Study: Buy RELCAPITAL when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy RELCAPITAL 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 RELCAPITAL 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
1242486171898252.056196.7243842.76-3768.57-15789.471.641.780.041418.04
2161306171848749.128008.4734167.71-5878.23-24824.931.361.320.02943.31
3268879171868550.299989.346808.51-6943.54-25385.131.441.460.0271572.39
4412972171967556.1411623.2866332.92-9371.51-28673.971.241.590.0342415.04
55901701711007158.4813061.595619.52-10084.22-34424.331.31.820.0423451.29
65252291711007158.4813282.0974718.4-11309.57-37616.941.171.650.0373071.52
7536602171927953.814912.9291456.31-10574.52-36757.151.411.640.0343138.02
8659610170957555.8816274.85114757-11820.01-47321.91.381.740.0373880.06
96943261701007058.8217062.28139417-14455.75-57311.671.181.690.0354084.27
10752334170947655.2919830.98166019-14628.66-61546.041.361.680.0344425.49
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
atrtrail-15.434191511898310643.9214392.8971257.73-7315.65-28970.131.971.540.0292217.73
atrtrail34.693892621908310743.6814190.6472671.36-7369.73-28970.131.931.490.032048.75
atrtrail24.183076041938311043.0113419.9148447.57-7329.53-28970.131.831.380.0271593.8
atrnil37.722280391865613030.1126936.7672671.36-9849.38-29708.062.731.180.0141226.01
atrnil25.721811591937411938.3418231.3159416.12-9814.77-28970.131.861.160.013938.65

In the table above, row 1 shows the best exit criterion. Profit factor is 1.54. 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 43.92%, which is not acceptable. Avoid this strategy. Average return per trade is 1.11%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.029, 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.
RELCAPITAL Performance, Profit Factor:1.54

