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

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In this study, we evaluate the performance of strategy "Buy RELIANCE 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 RELIANCE 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
15446.781073701635.333275.61-2000.18-2849.580.821.910.056544.68
2-1697.491046403089.725153.48-2342.72-4111.541.320.88-0.011-169.75
3101211064603766.976444.11-3120.21-63711.211.810.0521012.1
49715.681073703716.638890.26-5433.57-8315.730.681.60.039971.57
512811.751064605523.1211793.97-5081.74-8035.491.091.630.0441281.18
66539.881055507371.5512691.86-6063.58-14023.711.221.220.017653.99
78373.941046408176.4812776.8-4055.33-15115.582.021.340.022837.39
816073.091064607216.0215246.64-6805.76-15610.341.061.590.0381607.31
921441.0110555012053.1221925.62-7764.92-22878.11.551.550.0342144.1
109145.581064609174.9220809.32-11475.98-21462.080.81.20.015914.56

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.91. 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 70%, which is good. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.056, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid 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
atrtrail-18.130324.9210555010125.9225952.5-4060.94-5783.342.492.490.0663032.49
atrtrail36.422561.961055508573.3314690.05-4060.94-5783.342.112.110.0622256.2
atrtrail25.919417.241055507944.3911117.33-4060.94-5783.341.961.960.0621941.72
nilnil-115446.781073701635.333275.61-2000.18-2849.580.821.910.056544.68
atrnil27.122019.631055509947.7612605.35-5543.83-6891.671.791.790.0572201.96
atrnil38.57665.0510373015063.416675.99-5360.73-6891.672.811.20.016766.5

In the table above, row 1 shows the best exit criterion. Profit factor is 2.49. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 1.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.066, 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.
RELIANCE Performance, Profit Factor:2.49

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018205 Jan 2018 (1.19%), 18 Dec 2018 (-2.41%)
2017105 Oct 2017 (12.98%)
2012124 Jul 2012 (-1.74%)
2005101 Apr 2005 (-1.6%)
2004205 Mar 2004 (-1.5%), 01 Sep 2004 (4.69%)
2003128 Nov 2003 (1.29%)
1997130 May 1997 (5.16%)
1996103 Jun 1996 (-2.89%)



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