Study: Buy RAYMOND when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy RAYMOND 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 RAYMOND 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
159649.26195969949.234712.0625722.43-3966.75-19751.231.191.150.01305.89
21618221959510048.726878.9635745.3-4916.79-32715.721.41.330.019829.86
32206681958810745.1310016.0762319.56-6175.2-27470.311.621.330.021131.63
42506321959010546.1511342.8371976.11-7335.45-24575.951.551.330.021285.29
51331031958810745.1311980.7181732.21-8609.34-31961.021.391.140.0095682.58
61414691959510048.7211773.98111471-9770.59-31750.951.211.140.0095725.48
71671061959110446.6713084.03129468-9841.73-30247.241.331.160.0099856.96
81920381959110446.6714013.67112718-10415.44-42963.81.351.180.011984.81
93109001958610944.116409.48120574-10094.64-42343.991.631.280.0171594.36
104100801949210247.4216725124241-11064.91-50767.711.511.360.0212113.81
Although, strategy looks good but profit factor on day 5 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
atrtrail24.2726264.222287914934.6513817.6733920.61-7149.88-18390.211.931.020.0021115.19
atrnil25.36-4082.882247914535.2716581.4633920.61-9062.2-22601.621.831-0.00029-18.23
atrnil37.29-69586.782185816026.6123987.2350822.7-9130.29-22601.622.630.95-0.0042-319.21
atrtrail-15.37-85439.752237514833.6312942.875575.59-7136.15-18390.211.810.92-0.0061-383.14
atrtrail34.88-92822.572247514933.4812959.5641551.27-7146.24-18390.211.810.91-0.0073-414.39

In the table above, row 1 shows the best exit criterion. Profit factor is 1.02. 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 34.65%, which is not acceptable. Avoid this strategy. Average return per trade is 0.058%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0021, 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.
RAYMOND Performance, Profit Factor:1.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019321 Feb 2019 (7.17%), 06 May 2019 (-2.81%), 04 Jul 2019 (-3.07%)
2018826 Feb 2018 (-4.29%), 12 Mar 2018 (-1.48%), 13 Jun 2018 (-2.31%), 10 Jul 2018 (-3.31%), 26 Jul 2018 (-2.01%), 17 Aug 2018 (7.38%), 15 Oct 2018 (-4.94%), 13 Dec 2018 (-3.53%)
2017921 Feb 2017 (-2.4%), 21 Mar 2017 (-3.49%), 18 Apr 2017 (7.03%), 07 Jun 2017 (-1.92%), 03 Jul 2017 (7.42%), 29 Aug 2017 (8.0%), 10 Oct 2017 (-3.51%), 11 Oct 2017 (7.43%), 18 Dec 2017 (0.43%)
2016728 Jan 2016 (-0.92%), 16 Feb 2016 (-2.92%), 23 Mar 2016 (5.44%), 27 Apr 2016 (5.54%), 20 Jul 2016 (-0.87%), 31 Aug 2016 (5.39%), 12 Dec 2016 (-3.61%)
2015807 Jan 2015 (-1.44%), 19 Feb 2015 (-3.09%), 02 Mar 2015 (-1.67%), 08 Apr 2015 (7.59%), 18 May 2015 (-3.54%), 10 Sep 2015 (0.16%), 23 Nov 2015 (-2.84%), 18 Dec 2015 (0.61%)
20141121 Jan 2014 (6.87%), 10 Feb 2014 (-1.5%), 21 Feb 2014 (-3.17%), 07 Mar 2014 (-0.5%), 19 May 2014 (8.01%), 05 Jun 2014 (8.31%), 24 Jun 2014 (8.36%), 18 Jul 2014 (-4.82%), 21 Aug 2014 (8.7%), 13 Oct 2014 (-2.94%), 19 Nov 2014 (-0.28%)
2013718 Feb 2013 (-1.09%), 06 Mar 2013 (-3.96%), 01 Apr 2013 (-3.3%), 09 Jul 2013 (-2.27%), 08 Aug 2013 (0.58%), 03 Dec 2013 (-3.46%), 23 Dec 2013 (-1.72%)
2012610 Jan 2012 (8.03%), 09 Mar 2012 (8.77%), 06 Aug 2012 (-3.15%), 07 Sep 2012 (6.05%), 01 Nov 2012 (4.85%), 27 Nov 2012 (1.9%)
2011924 Jan 2011 (-4.48%), 16 Feb 2011 (-2.89%), 27 Apr 2011 (-4.18%), 11 May 2011 (-4.38%), 31 May 2011 (-1.0%), 06 Jul 2011 (-0.71%), 30 Aug 2011 (0.81%), 10 Oct 2011 (-3.77%), 28 Nov 2011 (1.18%)
