Study: Buy MARICO when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy MARICO 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 MARICO 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
1-3643.521928810445.833359.0122285.31-2877.27-9972.31.170.99-0.00098-18.98
262224.141929010246.884667.0324698.37-3507.93-14589.11.331.170.012324.08
376482.7192939948.445345.9930370.96-4249.44-15903.261.261.180.013398.35
41018261928810445.836556.8635054.55-4569.02-16867.061.441.210.015530.34
51122111929110147.47395.1534581.82-5551.95-26464.211.331.20.014584.43
668828.8192939948.447610.434836.36-6453.92-25859.451.181.110.0085358.48
795108.21192959749.488052.0939381.82-6905.57-28432.841.171.140.011495.36
8106198192989451.048041.8942330.81-7254.33-29814.421.111.160.012553.12
9210291192979550.529122.5450312.89-7101-28840.891.281.310.0211095.27
102103911921019152.68672.3664330.41-7313.38-29898.651.191.320.0211095.79
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
atrnil39.75228651956812734.8720955.1161032.93-7103.01-16915.082.951.580.0412681.36
atrnil26.493786932189312542.6613594.140688.62-7084.46-16915.081.921.430.0351737.13
atrtrail24.51379372338814537.7710578.9640688.62-5469.05-13791.871.931.170.014592
atrtrail35.1112139225811443610973.4830667.93-5393.84-13791.872.031.140.011498.39
atrtrail-15.8312170.362187514334.410306.4576007.37-5320.37-13791.871.941.020.001155.83

In the table above, row 1 shows the best exit criterion. Profit factor is 1.58. 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 34.87%, which is not acceptable. Avoid this strategy. Average return per trade is 1.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.041, 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.
MARICO Performance, Profit Factor:1.58

