Study: Buy RELINFRA when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy RELINFRA 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 RELINFRA 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
198521.15179908950.284602.233617.49-3546.93-14269.591.31.310.019550.4
260176.58179889149.166310.9847447.22-5441.65-21348.471.161.120.0079336.18
3-57332.581797810143.588391.5846525.91-7048.27-29982.771.190.92-0.0062-320.29
4-44454.33179839646.379796.0651516.31-8932.58-38644.121.10.95-0.0039-248.35
569360.52179899049.7210954.4945758.16-10062.1-47376.361.091.080.0055387.49
6126083178839546.6312520.4372437.16-9611.72-48741.761.31.140.0094708.33
7185055178859347.7514131.4553051.82-10926-39809.321.291.180.0131039.63
8119548178809844.9414844.4657068.29-10898.05-54162.211.361.110.0077671.62
9149229178869248.3114437.8373860.91-11874.18-69461.641.221.140.0094838.37
10140218178928651.6913363.7171822.54-12665.62-53603.831.061.130.009787.74

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.31. 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 50.28%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, which is low, don't trade solely on the basis of this study.

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
nilnil-1198521.15179908950.284602.233617.49-3546.93-14269.591.31.310.019550.4
atrtrail-15.422559932027412836.6315066.76116087-6710.52-30174.992.251.30.0171267.29
atrtrail34.911357202037512836.9513262.2344649.15-6710.52-30174.991.981.160.011668.57
atrnil38.671893021905413628.4226043.9781406.23-8949.06-30174.992.911.160.012996.33
atrtrail24.191145662117813336.9712849.3654270.82-6674.32-30174.991.931.130.0098542.97
atrnil25.7976652.932067313335.4417121.1154270.82-8820.96-30174.991.941.070.0056372.1

In the table above, row 1 shows the best exit criterion. Profit factor is 1.31. 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 50.28%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.
RELINFRA Performance, X=1, Profit Factor:1.31

