Study: Buy KTKBANK when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy KTKBANK 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 KTKBANK 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
157543.93154639140.915698.940000-3313.04-17264.961.721.190.013373.66
2143118154688644.169305.7764537.04-5693.89-35089.971.631.290.02929.34
3185920154757948.79734.1154814.81-6887.82-36311.051.411.340.0251207.28
4171972154757948.710726.7363611.11-8006.75-38753.211.341.270.021116.7
5213243154718346.112927.2159722.22-8489.03-45179.951.521.30.0221384.69
6127041154718346.113602.0562765.96-10104.87-43316.21.351.150.012824.94
769986.97154678743.5115741.8963352.6-11318.62-46418.061.391.070.006454.46
8180095154708445.4517458.1877109.83-12404.5-43123.391.411.170.0141169.45
9345655154738147.419389.17110213-13206.85-48650.391.471.320.0232244.51
10360804154748048.0519810.42124504-13814.59-50064.271.431.330.0222342.88
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
atrtrail-15.382905981726510737.7916122.84106822-7078.38-16267.252.281.380.0251689.52
atrtrail34.62481901756610937.7115384.7442920.88-7038.55-16267.252.191.320.0251418.23
atrnil37.352944761655111430.9124910.7347427.55-8561.15-16267.252.911.30.0261784.7
atrtrail23.821962971817011138.6713886.7328613.92-6988.95-16267.251.991.250.0221084.52
atrnil24.91858701786811038.216462.0631618.37-8486.82-16267.251.941.20.0191044.21

In the table above, row 1 shows the best exit criterion. Profit factor is 1.38. 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 37.79%, which is not acceptable. Avoid this strategy. Average return per trade is 0.84%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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.
KTKBANK Performance, Profit Factor:1.38