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019318 Feb 2019 (-9.64%), 20 May 2019 (1.71%), 27 Jun 2019 (-14.49%)
20181014 Feb 2018 (-6.09%), 26 Feb 2018 (-5.32%), 15 Mar 2018 (-4.86%), 27 Mar 2018 (2.34%), 25 May 2018 (3.46%), 24 Jul 2018 (7.22%), 30 Aug 2018 (-1.61%), 16 Oct 2018 (-7.72%), 17 Oct 2018 (-8.57%), 14 Dec 2018 (-4.51%)
2017815 Mar 2017 (5.99%), 27 Apr 2017 (-2.55%), 09 Jun 2017 (8.24%), 28 Jul 2017 (7.92%), 01 Sep 2017 (-3.74%), 04 Sep 2017 (-4.19%), 17 Oct 2017 (0.76%), 24 Nov 2017 (-4.39%)
20161018 Feb 2016 (-4.12%), 11 Apr 2016 (-1.64%), 11 May 2016 (-2.79%), 30 May 2016 (-3.11%), 07 Jun 2016 (-3.0%), 04 Jul 2016 (1.04%), 25 Jul 2016 (2.61%), 16 Aug 2016 (19.51%), 30 Nov 2016 (-4.09%), 30 Dec 2016 (5.31%)
20151023 Jan 2015 (-0.4%), 19 Feb 2015 (1.24%), 13 Mar 2015 (-4.49%), 09 Apr 2015 (-0.39%), 15 May 2015 (0.3%), 19 Jun 2015 (1.22%), 03 Sep 2015 (-5.61%), 04 Sep 2015 (4.0%), 26 Nov 2015 (-2.21%), 24 Dec 2015 (6.67%)
2014422 Jan 2014 (-2.81%), 12 Feb 2014 (-1.47%), 13 May 2014 (28.47%), 17 Oct 2014 (-0.54%)
2013602 Jan 2013 (-1.21%), 08 Mar 2013 (-3.48%), 18 Jun 2013 (-1.5%), 28 Jun 2013 (2.89%), 09 Oct 2013 (-2.92%), 29 Nov 2013 (1.39%)
2012417 May 2012 (6.04%), 07 Aug 2012 (-3.73%), 10 Sep 2012 (7.34%), 27 Nov 2012 (13.76%)
2011716 Feb 2011 (-6.05%), 31 May 2011 (1.05%), 24 Jun 2011 (9.17%), 02 Sep 2011 (-0.98%), 12 Oct 2011 (-5.73%), 05 Dec 2011 (-3.74%), 27 Dec 2011 (-5.71%)
2010824 Feb 2010 (5.83%), 06 Apr 2010 (-2.23%), 31 May 2010 (0.05%), 14 Jul 2010 (1.32%), 23 Aug 2010 (-2.66%), 03 Sep 2010 (-1.1%), 05 Oct 2010 (-2.38%), 03 Dec 2010 (-3.67%)
2009709 Feb 2009 (3.45%), 18 May 2009 (13.93%), 20 Jul 2009 (-4.37%), 27 Aug 2009 (5.58%), 14 Oct 2009 (-2.65%), 11 Nov 2009 (4.02%), 24 Dec 2009 (2.31%)
2008714 Feb 2008 (-0.97%), 22 May 2008 (-5.51%), 16 Jun 2008 (-2.81%), 04 Jul 2008 (-4.75%), 02 Sep 2008 (-5.2%), 31 Oct 2008 (-0.2%), 28 Nov 2008 (10.56%)
20071005 Feb 2007 (0.22%), 20 Mar 2007 (-1.09%), 09 Apr 2007 (9.6%), 20 Jun 2007 (-1.8%), 26 Jul 2007 (-2.94%), 28 Aug 2007 (32.54%), 30 Oct 2007 (-7.15%), 09 Nov 2007 (10.54%), 03 Dec 2007 (-4.73%), 28 Dec 2007 (1.13%)
20061131 Jan 2006 (-3.47%), 01 Feb 2006 (-3.73%), 16 Feb 2006 (-3.46%), 22 Feb 2006 (6.28%), 05 Apr 2006 (-3.23%), 20 Apr 2006 (-1.46%), 19 Jun 2006 (5.15%), 27 Sep 2006 (-0.95%), 03 Nov 2006 (-0.76%), 27 Nov 2006 (-3.49%), 26 Dec 2006 (3.36%)
2005903 Jan 2005 (-3.56%), 20 Jan 2005 (-3.43%), 27 Jan 2005 (10.63%), 29 Mar 2005 (5.8%), 18 May 2005 (5.94%), 04 Aug 2005 (-3.45%), 21 Oct 2005 (-5.61%), 24 Oct 2005 (-5.56%), 01 Nov 2005 (16.27%)
2004503 Mar 2004 (0.45%), 31 Mar 2004 (20.93%), 26 May 2004 (-6.74%), 30 Jun 2004 (-3.11%), 23 Sep 2004 (-0.41%)
20031107 Feb 2003 (-3.28%), 04 Apr 2003 (-1.59%), 13 May 2003 (1.68%), 04 Aug 2003 (-3.91%), 21 Aug 2003 (-2.74%), 27 Aug 2003 (-2.86%), 03 Oct 2003 (8.33%), 05 Nov 2003 (10.82%), 25 Nov 2003 (17.8%), 29 Dec 2003 (-3.75%), 30 Dec 2003 (6.23%)
2002707 Jan 2002 (-5.76%), 11 Feb 2002 (4.14%), 11 Apr 2002 (3.15%), 03 May 2002 (0.25%), 04 Jun 2002 (1.25%), 13 Aug 2002 (0.12%), 27 Dec 2002 (-1.56%)
2001705 Jan 2001 (-4.54%), 22 Jan 2001 (1.27%), 27 Mar 2001 (-5.2%), 05 Jul 2001 (-2.55%), 01 Aug 2001 (1.62%), 27 Sep 2001 (-2.28%), 06 Dec 2001 (3.63%)
2000504 Feb 2000 (10.37%), 08 May 2000 (-10.17%), 24 May 2000 (35.63%), 18 Aug 2000 (31.58%), 26 Oct 2000 (8.87%)
19991019 Feb 1999 (-4.69%), 22 Feb 1999 (-1.84%), 30 Mar 1999 (5.61%), 04 May 1999 (4.68%), 08 Jun 1999 (-5.03%), 22 Jun 1999 (-5.01%), 16 Aug 1999 (-2.07%), 07 Oct 1999 (18.71%), 15 Nov 1999 (-0.07%), 21 Dec 1999 (1.92%)
1998723 Feb 1998 (9.21%), 07 Apr 1998 (3.7%), 25 Jun 1998 (-5.59%), 04 Sep 1998 (1.97%), 27 Oct 1998 (-4.52%), 09 Dec 1998 (-3.05%), 22 Dec 1998 (-2.93%)
1997801 Mar 1997 (3.74%), 21 Apr 1997 (-4.43%), 05 Jun 1997 (-3.73%), 12 Jun 1997 (8.48%), 06 Aug 1997 (-4.23%), 07 Aug 1997 (3.59%), 10 Oct 1997 (-4.7%), 26 Nov 1997 (-3.2%)
1996802 Feb 1996 (6.07%), 03 Apr 1996 (12.3%), 06 Jun 1996 (-3.28%), 17 Jul 1996 (-4.08%), 28 Aug 1996 (5.61%), 23 Oct 1996 (-4.61%), 18 Nov 1996 (-4.03%), 09 Dec 1996 (1.82%)
1995729 Mar 1995 (1.02%), 09 May 1995 (-4.02%), 10 May 1995 (2.99%), 20 Jun 1995 (-2.99%), 14 Jul 1995 (32.84%), 25 Sep 1995 (0.77%), 12 Dec 1995 (-1.4%)



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