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

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In this study, we evaluate the performance of strategy "Buy PIDILITIND 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 PIDILITIND 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
17950.62178947.064090.4812327.31-2752.58-7723.091.491.320.021467.68
221865.53178947.067129.4418065.89-3907.78-9000.321.821.620.0351286.21
333901.481710758.827235.6619328.86-5493.59-10687.431.321.880.051994.2
428034.36179852.948254.1119382.55-5781.58-14144.351.431.610.0391649.08
521434.581710758.825881.211265.78-5339.64-16009.151.11.570.0381260.86
637253.231711664.718610.8622845.64-9577.7-16972.030.91.650.0432191.37
725364.741711664.718761.6330040.27-11835.53-24805.380.741.360.0241492.04
823153.651710758.829525.9438550.34-10300.81-29748.870.921.320.021361.98
930051.31179852.9412553.7929798.66-10366.6-29907.21.211.360.0231767.72
1026464.481710758.8211022.4729610.66-11965.75-28851.650.921.320.0211556.73
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
atrnil36.3252084.61971236.8418147.2930916.14-6245.54-10968.742.911.690.0452741.29
atrtrail34.2136242.121981142.1112059.6420809.92-5475.91-10968.742.21.60.041907.48
atrtrail-15.4735668.811981142.1111987.9831703.07-5475.91-10968.742.191.590.0361877.31
atrnil24.6325070.321981142.1111863.3720610.76-6348.79-10968.741.871.360.0281319.49
atrtrail23.7421437.951981142.1110209.1213873.28-5475.91-10968.741.861.360.0281128.31

In the table above, row 1 shows the best exit criterion. Profit factor is 1.69. 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 36.84%, which is not acceptable. Avoid this strategy. Average return per trade is 1.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, 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.
PIDILITIND Performance, Profit Factor:1.69

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018429 Jan 2018 (-2.26%), 01 Feb 2018 (-2.29%), 21 Sep 2018 (-2.9%), 24 Sep 2018 (-3.11%)
2017107 Aug 2017 (-2.0%)
2016206 Apr 2016 (-2.55%), 12 May 2016 (6.63%)
2014219 May 2014 (-3.49%), 21 Oct 2014 (7.26%)
2013130 Jan 2013 (8.47%)
2011101 Jun 2011 (9.57%)
2007224 Aug 2007 (15.46%), 27 Dec 2007 (-5.48%)
2006121 Sep 2006 (10.4%)
2001205 Jan 2001 (-4.03%), 03 Oct 2001 (-2.96%)
1999119 May 1999 (-4.4%)
1998105 Feb 1998 (-2.0%)
1996104 Jun 1996 (5.73%)



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