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019305 Mar 2019 (6.09%), 08 Apr 2019 (-3.4%), 27 May 2019 (-3.92%)
2018926 Feb 2018 (-3.62%), 30 Apr 2018 (-3.02%), 18 May 2018 (-4.04%), 21 May 2018 (2.1%), 07 Jun 2018 (-1.71%), 09 Jul 2018 (1.37%), 25 Jul 2018 (4.56%), 11 Oct 2018 (-3.89%), 12 Dec 2018 (1.03%)
20171106 Feb 2017 (-3.03%), 21 Feb 2017 (9.24%), 06 Apr 2017 (-2.2%), 07 Apr 2017 (7.56%), 28 Apr 2017 (1.89%), 01 Jun 2017 (-3.53%), 18 Aug 2017 (-3.68%), 24 Aug 2017 (-1.63%), 11 Oct 2017 (6.11%), 27 Nov 2017 (-2.84%), 21 Dec 2017 (-1.84%)
2016901 Feb 2016 (-3.65%), 15 Feb 2016 (-4.3%), 11 May 2016 (-1.25%), 23 May 2016 (2.97%), 04 Jul 2016 (3.38%), 22 Aug 2016 (-3.39%), 20 Oct 2016 (-1.58%), 10 Nov 2016 (-4.95%), 11 Nov 2016 (-5.33%)
20151319 Jan 2015 (-3.54%), 20 Feb 2015 (-3.57%), 02 Mar 2015 (-3.54%), 01 Apr 2015 (2.89%), 04 May 2015 (-3.18%), 05 May 2015 (-3.38%), 18 May 2015 (9.16%), 22 Jun 2015 (-1.76%), 13 Jul 2015 (-3.27%), 07 Aug 2015 (-3.29%), 14 Sep 2015 (-0.76%), 23 Nov 2015 (1.35%), 21 Dec 2015 (-1.31%)
2014718 Feb 2014 (7.62%), 28 Apr 2014 (-3.32%), 06 Jun 2014 (-4.11%), 02 Jul 2014 (-3.52%), 21 Jul 2014 (-4.06%), 19 Aug 2014 (-0.73%), 17 Oct 2014 (16.68%)
20131107 Jan 2013 (-3.35%), 18 Feb 2013 (-2.0%), 11 Mar 2013 (-5.18%), 02 Apr 2013 (-4.92%), 07 Jun 2013 (-4.32%), 19 Jun 2013 (-4.08%), 10 Jul 2013 (-4.98%), 13 Aug 2013 (-7.37%), 07 Oct 2013 (15.73%), 03 Dec 2013 (-1.42%), 23 Dec 2013 (3.17%)
2012703 Jan 2012 (8.59%), 17 Apr 2012 (-3.76%), 28 May 2012 (-4.51%), 08 Sep 2012 (-3.06%), 17 Sep 2012 (26.28%), 01 Nov 2012 (0.82%), 26 Nov 2012 (12.89%)
2011921 Jan 2011 (-2.67%), 15 Feb 2011 (-4.68%), 03 Mar 2011 (-5.48%), 23 Mar 2011 (14.45%), 26 May 2011 (6.18%), 27 Jun 2011 (-2.53%), 30 Aug 2011 (-0.54%), 12 Oct 2011 (-3.77%), 28 Nov 2011 (-4.15%)
2010902 Mar 2010 (6.2%), 01 Apr 2010 (7.2%), 18 May 2010 (-3.73%), 22 Jun 2010 (1.39%), 16 Aug 2010 (-1.17%), 03 Sep 2010 (-2.93%), 24 Sep 2010 (-2.8%), 01 Nov 2010 (5.38%), 21 Dec 2010 (-0.32%)
2009630 Jan 2009 (-3.92%), 16 Mar 2009 (5.39%), 06 May 2009 (2.22%), 21 Jul 2009 (-3.79%), 28 Aug 2009 (8.97%), 16 Oct 2009 (7.22%)
2008504 Feb 2008 (-4.98%), 29 Feb 2008 (-4.99%), 04 Apr 2008 (1.27%), 10 Jul 2008 (-6.55%), 29 Aug 2008 (4.17%)
20071322 Jan 2007 (11.13%), 23 Mar 2007 (-4.65%), 09 Apr 2007 (-2.73%), 26 Apr 2007 (-3.74%), 27 Apr 2007 (1.27%), 29 May 2007 (-3.11%), 21 Jun 2007 (-2.66%), 29 Jun 2007 (-2.58%), 29 Aug 2007 (20.47%), 30 Oct 2007 (-5.04%), 13 Nov 2007 (1.19%), 06 Dec 2007 (-0.15%), 31 Dec 2007 (13.28%)
20061320 Jan 2006 (-3.57%), 23 Jan 2006 (-3.73%), 16 Mar 2006 (-3.62%), 03 Apr 2006 (2.89%), 03 May 2006 (-3.46%), 30 May 2006 (-7.25%), 20 Jun 2006 (0.69%), 25 Jul 2006 (4.34%), 05 Sep 2006 (-3.34%), 29 Sep 2006 (-3.36%), 16 Oct 2006 (-3.51%), 27 Nov 2006 (10.54%), 18 Dec 2006 (14.23%)
20051124 Feb 2005 (4.42%), 20 Apr 2005 (-4.35%), 05 May 2005 (-4.64%), 06 May 2005 (8.14%), 06 Jun 2005 (10.64%), 06 Jul 2005 (-4.55%), 07 Jul 2005 (5.96%), 29 Jul 2005 (1.07%), 12 Sep 2005 (-3.33%), 06 Oct 2005 (-3.93%), 08 Nov 2005 (4.15%)
2004616 Feb 2004 (-3.84%), 08 Mar 2004 (-1.84%), 08 Jun 2004 (-5.06%), 30 Aug 2004 (8.01%), 02 Nov 2004 (3.9%), 06 Dec 2004 (53.41%)
2003910 Jan 2003 (11.27%), 27 Feb 2003 (4.31%), 21 Mar 2003 (-4.03%), 02 May 2003 (2.23%), 07 Jul 2003 (-5.19%), 08 Jul 2003 (-4.1%), 31 Jul 2003 (6.69%), 26 Sep 2003 (-2.66%), 02 Dec 2003 (9.83%)
2002707 Jan 2002 (24.77%), 14 Mar 2002 (8.3%), 01 Apr 2002 (-8.13%), 30 May 2002 (25.66%), 22 Aug 2002 (25.39%), 03 Oct 2002 (-3.43%), 20 Nov 2002 (0.17%)
2001708 Feb 2001 (3.51%), 19 Apr 2001 (-6.78%), 14 Jun 2001 (-3.71%), 07 Aug 2001 (0.65%), 05 Sep 2001 (-3.89%), 14 Sep 2001 (-4.04%), 08 Oct 2001 (-2.16%)
2000731 Jul 2000 (-4.42%), 21 Aug 2000 (-3.94%), 22 Aug 2000 (-0.35%), 07 Sep 2000 (-4.75%), 08 Sep 2000 (-4.95%), 06 Oct 2000 (-3.89%), 29 Nov 2000 (-2.14%)



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