Study: Buy MRF when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy MRF 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 MRF 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
1187248185988752.974492.7918284.71-2908.56-12890.451.541.740.041012.15
23343061851048156.226427.8753489.2-4125.83-16091.951.5620.0481807.06
34514891851067957.37988.4564113.75-5003.63-17912.731.62.140.0522440.48
44796611851067957.39251.1558986.12-6341.27-19313.361.461.960.0492592.76
5477170185959051.3511508.5468275.5-6846.01-29922.871.681.770.042579.3
6398488185929349.731231363670.58-7895.78-28947.981.561.540.0312153.99
7361628185909548.6512110.871349.86-7666.78-32128.641.581.50.0291954.74
8406046185949150.8112578.1964926.21-8530.81-32425.381.471.520.0312194.85
9423878185978852.4312869.265151.52-9368.57-37514.271.371.510.0312291.23
10453095185949150.8114601.4462983.11-10103.74-50167.221.451.490.0292449.16

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 2.14. 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 57.3%, which is not acceptable. Avoid this strategy. Average return per trade is 1.22%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.052, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
MRF Performance, X=3, Profit Factor:2.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019625 Feb 2019 (2.71%), 16 May 2019 (2.01%), 26 Jun 2019 (1.18%), 16 Jul 2019 (-5.32%), 08 Aug 2019 (4.74%), 09 Sep 2019 (2.12%)
2018708 Feb 2018 (3.08%), 28 Mar 2018 (3.06%), 29 May 2018 (-2.02%), 22 Jun 2018 (-2.2%), 23 Jul 2018 (1.11%), 11 Oct 2018 (-0.34%), 18 Dec 2018 (-0.83%)
2017905 Jan 2017 (2.54%), 27 Feb 2017 (1.0%), 20 Apr 2017 (4.83%), 02 Jun 2017 (1.88%), 02 Aug 2017 (-4.22%), 31 Aug 2017 (0.75%), 04 Oct 2017 (2.86%), 27 Oct 2017 (1.9%), 19 Dec 2017 (4.94%)
2016717 Feb 2016 (1.16%), 27 May 2016 (-0.6%), 27 Jun 2016 (3.79%), 05 Aug 2016 (-0.95%), 29 Aug 2016 (-0.64%), 10 Nov 2016 (-5.54%), 05 Dec 2016 (1.88%)
2015819 Jan 2015 (-0.89%), 16 Feb 2015 (-0.12%), 07 Apr 2015 (1.76%), 18 May 2015 (-3.83%), 19 Jun 2015 (1.75%), 21 Sep 2015 (-0.38%), 21 Oct 2015 (-1.53%), 19 Nov 2015 (-0.96%)
2014805 Feb 2014 (-5.48%), 03 Mar 2014 (6.64%), 15 Apr 2014 (0.44%), 14 May 2014 (4.19%), 21 Jul 2014 (2.78%), 18 Aug 2014 (0.49%), 07 Nov 2014 (-0.16%), 28 Nov 2014 (11.78%)
20131002 Jan 2013 (-0.21%), 07 Mar 2013 (1.5%), 15 Apr 2013 (8.73%), 11 Jul 2013 (-0.67%), 13 Aug 2013 (-7.22%), 02 Sep 2013 (-3.54%), 20 Sep 2013 (-1.21%), 03 Nov 2013 (0.55%), 19 Nov 2013 (-0.77%), 10 Dec 2013 (3.3%)
2012910 Jan 2012 (0.27%), 27 Jan 2012 (12.02%), 04 Apr 2012 (0.47%), 25 May 2012 (-0.4%), 04 Jul 2012 (2.18%), 03 Aug 2012 (3.39%), 17 Sep 2012 (-1.43%), 01 Nov 2012 (0.14%), 29 Nov 2012 (6.3%)
2011921 Jan 2011 (0.51%), 14 Feb 2011 (-1.8%), 07 Apr 2011 (-0.95%), 08 Jun 2011 (-1.91%), 29 Jun 2011 (2.97%), 05 Sep 2011 (4.16%), 12 Oct 2011 (0.32%), 26 Oct 2011 (1.46%), 28 Nov 2011 (2.6%)
2010714 Jan 2010 (-2.28%), 03 Mar 2010 (6.51%), 14 May 2010 (-1.61%), 15 Jun 2010 (-2.76%), 18 Aug 2010 (7.16%), 14 Oct 2010 (0.95%), 28 Oct 2010 (-3.21%)
2009810 Feb 2009 (2.4%), 17 Mar 2009 (0.5%), 18 May 2009 (4.3%), 23 Jul 2009 (32.06%), 09 Sep 2009 (8.06%), 14 Oct 2009 (-0.1%), 11 Nov 2009 (0.59%), 17 Dec 2009 (-3.6%)