20101018 Feb 2010 (-5.79%), 08 Mar 2010 (-5.08%), 31 May 2010 (-4.2%), 01 Jun 2010 (-2.9%), 11 Jun 2010 (7.89%), 05 Aug 2010 (7.5%), 15 Oct 2010 (-4.6%), 25 Oct 2010 (8.8%), 06 Dec 2010 (-6.02%), 15 Dec 2010 (-0.32%)
2009818 May 2009 (-4.16%), 19 May 2009 (10.14%), 01 Jul 2009 (-6.45%), 28 Jul 2009 (-5.6%), 25 Aug 2009 (8.69%), 16 Nov 2009 (-4.27%), 02 Dec 2009 (-4.13%), 29 Dec 2009 (7.25%)
20081304 Feb 2008 (-9.06%), 20 Feb 2008 (16.96%), 27 Mar 2008 (-3.2%), 21 Apr 2008 (-3.45%), 30 May 2008 (-5.02%), 02 Jun 2008 (-6.02%), 12 Jun 2008 (-3.59%), 30 Jun 2008 (-6.55%), 09 Jul 2008 (-5.15%), 13 Aug 2008 (-3.77%), 28 Aug 2008 (-2.63%), 22 Oct 2008 (-8.66%), 23 Oct 2008 (-9.2%)
2007803 Jan 2007 (-3.4%), 02 Feb 2007 (-2.95%), 13 Mar 2007 (-3.04%), 18 Jun 2007 (-2.63%), 08 Aug 2007 (-2.89%), 31 Aug 2007 (7.37%), 30 Oct 2007 (10.51%), 28 Dec 2007 (1.12%)
2006907 Feb 2006 (-2.84%), 03 Apr 2006 (-3.71%), 04 Apr 2006 (-4.1%), 27 Apr 2006 (-5.32%), 28 Apr 2006 (-3.59%), 19 Jun 2006 (-4.88%), 02 Aug 2006 (-2.36%), 13 Oct 2006 (0.25%), 30 Nov 2006 (2.87%)
20051301 Feb 2005 (6.42%), 05 Apr 2005 (8.6%), 25 Apr 2005 (-4.25%), 11 May 2005 (-1.9%), 16 Jun 2005 (-3.0%), 05 Jul 2005 (-3.46%), 14 Jul 2005 (7.61%), 16 Aug 2005 (-4.0%), 01 Sep 2005 (-1.79%), 04 Oct 2005 (-2.57%), 11 Nov 2005 (-3.85%), 22 Dec 2005 (-2.66%), 23 Dec 2005 (-2.87%)
20041211 Feb 2004 (-6.7%), 08 Mar 2004 (-4.81%), 01 Apr 2004 (8.08%), 10 May 2004 (-4.01%), 13 May 2004 (-5.25%), 26 May 2004 (-6.79%), 11 Jun 2004 (-4.8%), 28 Jun 2004 (8.0%), 18 Aug 2004 (6.48%), 20 Sep 2004 (-3.2%), 21 Sep 2004 (-1.21%), 29 Oct 2004 (6.49%)
20031217 Jan 2003 (-2.38%), 31 Jan 2003 (-2.09%), 05 Mar 2003 (-3.08%), 01 Jul 2003 (8.1%), 02 Jul 2003 (-4.32%), 04 Aug 2003 (-4.13%), 19 Aug 2003 (8.08%), 07 Oct 2003 (8.29%), 12 Nov 2003 (9.69%), 13 Nov 2003 (9.95%), 30 Dec 2003 (-4.27%), 31 Dec 2003 (-1.97%)
20021023 Jan 2002 (-3.35%), 06 Feb 2002 (0.74%), 19 Feb 2002 (-3.24%), 11 Apr 2002 (7.82%), 12 Apr 2002 (-3.2%), 11 Jun 2002 (6.86%), 16 Sep 2002 (-3.02%), 08 Oct 2002 (-0.7%), 14 Nov 2002 (0.37%), 27 Dec 2002 (-2.46%)
2001602 Jan 2001 (8.45%), 24 Jan 2001 (-4.55%), 10 Apr 2001 (-3.95%), 04 Jul 2001 (-1.65%), 30 Jul 2001 (11.18%), 04 Oct 2001 (9.42%)
2000710 Feb 2000 (-6.24%), 29 Mar 2000 (-2.58%), 27 Apr 2000 (13.85%), 31 May 2000 (12.23%), 04 Aug 2000 (9.88%), 16 Oct 2000 (-2.88%), 14 Dec 2000 (-3.72%)
19991101 Jan 1999 (-4.9%), 11 Feb 1999 (2.08%), 04 Jun 1999 (-6.25%), 09 Jul 1999 (11.32%), 10 Aug 1999 (12.19%), 23 Sep 1999 (1.9%), 08 Oct 1999 (-1.24%), 21 Oct 1999 (12.27%), 26 Nov 1999 (-5.82%), 02 Dec 1999 (-3.21%), 16 Dec 1999 (2.27%)
1998919 Feb 1998 (-1.28%), 06 Apr 1998 (10.14%), 08 May 1998 (-6.89%), 15 May 1998 (-6.38%), 09 Jul 1998 (-6.05%), 05 Aug 1998 (16.94%), 09 Sep 1998 (2.63%), 14 Oct 1998 (-6.05%), 11 Dec 1998 (9.0%)
19971312 Feb 1997 (-3.51%), 27 Feb 1997 (6.45%), 09 Apr 1997 (-3.7%), 10 Apr 1997 (-3.83%), 30 Apr 1997 (-3.27%), 28 May 1997 (-3.61%), 12 Jun 1997 (8.92%), 11 Sep 1997 (-4.1%), 09 Oct 1997 (-4.18%), 20 Oct 1997 (-4.36%), 21 Oct 1997 (-4.78%), 03 Nov 1997 (-4.87%), 03 Dec 1997 (-4.93%)
1996916 Jan 1996 (-1.85%), 17 Jan 1996 (-1.91%), 12 Feb 1996 (-2.66%), 13 Feb 1996 (5.87%), 27 May 1996 (0.26%), 18 Jul 1996 (-0.28%), 29 Jul 1996 (-2.65%), 23 Oct 1996 (-6.59%), 05 Dec 1996 (11.05%)
19951005 Apr 1995 (6.58%), 06 Apr 1995 (-3.33%), 08 May 1995 (-3.81%), 09 May 1995 (-3.97%), 31 May 1995 (6.55%), 26 Jun 1995 (-3.17%), 29 Jun 1995 (6.28%), 17 Aug 1995 (-2.35%), 01 Dec 1995 (5.19%), 08 Dec 1995 (-0.95%)



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