Study: Buy OIL when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy OIL 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 OIL 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
1-24622.9396455146.882405.9910295.56-2605.74-7968.380.920.81-0.025-256.49
2-40805.6996375938.544722.8915639.07-3653.44-16140.041.290.81-0.025-425.06
3-22921.3496385839.585452.7118539.51-3967.66-16602.441.370.9-0.012-238.76
4-11170.8496375938.546498.222773.44-4264.48-16814.161.520.96-0.0052-116.36
5-41077.6396395740.625886.0936504.21-4747.98-13821.831.240.85-0.018-427.89
6-59603.796385839.586329.3234664.32-5174.44-16165.661.220.8-0.024-620.87
7-89804.4496336334.387765.1837522.02-5492.94-20474.281.410.74-0.035-935.46
8-78498.6696435344.796268.5942278.33-6566.94-23146.290.950.77-0.029-817.69
9-10806196405641.67632740849.48-6448.94-22812.290.980.7-0.04-1125.63
10-15418096366037.57240.1337933.06-6913.74-26586.511.050.63-0.054-1606.04
Although, strategy looks good but profit factor on day 2 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
atrnil39.03-77386.91102237922.5516270.5330574.17-5716.57-10034.862.850.83-0.025-758.7
atrnil26.49-88437.14110327829.0911028.8320382.78-5658.46-10034.861.950.8-0.033-803.97
atrtrail23.91-95598.38117338428.218111.1520382.78-4324.6-10034.861.880.74-0.041-817.08
atrtrail34.32-126860114318327.197415.4220445.79-4298.05-10034.861.730.64-0.055-1112.81
atrtrail-14.67-150494113308326.556874.8129461.36-4298.05-10034.861.60.58-0.067-1331.81

In the table above, row 1 shows the best exit criterion. Profit factor is 0.83. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 22.55%, which is not acceptable. Avoid this strategy. Average return per trade is -0.38%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
OIL Performance, Profit Factor:0.829

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019904 Feb 2019 (6.6%), 28 Mar 2019 (-2.8%), 30 Apr 2019 (-2.17%), 20 May 2019 (-2.03%), 27 Jun 2019 (-2.22%), 03 Jul 2019 (-2.25%), 16 Aug 2019 (-3.24%), 26 Aug 2019 (-3.41%), 10 Oct 2019 (10.22%)
2018915 Feb 2018 (-2.95%), 05 Mar 2018 (-2.72%), 16 Mar 2018 (-2.99%), 11 Apr 2018 (9.82%), 12 Jun 2018 (-3.37%), 10 Jul 2018 (-3.12%), 19 Sep 2018 (6.65%), 01 Nov 2018 (-4.27%), 20 Dec 2018 (-2.76%)
20171402 Jan 2017 (6.25%), 06 Feb 2017 (-2.35%), 09 Feb 2017 (-2.58%), 06 Mar 2017 (-2.28%), 14 Mar 2017 (-2.42%), 06 Apr 2017 (-1.77%), 04 May 2017 (-1.56%), 15 Jun 2017 (-2.31%), 10 Jul 2017 (7.26%), 17 Aug 2017 (-2.69%), 28 Aug 2017 (8.44%), 30 Oct 2017 (-2.85%), 27 Nov 2017 (-2.51%), 26 Dec 2017 (7.0%)
2016901 Feb 2016 (-3.3%), 02 Feb 2016 (-3.4%), 23 Feb 2016 (-3.42%), 04 Mar 2016 (9.63%), 17 May 2016 (6.79%), 04 Jul 2016 (-2.45%), 24 Aug 2016 (5.87%), 04 Oct 2016 (-2.25%), 21 Nov 2016 (7.34%)
20151122 Jan 2015 (-2.82%), 02 Mar 2015 (-3.5%), 10 Apr 2015 (7.83%), 05 May 2015 (-3.27%), 06 May 2015 (-3.61%), 16 Jul 2015 (-2.24%), 03 Aug 2015 (-2.41%), 28 Aug 2015 (-3.13%), 31 Aug 2015 (-3.53%), 06 Oct 2015 (-2.84%), 26 Nov 2015 (-3.02%)
20141014 Feb 2014 (-2.65%), 28 Feb 2014 (7.62%), 01 Apr 2014 (-2.72%), 25 Apr 2014 (-2.48%), 12 May 2014 (7.05%), 07 Aug 2014 (-2.27%), 14 Aug 2014 (7.37%), 27 Oct 2014 (-2.86%), 26 Nov 2014 (-2.79%), 22 Dec 2014 (-3.06%)
2013805 Apr 2013 (9.51%), 15 May 2013 (-2.96%), 01 Jul 2013 (-4.06%), 05 Jul 2013 (-3.95%), 18 Jul 2013 (-3.56%), 26 Aug 2013 (-5.02%), 02 Sep 2013 (15.29%), 07 Oct 2013 (-4.16%)
2012913 Jan 2012 (-2.34%), 03 May 2012 (-2.79%), 09 May 2012 (-2.64%), 23 May 2012 (-2.67%), 23 Jul 2012 (-2.36%), 29 Aug 2012 (-1.85%), 28 Sep 2012 (-2.38%), 01 Oct 2012 (-2.5%), 17 Dec 2012 (7.28%)
20111102 Feb 2011 (-4.79%), 07 Mar 2011 (-3.14%), 25 Apr 2011 (-2.97%), 06 Jun 2011 (-3.04%), 23 Jun 2011 (8.06%), 14 Sep 2011 (-2.08%), 15 Sep 2011 (-2.11%), 28 Sep 2011 (-2.49%), 28 Oct 2011 (-2.3%), 03 Nov 2011 (-2.41%), 08 Dec 2011 (-3.19%)
20101209 Feb 2010 (-2.79%), 12 Mar 2010 (-2.18%), 26 Mar 2010 (-2.02%), 06 May 2010 (6.89%), 25 Jun 2010 (10.1%), 28 Jun 2010 (-4.22%), 30 Jul 2010 (-2.92%), 17 Aug 2010 (-2.74%), 07 Sep 2010 (8.23%), 02 Nov 2010 (-3.39%), 01 Dec 2010 (-3.15%), 23 Dec 2010 (-2.98%)



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