jul 2013 (-3.44%), 15 Jul 2013 (-3.78%), 02 Sep 2013 (-2.37%), 29 Oct 2013 (-1.14%), 14 Nov 2013 (0.12%), 02 Dec 2013 (20.52%)
2012628 Feb 2012 (-2.1%), 19 Mar 2012 (-3.73%), 10 Apr 2012 (5.79%), 12 Jun 2012 (5.69%), 12 Sep 2012 (-0.42%), 15 Nov 2012 (9.63%)
2011815 Feb 2011 (-4.37%), 15 Mar 2011 (-3.24%), 28 Apr 2011 (-4.0%), 27 Jun 2011 (-3.22%), 07 Sep 2011 (5.45%), 13 Oct 2011 (-3.67%), 01 Dec 2011 (-1.81%), 26 Dec 2011 (-2.87%)
2010811 Feb 2010 (0.96%), 31 Mar 2010 (-1.13%), 22 Apr 2010 (0.53%), 16 Jun 2010 (-2.96%), 09 Jul 2010 (2.84%), 06 Sep 2010 (6.1%), 08 Nov 2010 (-3.47%), 30 Dec 2010 (-2.67%)
20091205 Jan 2009 (-6.86%), 26 Feb 2009 (-6.45%), 27 Feb 2009 (-7.15%), 13 Mar 2009 (-6.91%), 04 May 2009 (-5.67%), 05 May 2009 (37.85%), 07 Jul 2009 (-6.81%), 15 Jul 2009 (13.22%), 26 Aug 2009 (-5.89%), 15 Oct 2009 (-2.6%), 09 Nov 2009 (5.75%), 24 Dec 2009 (3.94%)
2008828 Mar 2008 (-2.42%), 17 Jun 2008 (-6.21%), 07 Jul 2008 (3.3%), 08 Sep 2008 (-5.68%), 09 Sep 2008 (-5.36%), 23 Oct 2008 (-10.71%), 29 Oct 2008 (-8.93%), 04 Dec 2008 (2.29%)
2007508 Mar 2007 (-4.71%), 04 Jun 2007 (-5.75%), 21 Jun 2007 (42.82%), 20 Aug 2007 (-2.16%), 16 Nov 2007 (6.46%)
20061023 Feb 2006 (-0.52%), 17 Apr 2006 (-1.75%), 16 Jun 2006 (-5.14%), 03 Jul 2006 (-6.56%), 04 Jul 2006 (-7.02%), 13 Jul 2006 (10.68%), 30 Aug 2006 (-4.52%), 18 Sep 2006 (6.71%), 01 Dec 2006 (0.31%), 29 Dec 2006 (-4.95%)
2005808 Apr 2005 (-3.28%), 10 May 2005 (5.76%), 10 Jun 2005 (-0.81%), 21 Jun 2005 (11.86%), 17 Aug 2005 (-0.26%), 13 Sep 2005 (-1.65%), 27 Sep 2005 (-2.68%), 10 Nov 2005 (12.62%)
2004701 Mar 2004 (-7.58%), 30 Mar 2004 (14.51%), 15 Jun 2004 (-5.14%), 28 Jun 2004 (7.28%), 06 Aug 2004 (-4.13%), 06 Sep 2004 (3.05%), 08 Oct 2004 (10.26%)
20031016 Jan 2003 (2.61%), 03 Feb 2003 (-4.37%), 11 Mar 2003 (-3.91%), 05 May 2003 (-5.27%), 26 May 2003 (-3.5%), 04 Jul 2003 (12.16%), 13 Aug 2003 (-0.28%), 26 Sep 2003 (-6.95%), 29 Sep 2003 (9.55%), 18 Nov 2003 (1.57%)
2002611 Feb 2002 (9.33%), 15 Mar 2002 (-6.11%), 11 Apr 2002 (1.99%), 08 May 2002 (-1.49%), 11 Jun 2002 (9.06%), 14 Aug 2002 (-6.92%)
2001909 Feb 2001 (-7.14%), 15 Feb 2001 (-6.69%), 07 Mar 2001 (-7.83%), 15 Mar 2001 (-8.58%), 19 Apr 2001 (-5.98%), 02 May 2001 (-5.79%), 24 Aug 2001 (-3.63%), 27 Aug 2001 (-4.02%), 05 Oct 2001 (-1.32%)
2000701 Mar 2000 (-7.62%), 29 Mar 2000 (-7.62%), 09 May 2000 (-5.07%), 27 Jun 2000 (-4.59%), 04 Aug 2000 (-0.2%), 13 Oct 2000 (-5.31%), 28 Nov 2000 (6.54%)
19991329 Jan 1999 (-4.31%), 01 Feb 1999 (-4.37%), 01 Mar 1999 (6.27%), 19 Mar 1999 (-4.24%), 17 May 1999 (9.18%), 23 Jun 1999 (-4.58%), 02 Aug 1999 (-5.39%), 03 Aug 1999 (-6.05%), 12 Aug 1999 (26.16%), 09 Sep 1999 (-5.24%), 07 Oct 1999 (26.09%), 01 Dec 1999 (-0.28%), 15 Dec 1999 (47.82%)
19981102 Jan 1998 (-1.6%), 19 Feb 1998 (-7.87%), 20 Feb 1998 (6.19%), 25 Mar 1998 (47.68%), 02 Jul 1998 (-7.22%), 03 Jul 1998 (18.74%), 21 Aug 1998 (-5.51%), 12 Nov 1998 (-4.25%), 13 Nov 1998 (-4.65%), 08 Dec 1998 (-4.77%), 30 Dec 1998 (2.68%)
19971317 Feb 1997 (-2.5%), 28 Feb 1997 (-0.01%), 17 Apr 1997 (-3.68%), 17 Jun 1997 (-2.48%), 10 Jul 1997 (-3.45%), 25 Jul 1997 (1.66%), 13 Aug 1997 (-3.18%), 25 Aug 1997 (-2.96%), 26 Aug 1997 (-3.01%), 09 Sep 1997 (-2.34%), 10 Sep 1997 (-1.76%), 13 Oct 1997 (-2.62%), 27 Nov 1997 (-1.36%)
19961516 Jan 1996 (-2.67%), 17 Jan 1996 (-2.75%), 13 Feb 1996 (-2.86%), 14 Feb 1996 (-1.41%), 28 Mar 1996 (-2.5%), 29 Mar 1996 (2.2%), 20 May 1996 (-1.53%), 21 May 1996 (-1.71%), 27 May 1996 (-0.72%), 23 Jul 1996 (-2.16%), 24 Jul 1996 (-2.21%), 02 Sep 1996 (-1.48%), 14 Oct 1996 (-2.2%), 15 Oct 1996 (2.82%), 16 Dec 1996 (-1.85%)
1995528 Jun 1995 (-1.56%), 29 Sep 1995 (-2.42%), 10 Oct 1995 (-2.15%), 01 Nov 1995 (-4.34%), 12 Dec 1995 (-1.92%)



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