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019605 Mar 2019 (8.32%), 20 May 2019 (-2.51%), 02 Aug 2019 (6.79%), 24 Sep 2019 (-2.24%), 25 Sep 2019 (-2.47%), 18 Oct 2019 (-2.22%)
2018814 Feb 2018 (-2.5%), 20 Mar 2018 (7.16%), 18 May 2018 (-2.6%), 28 May 2018 (7.41%), 05 Jul 2018 (6.99%), 23 Aug 2018 (-2.42%), 16 Oct 2018 (-3.96%), 13 Dec 2018 (-2.66%)
20171107 Feb 2017 (-2.08%), 29 Mar 2017 (6.43%), 26 Apr 2017 (-2.02%), 27 Apr 2017 (-2.1%), 02 Jun 2017 (-2.31%), 03 Jul 2017 (-2.1%), 06 Sep 2017 (6.17%), 12 Oct 2017 (-2.16%), 01 Nov 2017 (-2.02%), 24 Nov 2017 (-2.19%), 19 Dec 2017 (-2.2%)
20161104 Feb 2016 (-3.32%), 18 Feb 2016 (9.66%), 08 Apr 2016 (-2.85%), 27 May 2016 (-2.58%), 06 Jun 2016 (-2.47%), 16 Jun 2016 (6.76%), 08 Sep 2016 (-2.34%), 06 Oct 2016 (-2.36%), 18 Oct 2016 (-2.38%), 24 Nov 2016 (-3.44%), 28 Dec 2016 (7.57%)
20151014 Jan 2015 (-2.94%), 03 Mar 2015 (7.76%), 04 Mar 2015 (-2.96%), 31 Mar 2015 (-3.89%), 14 May 2015 (13.0%), 22 Jun 2015 (-3.76%), 04 Aug 2015 (-2.77%), 14 Sep 2015 (-3.43%), 04 Nov 2015 (7.8%), 16 Dec 2015 (6.55%)
20141005 Feb 2014 (-2.54%), 21 Mar 2014 (-2.0%), 02 May 2014 (7.02%), 23 May 2014 (-2.89%), 25 Jul 2014 (7.84%), 04 Sep 2014 (8.01%), 30 Sep 2014 (-3.04%), 31 Oct 2014 (-3.07%), 10 Nov 2014 (9.27%), 11 Nov 2014 (-3.43%)
20131120 Feb 2013 (-2.72%), 11 Mar 2013 (-2.67%), 02 Apr 2013 (-3.5%), 25 Apr 2013 (7.93%), 16 May 2013 (7.98%), 08 Jul 2013 (-3.45%), 16 Aug 2013 (-3.69%), 29 Aug 2013 (-3.48%), 15 Oct 2013 (-2.71%), 28 Nov 2013 (-2.43%), 18 Dec 2013 (-2.39%)
20121003 Feb 2012 (8.58%), 06 Feb 2012 (-3.53%), 21 Mar 2012 (8.1%), 14 Jun 2012 (8.72%), 24 Jul 2012 (-2.36%), 29 Aug 2012 (-2.84%), 03 Oct 2012 (-3.13%), 06 Nov 2012 (9.3%), 13 Nov 2012 (-3.06%), 30 Nov 2012 (-3.05%)
2011803 Jan 2011 (10.76%), 15 Feb 2011 (-4.28%), 04 Mar 2011 (12.75%), 20 May 2011 (11.23%), 07 Sep 2011 (-4.2%), 05 Oct 2011 (11.26%), 01 Dec 2011 (-3.71%), 23 Dec 2011 (9.89%)
20101015 Jan 2010 (-3.34%), 16 Feb 2010 (11.26%), 06 Apr 2010 (-4.37%), 17 May 2010 (-3.45%), 03 Jun 2010 (-3.76%), 04 Jun 2010 (12.58%), 18 Aug 2010 (9.41%), 08 Sep 2010 (11.2%), 28 Oct 2010 (-3.53%), 21 Dec 2010 (-4.17%)
2009820 Jan 2009 (-4.99%), 09 Mar 2009 (-3.66%), 01 Apr 2009 (12.57%), 08 Apr 2009 (-5.08%), 28 May 2009 (15.35%), 08 Jul 2009 (-5.06%), 24 Aug 2009 (13.87%), 07 Dec 2009 (-4.14%)
20081103 Jan 2008 (-4.85%), 01 Feb 2008 (-8.46%), 11 Mar 2008 (-5.14%), 12 Mar 2008 (-5.55%), 19 Mar 2008 (16.77%), 04 Jun 2008 (-3.64%), 18 Jul 2008 (15.47%), 29 Sep 2008 (-4.07%), 23 Oct 2008 (-6.21%), 29 Oct 2008 (-6.54%), 19 Nov 2008 (18.49%)
20071115 Jan 2007 (-3.75%), 29 Jan 2007 (-3.85%), 19 Feb 2007 (-3.6%), 22 Mar 2007 (-4.62%), 11 May 2007 (12.82%), 18 Jun 2007 (-3.56%), 05 Jul 2007 (9.3%), 23 Aug 2007 (11.88%), 27 Sep 2007 (11.45%), 29 Oct 2007 (11.68%), 07 Dec 2007 (12.01%)
2006607 Mar 2006 (-3.79%), 08 Mar 2006 (13.39%), 19 Jun 2006 (30.52%), 21 Oct 2006 (-2.48%), 01 Nov 2006 (-2.34%), 29 Nov 2006 (7.25%)
2005924 Jan 2005 (-3.28%), 25 Jan 2005 (12.3%), 04 Apr 2005 (-5.15%), 12 May 2005 (-3.96%), 01 Jul 2005 (11.93%), 02 Aug 2005 (-4.11%), 05 Sep 2005 (-3.37%), 13 Oct 2005 (-3.45%), 02 Nov 2005 (12.15%)
2004709 Feb 2004 (17.07%), 05 Apr 2004 (-4.57%), 06 May 2004 (-3.88%), 24 May 2004 (-5.3%), 12 Jul 2004 (-3.56%), 16 Aug 2004 (8.35%), 02 Nov 2004 (8.22%)
2003710 Feb 2003 (-2.41%), 07 Apr 2003 (-3.31%), 01 Jul 2003 (-3.02%), 26 Aug 2003 (10.2%), 03 Oct 2003 (-3.78%), 11 Nov 2003 (-4.19%), 27 Nov 2003 (11.71%)
2002917 Jan 2002 (-3.75%), 18 Jan 2002 (11.68%), 04 Apr 2002 (8.44%), 06 Jun 2002 (8.94%), 07 Aug 2002 (-3.3%), 05 Sep 2002 (9.19%), 14 Oct 2002 (-2.13%), 01 Nov 2002 (5.86%), 04 Nov 2002 (7.59%)
2001513 Jul 2001 (-7.54%), 27 Sep 2001 (-4.19%), 21 Nov 2001 (-2.84%), 14 Dec 2001 (-3.4%), 18 Dec 2001 (-3.67%)
2000406 Jan 2000 (-6.9%), 13 Jan 2000 (-6.65%), 17 Feb 2000 (-5.58%), 14 Mar 2000 (-7.7%)
19991018 Jan 1999 (8.76%), 01 Mar 1999 (11.74%), 07 May 1999 (-5.78%), 23 Jun 1999 (9.21%), 19 Jul 1999 (-3.01%), 18 Aug 1999 (-3.55%), 19 Aug 1999 (-3.76%), 13 Oct 1999 (-4.6%), 25 Nov 1999 (-5.07%), 17 Dec 1999 (-5.16%)
1998826 Jun 1998 (17.67%), 25 Aug 1998 (-2.7%), 07 Sep 1998 (-3.27%), 28 Sep 1998 (-2.98%), 14 Oct 1998 (-3.15%), 29 Oct 1998 (-3.01%), 11 Nov 1998 (7.89%), 21 Dec 1998 (-3.1%)
1997503 Jun 1997 (-2.92%), 04 Jun 1997 (9.27%), 15 Sep 1997 (-1.96%), 30 Sep 1997 (-2.28%), 03 Dec 1997 (-3.33%)



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