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019422 Feb 2019 (-1.94%), 15 May 2019 (2.51%), 26 Jun 2019 (-2.38%), 06 Sep 2019 (2.65%)
2018623 Feb 2018 (2.88%), 13 Mar 2018 (0.13%), 20 Jul 2018 (2.52%), 12 Oct 2018 (-0.5%), 20 Nov 2018 (1.99%), 21 Dec 2018 (-0.03%)
2017803 Jan 2017 (0.96%), 06 Mar 2017 (-1.0%), 24 Apr 2017 (-0.46%), 14 Jun 2017 (0.4%), 28 Jul 2017 (0.5%), 30 Aug 2017 (0.44%), 10 Oct 2017 (-2.44%), 27 Nov 2017 (-1.43%)
2016811 Apr 2016 (-0.43%), 27 May 2016 (0.78%), 01 Jul 2016 (0.73%), 28 Jul 2016 (5.79%), 23 Aug 2016 (0.47%), 07 Sep 2016 (0.18%), 24 Oct 2016 (-0.86%), 25 Nov 2016 (0.75%)
2015719 Feb 2015 (-0.62%), 07 Apr 2015 (2.44%), 05 May 2015 (-7.13%), 22 Jun 2015 (0.11%), 03 Aug 2015 (0.08%), 08 Sep 2015 (4.04%), 16 Nov 2015 (-0.35%)
2014801 Jan 2014 (-3.8%), 22 Jan 2014 (-1.13%), 13 May 2014 (0.26%), 05 Jun 2014 (0.71%), 07 Jul 2014 (-6.54%), 02 Sep 2014 (-1.83%), 21 Oct 2014 (0.03%), 30 Dec 2014 (0.64%)
2013801 Jan 2013 (-0.15%), 14 Mar 2013 (-2.34%), 08 Apr 2013 (-3.75%), 01 Jul 2013 (-2.47%), 13 Aug 2013 (-1.45%), 09 Oct 2013 (-0.08%), 01 Nov 2013 (-0.41%), 03 Dec 2013 (-1.22%)
2012424 May 2012 (1.92%), 07 Aug 2012 (-0.8%), 11 Sep 2012 (-1.4%), 27 Nov 2012 (1.13%)
2011717 Feb 2011 (-5.84%), 31 May 2011 (1.85%), 30 Jun 2011 (1.36%), 02 Sep 2011 (5.46%), 12 Oct 2011 (0.55%), 07 Dec 2011 (-4.8%), 27 Dec 2011 (-2.94%)
2010610 Feb 2010 (0.88%), 04 Mar 2010 (1.18%), 26 May 2010 (0.94%), 03 Sep 2010 (1.18%), 11 Nov 2010 (-1.21%), 15 Dec 2010 (0.56%)
2009702 Jan 2009 (5.84%), 29 Jan 2009 (4.87%), 17 Mar 2009 (3.43%), 23 Jul 2009 (0.23%), 28 Aug 2009 (-2.02%), 12 Nov 2009 (1.15%), 04 Dec 2009 (-1.37%)
2008625 Mar 2008 (-0.2%), 15 May 2008 (0.58%), 18 Jun 2008 (-5.7%), 09 Jul 2008 (2.44%), 05 Sep 2008 (4.09%), 31 Oct 2008 (16.81%)
2007915 Jan 2007 (-0.21%), 02 Feb 2007 (2.96%), 21 Mar 2007 (0.11%), 21 May 2007 (0.11%), 21 Jun 2007 (5.32%), 30 Aug 2007 (1.56%), 31 Oct 2007 (-5.33%), 05 Dec 2007 (3.04%), 24 Dec 2007 (2.37%)
2006827 Feb 2006 (1.03%), 10 Apr 2006 (-1.68%), 09 May 2006 (0.5%), 15 Jun 2006 (2.06%), 24 Jul 2006 (1.99%), 06 Sep 2006 (-0.41%), 27 Sep 2006 (-0.56%), 27 Oct 2006 (2.21%)
2005528 Jan 2005 (6.37%), 07 Mar 2005 (0.44%), 05 May 2005 (0.87%), 03 Oct 2005 (-0.03%), 02 Nov 2005 (2.06%)
2004604 Feb 2004 (-1.11%), 02 Apr 2004 (0.51%), 04 Jun 2004 (2.57%), 10 Aug 2004 (-0.64%), 04 Oct 2004 (2.22%), 21 Dec 2004 (1.19%)
20031022 Jan 2003 (-1.12%), 17 Feb 2003 (-0.22%), 01 Apr 2003 (0.53%), 30 Apr 2003 (-1.35%), 19 May 2003 (5.58%), 10 Jun 2003 (12.7%), 08 Aug 2003 (2.34%), 29 Sep 2003 (0.47%), 31 Oct 2003 (3.34%), 12 Dec 2003 (-1.15%)
20021004 Jan 2002 (-3.88%), 01 Feb 2002 (-1.47%), 25 Feb 2002 (1.51%), 27 Mar 2002 (-0.36%), 11 Apr 2002 (-0.11%), 30 May 2002 (-0.02%), 09 Jul 2002 (-0.76%), 05 Aug 2002 (-0.33%), 25 Sep 2002 (-1.03%), 08 Nov 2002 (-2.44%)
2001904 Jan 2001 (-0.15%), 22 Jan 2001 (-0.37%), 27 Mar 2001 (-2.23%), 22 May 2001 (1.39%), 29 Jun 2001 (-4.16%), 13 Jul 2001 (1.39%), 01 Aug 2001 (-0.71%), 21 Sep 2001 (-1.08%), 13 Nov 2001 (-0.41%)
2000806 Jan 2000 (-0.46%), 25 Jan 2000 (-3.4%), 11 Apr 2000 (-5.72%), 24 May 2000 (-1.87%), 20 Jul 2000 (-1.27%), 09 Aug 2000 (-1.76%), 05 Sep 2000 (3.75%), 03 Nov 2000 (0.21%)
1999817 Feb 1999 (0.16%), 06 Apr 1999 (8.0%), 10 May 1999 (2.36%), 08 Jun 1999 (-3.59%), 06 Jul 1999 (2.15%), 10 Aug 1999 (5.19%), 11 Oct 1999 (-2.73%), 10 Nov 1999 (-3.73%)
1998903 Feb 1998 (-3.55%), 09 Apr 1998 (-4.67%), 25 May 1998 (-1.48%), 25 Jun 1998 (-2.53%), 13 Aug 1998 (0.68%), 25 Sep 1998 (-0.6%), 29 Oct 1998 (-1.5%), 09 Dec 1998 (-0.88%), 29 Dec 1998 (5.33%)
1997628 Jan 1997 (-1.53%), 17 Feb 1997 (-3.27%), 09 Apr 1997 (-2.2%), 03 Jun 1997 (-0.87%), 09 Jul 1997 (-0.42%), 08 Sep 1997 (0.56%)
1996731 Jan 1996 (7.87%), 16 Apr 1996 (6.18%), 05 Jun 1996 (4.35%), 11 Jul 1996 (0.98%), 27 Aug 1996 (1.02%), 11 Oct 1996 (-2.72%), 17 Dec 1996 (-0.41%)
1995530 Mar 1995 (0.59%), 10 May 1995 (-0.6%), 17 Jul 1995 (-0.5%), 18 Sep 1995 (-1.26%), 11 Dec 1995 (0.5%)



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