Study: Buy RPOWER when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy RPOWER 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 RPOWER 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
1-58543.5381354643.213876.6323127.46-4222.29-17953.80.920.7-0.035-722.76
2-10511381305137.045911.8732034.92-5538.61-20707.071.070.63-0.047-1297.69
3-92564.9881334840.746380.3825135.14-6314.95-21928.071.010.69-0.039-1142.78
4-63431.5581354643.217711.9635000-7246.75-25806.451.060.81-0.022-783.11
5-69039.2981344741.989661.5140540.54-8458.1-29920.081.140.83-0.02-852.34
6-90093.8381344741.9811562.2258333.33-10281.05-31406.961.120.81-0.022-1112.27
7-34581.781305137.0415650.171621.62-9884.01-30841.121.580.93-0.0075-426.93
8-56134.7281295235.818517.58127838-11406.63-33343.421.620.91-0.0095-693.02
9-11541681305137.0417700.02107297-12674.83-49742.811.40.82-0.019-1424.89
10-72852.8781404149.3814255.3107838-15684.51-46140.720.910.89-0.012-899.42
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-15.5117456293306332.2618254.59112894-5921.84-17106.423.081.470.0311877.01
atrnil38.4211262086236326.7426346.3771543.82-7830.89-17106.423.361.230.0231309.54
atrtrail34.675014.4695316432.6314735.5371543.82-5965.42-17106.422.471.20.018789.63
atrnil26.1116530.5393286530.1118190.2547695.88-7581.48-17106.422.41.030.0041177.75
atrtrail24.21-587.2497336434.0211757.9147695.88-6071.85-17106.421.941-0.00017-6.05

In the table above, row 1 shows the best exit criterion. Profit factor is 1.47. 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 32.26%, which is not acceptable. Avoid this strategy. Average return per trade is 0.94%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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.
RPOWER Performance, Profit Factor:1.47

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019114 May 2019 (22.55%)
20181022 Feb 2018 (-1.13%), 03 Apr 2018 (6.7%), 08 May 2018 (-4.66%), 28 May 2018 (-3.97%), 11 Jul 2018 (-3.86%), 23 Jul 2018 (3.16%), 21 Aug 2018 (7.6%), 12 Oct 2018 (-4.85%), 21 Dec 2018 (-4.04%), 27 Dec 2018 (-1.82%)
20171102 Jan 2017 (5.39%), 30 Jan 2017 (-2.41%), 23 Feb 2017 (0.54%), 16 Mar 2017 (-2.72%), 03 Apr 2017 (-1.24%), 28 Apr 2017 (-2.86%), 13 Jun 2017 (9.65%), 30 Aug 2017 (-0.72%), 30 Oct 2017 (-1.66%), 24 Nov 2017 (-1.08%), 19 Dec 2017 (56.45%)
2016822 Feb 2016 (-5.45%), 27 May 2016 (-2.73%), 05 Jul 2016 (-2.73%), 26 Jul 2016 (-2.51%), 23 Aug 2016 (-1.48%), 08 Sep 2016 (-1.67%), 20 Oct 2016 (-2.51%), 29 Nov 2016 (-2.12%)
2015919 Feb 2015 (-3.43%), 01 Apr 2015 (4.6%), 05 May 2015 (-3.31%), 26 May 2015 (-1.83%), 22 Jun 2015 (-1.29%), 05 Aug 2015 (-2.28%), 09 Sep 2015 (7.63%), 27 Nov 2015 (-0.12%), 21 Dec 2015 (8.35%)
2014610 Feb 2014 (-2.86%), 14 May 2014 (-3.01%), 15 May 2014 (23.23%), 21 Aug 2014 (-3.15%), 10 Sep 2014 (-3.28%), 26 Dec 2014 (0.8%)
20131207 Jan 2013 (-2.35%), 21 Jan 2013 (-2.46%), 22 Jan 2013 (-2.64%), 08 Mar 2013 (-2.79%), 03 Apr 2013 (7.99%), 01 Jul 2013 (-4.18%), 14 Aug 2013 (-5.25%), 05 Sep 2013 (-0.46%), 08 Oct 2013 (0.84%), 01 Nov 2013 (-0.71%), 03 Dec 2013 (0.77%), 27 Dec 2013 (-2.06%)
2012703 Jan 2012 (34.35%), 05 Mar 2012 (-5.04%), 06 Mar 2012 (3.54%), 21 May 2012 (-4.97%), 14 Aug 2012 (-3.62%), 08 Sep 2012 (26.39%), 29 Nov 2012 (0.86%)
2011817 Feb 2011 (-4.97%), 22 Feb 2011 (-4.89%), 01 Mar 2011 (7.57%), 27 May 2011 (0.61%), 28 Jun 2011 (0.64%), 26 Jul 2011 (-2.36%), 27 Jul 2011 (-2.51%), 30 Aug 2011 (-4.24%)
2010902 Mar 2010 (0.87%), 23 Apr 2010 (-2.4%), 29 Apr 2010 (-2.59%), 27 May 2010 (-0.02%), 05 Jul 2010 (-3.93%), 25 Aug 2010 (-2.33%), 26 Aug 2010 (2.52%), 04 Nov 2010 (12.11%), 27 Dec 2010 (2.71%)
2009730 Jan 2009 (-5.94%), 02 Feb 2009 (3.52%), 02 Mar 2009 (-4.61%), 16 Mar 2009 (2.72%), 18 May 2009 (9.15%), 15 Jun 2009 (-5.72%), 26 Aug 2009 (-3.76%)
2008520 May 2008 (-1.88%), 08 Jul 2008 (-1.33%), 05 Sep 2008 (-0.05%), 25 Sep 2008 (-5.1%), 04 Nov 2008 (-8.55%)



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