Study: Buy LUPIN when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy LUPIN 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 LUPIN 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
1128873152827053.953925.8430670.8-2757.8-17361.721.421.670.04847.85
251169.33152787451.324362.132531.99-3906.42-35849.961.121.180.013336.64
3-365.47152747848.685098.6934936.02-4841.91-39410.141.051-7.9e-05-2.4
428131.86152797351.975832.3941011.49-5926.4-41471.80.981.070.0053185.08
580890.5152836954.616818.3739448.28-7029.49-40927.750.971.170.013532.17
656366.74152827053.957060.2936331.91-7465.38-42101.750.951.110.0088370.83
741621.71152807252.637720.3936847.95-8000.13-40603.230.971.070.0061273.83
8105346152817153.298673.9449556.05-8411.87-42769.881.031.180.014693.07
9266489152876557.249724.8951054.38-8916.57-41748.591.091.460.0331753.22
10368173152886457.8910645.9661108.96-8885.49-41643.61.21.650.0422422.19

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.67. 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 53.95%, which is not acceptable. Avoid this strategy. Average return per trade is 0.42%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, which is low, don't trade solely on the basis of this study.

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
nilnil-11128873152827053.953925.8430670.8-2757.8-17361.721.421.670.04847.85
atrnil39.523404741594911030.8222892.4350442.39-7102.32-16249.133.221.440.0352141.34
atrnil27.151443891656110436.9714581.3633628.26-7164.17-16249.132.041.190.019875.08
atrtrail35.3555026.081716510638.019514.4950442.39-5315.24-13383.061.791.10.0077321.79
atrtrail-15.9831718.991706510538.249048.7760581.53-5299.53-13383.061.711.060.0044186.58
atrtrail24.929468.771726710538.958836.9733628.26-5358.17-13383.061.651.050.0048171.33

In the table above, row 1 shows the best exit criterion. Profit factor is 1.67. 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 53.95%, which is not acceptable. Avoid this strategy. Average return per trade is 0.42%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, 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.
LUPIN Performance, X=1, Profit Factor:1.67

