Study: Buy MARICO when there is Bullish Centerline Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy MARICO when there is Bullish Centerline 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
1-20927.98134930.775349.1210531.04-4702.72-15639.51.140.51-0.057-1609.84
25229.55137653.854628.1512655.2-4527.92-15727.861.021.190.014402.27
3-6500.26136746.155007.9114106.18-5221.11-15330.240.960.82-0.015-500.02
411630.94137653.856441.6115439.86-5576.72-11483.251.161.350.026894.69
526258.1139469.235285.5210977.17-5327.89-12944.550.992.230.0712019.85
629064.22139469.236018.1814978.2-6274.85-15462.780.962.160.0632235.71
740589.13139469.236146.7416574.42-3682.89-10470.511.673.760.0953122.24
825812.24136746.159833.4815747.63-4741.24-9825.872.071.780.051985.56
910016.46137653.857715.617962.7-7332.13-10470.511.051.230.018770.5
1015173.7138561.547818.8720659.97-9475.46-18511.160.831.320.0251167.21
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
MARICO Performance, X=7, Profit Factor:3.76

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019123 Sep 2019 (-0.62%)
2015213 Jan 2015 (8.29%), 31 Jul 2015 (-0.76%)
2012126 Sep 2012 (0.72%)
2005219 Jan 2005 (6.23%), 10 May 2005 (0.68%)
2004227 Jan 2004 (0.07%), 21 Oct 2004 (-0.75%)
2003227 Feb 2003 (0.65%), 30 Sep 2003 (6.49%)
2002106 Aug 2002 (0.5%)
2001213 Nov 2001 (4.05%), 28 Dec 2001 (-5.24%)

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
atrnil27.5681122169756.2514174.8225140.23-6635.92-11738.592.142.750.15070.12
atrnil39.8174195.861661037.523054.2537710.35-6412.96-11738.593.592.160.0674637.24
atrtrail34.819605.611651131.2511930.8723087.84-4549.88-11738.592.621.190.014600.35
atrtrail24.065400.451661037.59061.2215391.89-4896.68-11738.591.851.110.0094337.53
atrtrail-15.752079.51651131.2510425.6533625.01-4549.88-11738.592.291.040.0029129.97

In the table above, row 1 shows the best exit criterion. Profit factor is 2.75. 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 56.25%, which is not acceptable. Avoid this strategy. Average return per trade is 2.54%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MARICO Performance, Profit Factor:2.75

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019123 Sep 2019 (4.36%)
2015213 Jan 2015 (5.23%), 31 Jul 2015 (-2.68%)
2012126 Sep 2012 (6.86%)
2005219 Jan 2005 (-3.4%), 10 May 2005 (-4.02%)
2004327 Jan 2004 (-5.87%), 28 Jan 2004 (12.57%), 21 Oct 2004 (5.6%)
2003327 Feb 2003 (-1.94%), 28 Feb 2003 (-2.08%), 30 Sep 2003 (7.7%)
2002106 Aug 2002 (6.62%)
2001313 Nov 2001 (6.7%), 28 Dec 2001 (-3.23%), 31 Dec 2001 (8.15%)



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