2008605 Feb 2008 (-5.98%), 28 Mar 2008 (-3.91%), 17 Jun 2008 (-5.69%), 10 Jul 2008 (-4.42%), 01 Sep 2008 (-0.58%), 04 Nov 2008 (-5.55%)
2007616 Mar 2007 (4.22%), 29 May 2007 (3.94%), 28 Jun 2007 (-2.36%), 03 Sep 2007 (-0.89%), 20 Sep 2007 (-1.98%), 11 Oct 2007 (2.88%)
2006827 Jan 2006 (-1.81%), 23 Mar 2006 (-4.09%), 07 Apr 2006 (-4.39%), 21 Jun 2006 (3.89%), 06 Oct 2006 (4.22%), 14 Nov 2006 (-5.13%), 28 Nov 2006 (1.74%), 28 Dec 2006 (0.17%)
2005904 Feb 2005 (8.36%), 28 Feb 2005 (2.89%), 28 Apr 2005 (-8.96%), 12 May 2005 (-3.44%), 22 Jun 2005 (1.98%), 10 Aug 2005 (4.21%), 15 Sep 2005 (-1.0%), 09 Nov 2005 (-2.53%), 20 Dec 2005 (-2.1%)
2004811 Feb 2004 (7.11%), 04 Mar 2004 (-2.35%), 02 Apr 2004 (3.45%), 06 May 2004 (-1.68%), 09 Jun 2004 (2.31%), 01 Jul 2004 (2.2%), 16 Sep 2004 (1.12%), 16 Nov 2004 (-1.7%)
20031031 Jan 2003 (1.16%), 25 Feb 2003 (0.24%), 22 Mar 2003 (-1.72%), 07 Apr 2003 (0.58%), 01 Jul 2003 (11.86%), 11 Aug 2003 (1.51%), 08 Sep 2003 (0.22%), 03 Oct 2003 (9.44%), 05 Nov 2003 (4.43%), 10 Dec 2003 (7.68%)
2002816 Jan 2002 (12.35%), 08 Feb 2002 (3.19%), 12 Apr 2002 (-4.79%), 29 Apr 2002 (9.59%), 05 Jun 2002 (2.84%), 06 Aug 2002 (0.12%), 12 Sep 2002 (-0.7%), 24 Oct 2002 (-4.06%)
2001514 May 2001 (2.03%), 13 Jun 2001 (-4.29%), 09 Jul 2001 (0.28%), 09 Aug 2001 (-1.61%), 12 Oct 2001 (0.92%)
2000516 Feb 2000 (-1.36%), 21 Mar 2000 (-4.66%), 08 May 2000 (-3.53%), 18 Aug 2000 (1.3%), 06 Dec 2000 (12.4%)
1999716 Feb 1999 (8.84%), 10 Mar 1999 (8.76%), 30 Apr 1999 (1.66%), 04 Jun 1999 (11.24%), 11 Oct 1999 (20.26%), 26 Nov 1999 (-2.36%), 23 Dec 1999 (-2.98%)
1998804 Feb 1998 (-0.48%), 19 Mar 1998 (9.09%), 08 May 1998 (-7.33%), 01 Jul 1998 (2.63%), 07 Sep 1998 (-1.03%), 26 Oct 1998 (2.49%), 30 Nov 1998 (1.12%), 30 Dec 1998 (3.93%)
19971028 Feb 1997 (-0.79%), 20 Mar 1997 (-1.4%), 09 Apr 1997 (1.08%), 09 May 1997 (-1.63%), 07 Jul 1997 (-0.77%), 24 Jul 1997 (-2.06%), 22 Aug 1997 (0.0%), 25 Sep 1997 (-1.34%), 24 Nov 1997 (4.72%), 22 Dec 1997 (1.34%)
1996628 Mar 1996 (4.98%), 30 Apr 1996 (11.38%), 14 Jun 1996 (1.81%), 05 Sep 1996 (-0.67%), 14 Oct 1996 (-7.88%), 16 Dec 1996 (0.18%)
1995112 Dec 1995 (0.29%)

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-134514891851067957.37988.4564113.75-5003.63-17912.731.62.140.0522440.48
atrtrail-15.644967642108912142.3812352.4268338.03-4980.18-15777.52.481.820.0382365.54
atrtrail34.614000982169112542.1311340.4334188.95-5055.05-15777.52.241.630.0371852.3
atrtrail24.182481262289713142.549550.4425245.85-5177.61-15777.51.841.370.0261088.27
atrnil37.432977502056314230.7319577.5939455.99-6589-15777.52.971.320.0241452.44
atrnil25.991321092178113637.3312883.9826303.99-6702.16-15777.51.921.140.013608.8

In the table above, row 1 shows the best exit criterion. Profit factor is 2.14. 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 57.3%, which is not acceptable. Avoid this strategy. Average return per trade is 1.22%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.052, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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