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

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In this study, we evaluate the performance of strategy "Buy RELINFRA 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 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
1-17506.2193633.33691.291121.36-3263.35-7934.40.210.11-0.15-1945.13
2-31128.2994544.442808.353689.57-8472.34-16666.670.330.27-0.11-3458.7
3-47314.7893633.334090.167805.77-9930.88-14304.220.410.21-0.13-5257.2
4-45820.2694544.443263.68703.62-11774.93-20381.540.280.22-0.11-5091.14
5-48662.0893633.334139.666138.34-10180.18-19468.450.410.2-0.13-5406.9
6-43785.7693633.338575.5111525.42-11585.38-21946.840.740.37-0.086-4865.08
7-36265.6495455.565912.2810451.27-16456.76-20332.630.360.45-0.071-4029.52
8-33184.1494544.444905.959860.01-10561.59-15647.160.460.37-0.089-3687.13
9-36249.2594544.445622.397877.58-11747.76-24401.60.480.38-0.082-4027.69
10-52226.2894544.442794.846997.46-12681.12-28501.770.220.18-0.11-5802.92
Although, strategy looks good but profit factor on day 1 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
atrnil25.2-33938.0710282011863.812445.33-7208.21-9479.181.650.41-0.09-3393.81
atrnil38-44638.81019101866818668-7034.09-9479.182.650.29-0.12-4463.88
atrtrail24.2-36221.481028207325.4312445.33-6359.04-9479.181.150.29-0.12-3622.15
atrtrail34.4-43065.971028203903.185600.84-6359.04-9479.180.610.15-0.19-4306.6
atrtrail-14.4-43065.971028203903.185600.84-6359.04-9479.180.610.15-0.19-4306.6

In the table above, row 1 shows the best exit criterion. Profit factor is 0.41. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RELINFRA Performance, Profit Factor:0.411

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018230 Apr 2018 (-3.1%), 02 May 2018 (-3.49%)
2017120 Apr 2017 (5.64%)
2016130 Jun 2016 (6.22%)
2014105 Aug 2014 (-4.13%)
2013120 Dec 2013 (-3.42%)
2012103 Apr 2012 (-4.74%)
2007104 Jan 2007 (-3.52%)
1998119 Jan 1998 (-3.78%)
1997130 May 1997 (-2.65%)



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