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019709 Jan 2019 (-0.02%), 01 Mar 2019 (-0.25%), 01 Apr 2019 (1.51%), 14 Jun 2019 (-2.25%), 26 Jul 2019 (-1.94%), 04 Sep 2019 (3.15%), 15 Oct 2019 (1.62%)
2018927 Feb 2018 (-0.77%), 14 Mar 2018 (-0.63%), 02 Apr 2018 (1.47%), 28 May 2018 (-0.19%), 02 Aug 2018 (2.45%), 17 Aug 2018 (-1.36%), 17 Oct 2018 (-1.83%), 16 Nov 2018 (-1.06%), 20 Dec 2018 (0.4%)
2017925 Jan 2017 (-1.77%), 27 Feb 2017 (0.68%), 17 Mar 2017 (0.56%), 16 May 2017 (0.49%), 07 Jun 2017 (1.15%), 05 Jul 2017 (-0.25%), 23 Aug 2017 (3.83%), 03 Nov 2017 (-1.26%), 27 Nov 2017 (0.1%)
2016825 Jan 2016 (-0.58%), 08 Apr 2016 (-1.39%), 14 Jun 2016 (0.83%), 07 Sep 2016 (2.5%), 07 Oct 2016 (1.34%), 08 Nov 2016 (1.46%), 24 Nov 2016 (3.44%), 30 Dec 2016 (1.26%)
2015813 Jan 2015 (-0.68%), 24 Mar 2015 (0.05%), 20 May 2015 (-0.7%), 18 Jun 2015 (1.22%), 11 Aug 2015 (1.41%), 21 Sep 2015 (-0.47%), 24 Nov 2015 (-1.33%), 16 Dec 2015 (-0.34%)
2014706 Feb 2014 (1.14%), 03 Apr 2014 (-0.13%), 22 Apr 2014 (0.42%), 22 Jul 2014 (-0.56%), 19 Aug 2014 (2.3%), 15 Sep 2014 (-3.88%), 27 Oct 2014 (-2.56%)
2013925 Jan 2013 (-0.71%), 22 Feb 2013 (1.66%), 08 Mar 2013 (-0.55%), 12 Apr 2013 (-0.36%), 18 Jun 2013 (0.62%), 03 Jul 2013 (2.43%), 02 Sep 2013 (2.51%), 04 Oct 2013 (1.87%), 02 Dec 2013 (-0.71%)
20121019 Jan 2012 (-0.52%), 15 Feb 2012 (0.43%), 03 Mar 2012 (0.22%), 30 Mar 2012 (1.69%), 06 Jun 2012 (-0.69%), 22 Jun 2012 (-1.01%), 31 Aug 2012 (-0.78%), 01 Oct 2012 (-0.33%), 22 Oct 2012 (-1.2%), 30 Nov 2012 (-0.86%)
2011815 Feb 2011 (-1.55%), 03 Mar 2011 (-0.15%), 13 May 2011 (1.79%), 30 May 2011 (4.12%), 29 Jun 2011 (0.68%), 25 Aug 2011 (-2.18%), 20 Oct 2011 (-0.71%), 28 Dec 2011 (0.73%)
20101001 Feb 2010 (-1.08%), 08 Mar 2010 (0.07%), 20 Apr 2010 (-1.59%), 01 Jun 2010 (-0.61%), 25 Jun 2010 (0.93%), 26 Jul 2010 (-0.62%), 24 Aug 2010 (-0.76%), 07 Sep 2010 (1.95%), 10 Nov 2010 (2.23%), 30 Dec 2010 (1.62%)
20091020 Jan 2009 (-2.89%), 06 Feb 2009 (1.12%), 19 Mar 2009 (-4.48%), 16 Jul 2009 (1.34%), 07 Aug 2009 (0.78%), 25 Aug 2009 (-0.06%), 10 Sep 2009 (-1.78%), 09 Nov 2009 (-1.51%), 03 Dec 2009 (2.38%), 18 Dec 2009 (-1.3%)
20081004 Feb 2008 (1.16%), 19 Feb 2008 (-1.67%), 07 Apr 2008 (0.51%), 15 May 2008 (4.83%), 22 Jul 2008 (0.87%), 13 Aug 2008 (-1.2%), 08 Sep 2008 (-1.51%), 01 Oct 2008 (2.07%), 31 Oct 2008 (7.54%), 02 Dec 2008 (0.62%)
2007801 Feb 2007 (1.83%), 22 Feb 2007 (-3.26%), 22 Mar 2007 (0.8%), 22 Jun 2007 (1.15%), 28 Aug 2007 (-1.65%), 28 Sep 2007 (1.34%), 24 Oct 2007 (1.64%), 05 Dec 2007 (0.94%)
2006816 Jan 2006 (-0.42%), 31 Mar 2006 (4.37%), 20 Jun 2006 (3.89%), 10 Jul 2006 (0.51%), 31 Jul 2006 (-0.87%), 04 Oct 2006 (1.81%), 30 Oct 2006 (-1.33%), 22 Nov 2006 (0.22%)
2005902 Feb 2005 (-1.1%), 04 Apr 2005 (0.14%), 25 Apr 2005 (0.46%), 03 Jun 2005 (2.33%), 18 Jul 2005 (-1.2%), 11 Aug 2005 (0.65%), 05 Sep 2005 (0.47%), 04 Oct 2005 (-4.03%), 10 Nov 2005 (-0.39%)
2004525 Mar 2004 (-1.79%), 29 Jun 2004 (-2.03%), 07 Sep 2004 (2.39%), 27 Sep 2004 (0.39%), 05 Nov 2004 (-0.84%)
2003809 Jan 2003 (3.19%), 26 Feb 2003 (2.22%), 22 Mar 2003 (-3.89%), 07 Apr 2003 (3.76%), 28 May 2003 (3.75%), 26 Jun 2003 (15.34%), 25 Jul 2003 (2.83%), 22 Aug 2003 (-8.68%)
2002814 Jan 2002 (0.41%), 19 Feb 2002 (10.25%), 03 Apr 2002 (-2.86%), 05 Jun 2002 (0.55%), 04 Jul 2002 (-0.49%), 09 Aug 2002 (0.56%), 08 Oct 2002 (-2.16%), 28 Oct 2002 (1.19%)
2001126 Nov 2001 (8.01%)



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