Study: Buy PVR when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy PVR 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 PVR 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
110546.83116516543.974272.8525008.29-3190.28-8904.991.341.050.004790.92
216056.58116556147.415060.8221296.93-4299.81-14188.331.181.060.0061138.42
366552.64116536345.697758.2332391.93-5470.38-17695.71.421.190.018573.73
487504.98116575949.148133.6549337.18-6374.8-21278.941.281.230.02754.35
586279.39116566048.289585.6549798.27-7508.62-23428.891.281.190.017743.79
6113805116566048.2810971.6185417.87-8343.42-22537.091.321.230.019981.08
785496.4911658585010572.2764076.89-9098.19-29706.41.161.160.014737.04
865414.99116556147.4111738.8957909.49-9511.87-32531.651.231.110.011563.92
9119394116605651.7211659.3855561.96-10360.15-31595.751.131.210.0191029.26
10202595116575949.1414261.7472968.3-10344.48-39474.731.381.330.0291746.5
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
atrnil310.95276657111347730.6327601.0570728.78-8594.53-26998.63.211.420.0382492.4
atrtrail35.55130533129438633.3315189.2470728.78-6076.8-12861.262.51.250.0221011.88
atrnil27.29156450128478136.7217891.4847152.52-8449.99-26998.62.121.230.0251222.27
atrtrail24.9103383135468934.0713795.5447152.52-5968.67-12861.262.311.190.019765.8
atrtrail-16.3158111.6127438433.8613159.5280652.24-6044.62-12861.262.181.110.01457.57

In the table above, row 1 shows the best exit criterion. Profit factor is 1.42. 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 30.63%, which is not acceptable. Avoid this strategy. Average return per trade is 1.25%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.038, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
PVR Performance, Profit Factor:1.42

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019711 Jan 2019 (-2.55%), 26 Feb 2019 (9.31%), 28 Mar 2019 (8.91%), 02 May 2019 (-2.5%), 21 May 2019 (-2.54%), 01 Jul 2019 (-2.75%), 22 Aug 2019 (12.17%)
20181223 Jan 2018 (-2.75%), 24 Jan 2018 (-3.14%), 20 Feb 2018 (-3.84%), 14 Mar 2018 (-3.2%), 04 Apr 2018 (9.41%), 08 Jun 2018 (-3.09%), 04 Jul 2018 (-3.07%), 03 Aug 2018 (13.09%), 12 Sep 2018 (-3.41%), 12 Oct 2018 (-4.78%), 28 Nov 2018 (8.85%), 31 Dec 2018 (-2.8%)
2017705 Apr 2017 (8.25%), 28 Apr 2017 (-2.59%), 12 Jun 2017 (-3.13%), 02 Aug 2017 (-2.56%), 31 Aug 2017 (-3.26%), 05 Oct 2017 (11.12%), 13 Dec 2017 (9.08%)
20161301 Feb 2016 (-3.95%), 18 Feb 2016 (-4.19%), 02 Mar 2016 (13.07%), 01 Jun 2016 (8.96%), 30 Jun 2016 (-3.69%), 19 Jul 2016 (-3.79%), 20 Jul 2016 (12.61%), 05 Aug 2016 (-4.26%), 23 Sep 2016 (-3.41%), 21 Oct 2016 (-3.08%), 30 Nov 2016 (-4.74%), 12 Dec 2016 (-4.27%), 28 Dec 2016 (11.68%)
2015913 Feb 2015 (-3.23%), 04 Mar 2015 (-3.86%), 05 May 2015 (-3.52%), 06 May 2015 (-3.76%), 02 Jul 2015 (9.8%), 14 Sep 2015 (-4.1%), 05 Oct 2015 (-3.37%), 23 Nov 2015 (-2.98%), 18 Dec 2015 (-3.03%)
2014801 Apr 2014 (-3.54%), 21 May 2014 (-3.94%), 19 Jun 2014 (-4.45%), 20 Jun 2014 (-4.95%), 07 Aug 2014 (-3.92%), 22 Aug 2014 (11.33%), 21 Oct 2014 (-4.19%), 22 Dec 2014 (-4.0%)
20131210 Jan 2013 (-4.65%), 18 Feb 2013 (-4.07%), 28 Mar 2013 (-4.79%), 17 Apr 2013 (13.79%), 19 Jun 2013 (-3.79%), 01 Jul 2013 (-3.7%), 26 Jul 2013 (-3.93%), 29 Jul 2013 (-4.11%), 26 Sep 2013 (11.46%), 31 Oct 2013 (-4.62%), 28 Nov 2013 (-4.26%), 24 Dec 2013 (-3.8%)
2012502 Jul 2012 (9.41%), 01 Aug 2012 (-3.79%), 02 Aug 2012 (12.16%), 22 Nov 2012 (-3.9%), 30 Nov 2012 (-5.34%)
2011901 Mar 2011 (-5.47%), 24 Mar 2011 (17.35%), 29 Apr 2011 (-4.68%), 26 May 2011 (12.49%), 06 Jul 2011 (11.93%), 06 Sep 2011 (-4.73%), 19 Oct 2011 (16.73%), 07 Dec 2011 (-6.43%), 26 Dec 2011 (20.88%)
20101030 Apr 2010 (-3.46%), 03 May 2010 (-3.87%), 03 Jun 2010 (13.51%), 04 Jun 2010 (-4.84%), 29 Jun 2010 (-4.32%), 19 Jul 2010 (-3.99%), 20 Jul 2010 (12.68%), 02 Nov 2010 (-3.62%), 03 Nov 2010 (-3.87%), 16 Dec 2010 (-5.14%)
2009617 Mar 2009 (21.64%), 15 May 2009 (21.64%), 20 Jul 2009 (19.42%), 26 Aug 2009 (17.65%), 24 Sep 2009 (-5.45%), 11 Nov 2009 (-5.42%)
2008702 Apr 2008 (-8.84%), 17 Jun 2008 (-5.78%), 26 Jun 2008 (-5.86%), 04 Jul 2008 (-6.14%), 06 Aug 2008 (14.28%), 03 Nov 2008 (-13.5%), 11 Dec 2008 (35.36%)
2007516 May 2007 (-4.12%), 05 Jun 2007 (-5.47%), 09 Jul 2007 (13.69%), 29 Aug 2007 (-7.13%), 31 Oct 2007 (15.49%)
2006122 Jun 2006 (-9.84%)



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