Study: Buy RCOM when there is Bullish Crossover in MACD

home > technical-strategy > rcom > 29

In this study, we evaluate the performance of strategy "Buy RCOM 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 RCOM 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
1-27007.494464848.943747.5318216.32-4154.04-17226.890.90.86-0.015-287.31
2-18823594415343.625481.3815414.41-7791.91-37195.120.70.54-0.065-2002.5
3-13845094454947.876815.1735515.55-9084.33-35855.570.750.69-0.039-1472.87
4-10413694425244.6810026.4239279.87-10100.88-45180.530.990.8-0.024-1107.83
5-14994194425244.6810067.9735842.88-11015.3-43736.260.910.74-0.032-1595.12
6-26152594425244.6810313.939620.08-13359.79-44583.990.770.62-0.053-2782.19
7-20280994405442.5513728.2937667.45-13924.82-54505.490.990.73-0.037-2157.54
8-23264394405442.5516170.1296995.71-16286.07-71674.490.990.74-0.032-2474.93
9-17829994415343.6217635.43108155-17006.64-74804.381.040.8-0.023-1896.8
10-23392093415244.0918415.9879828.33-19018.76-75430.360.970.76-0.029-2515.27

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.86. 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 48.94%, which is not acceptable. Avoid this strategy. Average return per trade is -0.14%, we advise you not to use this strategy.

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
atrnil37.68-58168.19102267625.4929621.0148748.46-10898.87-30685.222.720.93-0.0088-570.28
nilnil-11-27007.494464848.943747.5318216.32-4154.04-17226.890.90.86-0.015-287.31
atrtrail-15.23-104985106327430.1915739.9491306.75-8225.18-30685.221.910.83-0.017-990.43
atrtrail34.88-117658106327430.1915343.9244013.41-8225.18-30685.221.870.81-0.023-1109.98
atrtrail24.23-159380107337430.8413785.6529342.27-8301.44-30685.221.660.74-0.035-1489.53
atrnil26.15-222085106317529.2519340.2132498.98-10955.09-30685.221.770.73-0.041-2095.14

In the table above, row 1 shows the best exit criterion. Profit factor is 0.93. 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 25.49%, which is not acceptable. Avoid this strategy. Average return per trade is -0.29%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RCOM Performance, Profit Factor:0.93

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018926 Feb 2018 (-7.2%), 27 Mar 2018 (-8.16%), 05 Apr 2018 (-8.03%), 17 May 2018 (-11.59%), 18 May 2018 (-15.34%), 10 Jul 2018 (-6.99%), 20 Jul 2018 (22.01%), 15 Oct 2018 (-9.39%), 03 Dec 2018 (-6.07%)
20171019 Jan 2017 (-3.31%), 30 Jan 2017 (11.0%), 21 Feb 2017 (13.84%), 05 Apr 2017 (-3.35%), 17 May 2017 (-3.49%), 15 Jun 2017 (21.37%), 01 Sep 2017 (-5.02%), 17 Oct 2017 (-5.64%), 22 Nov 2017 (-8.38%), 08 Dec 2017 (24.37%)
2016603 Jun 2016 (-4.65%), 25 Jul 2016 (-3.5%), 22 Aug 2016 (-3.41%), 07 Oct 2016 (-4.22%), 01 Dec 2016 (-4.55%), 30 Dec 2016 (-3.78%)
20151001 Jan 2015 (-4.42%), 16 Feb 2015 (-4.22%), 27 Feb 2015 (-4.26%), 12 Mar 2015 (-4.8%), 07 Apr 2015 (13.95%), 13 May 2015 (-5.52%), 23 Jun 2015 (-4.61%), 03 Aug 2015 (-3.91%), 02 Sep 2015 (-6.87%), 27 Nov 2015 (14.41%)
2014620 Jan 2014 (-3.72%), 06 Feb 2014 (-4.13%), 07 Mar 2014 (-3.96%), 16 May 2014 (11.98%), 23 Jul 2014 (-4.19%), 08 Oct 2014 (13.78%)
2013904 Jan 2013 (9.26%), 22 Jan 2013 (-4.1%), 11 Mar 2013 (-5.15%), 02 Apr 2013 (20.25%), 19 Jun 2013 (-4.9%), 01 Jul 2013 (-5.44%), 02 Sep 2013 (20.35%), 29 Nov 2013 (-3.89%), 26 Dec 2013 (-3.39%)
2012916 Feb 2012 (-4.82%), 14 Mar 2012 (-4.93%), 13 Apr 2012 (-4.7%), 24 May 2012 (-5.0%), 29 Jun 2012 (11.73%), 14 Aug 2012 (-4.19%), 07 Sep 2012 (-4.48%), 09 Nov 2012 (-4.0%), 12 Nov 2012 (12.79%)
2011803 Mar 2011 (20.87%), 30 May 2011 (12.93%), 25 Jul 2011 (-3.84%), 26 Jul 2011 (-4.3%), 02 Sep 2011 (-5.96%), 12 Oct 2011 (-5.11%), 02 Dec 2011 (-4.74%), 27 Dec 2011 (-5.53%)
2010617 Feb 2010 (-3.48%), 04 Mar 2010 (-3.06%), 28 May 2010 (-4.69%), 02 Sep 2010 (9.9%), 01 Nov 2010 (-3.23%), 14 Dec 2010 (15.92%)
2009806 Feb 2009 (-9.03%), 16 Mar 2009 (18.93%), 18 May 2009 (-6.59%), 19 May 2009 (-7.47%), 21 Jul 2009 (-6.24%), 25 Aug 2009 (14.52%), 01 Oct 2009 (-3.94%), 13 Nov 2009 (-6.85%)
2008905 Feb 2008 (-7.29%), 19 Feb 2008 (-7.83%), 11 Mar 2008 (-6.81%), 25 Mar 2008 (-6.49%), 15 May 2008 (-4.36%), 11 Jul 2008 (-7.66%), 05 Sep 2008 (-4.87%), 24 Sep 2008 (-5.26%), 03 Nov 2008 (-14.71%)
2007729 Jan 2007 (11.89%), 22 Mar 2007 (-5.02%), 10 Apr 2007 (12.32%), 25 Jun 2007 (10.42%), 28 Aug 2007 (12.66%), 29 Oct 2007 (-5.04%), 05 Dec 2007 (12.77%)
2006516 Oct 2006 (-3.28%), 27 Oct 2006 (10.85%), 22 Nov 2006 (-3.14%), 18 Dec 2006 (-4.21%), 22 Dec 2006 (-4.44%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play