Study: Buy SHREECEM when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy SHREECEM 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 SHREECEM 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
158943.75191949749.214338.4825274.73-3596.63-13831.991.211.170.011308.61
23196731911048754.457110.0533572.71-4824.96-19815.91.471.760.0411673.68
34930601911058654.9710023.3552244.17-6504.56-45946.751.541.880.0462581.46
46243531911038853.9312500.3372531.42-7536.15-45590.421.661.940.0473268.87
55714641911038853.9312426.1261935.48-8050.29-41566.271.541.810.0442991.96
66270601911048754.4513040.6656774.19-8381.24-45788.381.561.860.0473283.04
76795391911078456.0213820.7565806.45-9515.26-42086.511.451.850.0463557.79
87688431911068555.515286.4467096.77-10017.89-37349.41.531.90.054025.35
97579011911068555.515916.7588602.15-10932.64-42413.791.461.820.0473968.07
108550641911088356.5416665.9596344.09-11383.84-52068.971.461.90.0484476.77
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
atrnil37.668013042147613835.5127037.9856160.88-9083.93-22175.922.981.640.0433744.41
atrnil25.325284202259413141.7818167.2438204.29-9002.29-22175.922.021.450.0342348.53
atrtrail23.983836652319114039.3914659.4538204.29-6788.18-18203.132.161.40.0291660.89
atrtrail34.823808232288714138.1615367.9145998.56-6781.45-18203.132.271.40.0261670.28
atrtrail-15.53556152268514137.6115532.275375.63-6841.29-18203.132.271.370.0221573.52

In the table above, row 1 shows the best exit criterion. Profit factor is 1.64. 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 35.51%, which is not acceptable. Avoid this strategy. Average return per trade is 1.87%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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.
SHREECEM Performance, Profit Factor:1.64

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019804 Feb 2019 (-3.51%), 21 Feb 2019 (9.48%), 29 Mar 2019 (8.2%), 30 Apr 2019 (-2.3%), 21 May 2019 (-2.76%), 25 Jun 2019 (-2.76%), 11 Sep 2019 (-3.32%), 16 Oct 2019 (-3.09%)
2018921 Feb 2018 (-3.19%), 13 Mar 2018 (-3.11%), 28 May 2018 (-2.56%), 11 Jun 2018 (-2.68%), 12 Jun 2018 (-2.8%), 03 Jul 2018 (8.84%), 20 Aug 2018 (8.07%), 02 Nov 2018 (14.02%), 13 Dec 2018 (-2.89%)
20171323 Feb 2017 (-2.71%), 15 Mar 2017 (-2.47%), 28 Mar 2017 (-2.29%), 29 Mar 2017 (-2.68%), 24 Apr 2017 (7.17%), 13 Jun 2017 (-3.01%), 04 Jul 2017 (-2.86%), 30 Aug 2017 (-3.1%), 04 Oct 2017 (-2.78%), 17 Oct 2017 (-2.42%), 23 Oct 2017 (-2.66%), 24 Oct 2017 (-2.73%), 07 Dec 2017 (7.9%)
20161229 Jan 2016 (-4.35%), 02 Mar 2016 (13.0%), 18 Apr 2016 (-3.7%), 11 May 2016 (-3.14%), 02 Jun 2016 (-3.74%), 22 Jun 2016 (8.89%), 03 Aug 2016 (-2.81%), 06 Sep 2016 (-2.7%), 03 Oct 2016 (-3.37%), 18 Oct 2016 (-2.99%), 25 Nov 2016 (-5.59%), 30 Dec 2016 (-4.33%)
2015915 Jan 2015 (7.17%), 09 Apr 2015 (-3.91%), 04 May 2015 (12.02%), 24 Jun 2015 (-4.34%), 03 Sep 2015 (-4.13%), 10 Sep 2015 (12.15%), 20 Oct 2015 (-4.02%), 01 Dec 2015 (-3.7%), 16 Dec 2015 (-3.39%)
20141020 Feb 2014 (7.68%), 26 Mar 2014 (6.93%), 13 May 2014 (-2.6%), 14 May 2014 (-2.71%), 01 Aug 2014 (-3.24%), 18 Aug 2014 (10.06%), 23 Oct 2014 (-2.45%), 29 Oct 2014 (7.84%), 08 Dec 2014 (-2.2%), 24 Dec 2014 (-2.63%)
20131013 Feb 2013 (-3.91%), 12 Mar 2013 (-4.52%), 02 Apr 2013 (-3.94%), 11 Apr 2013 (10.47%), 02 Jul 2013 (-3.33%), 23 Jul 2013 (-2.46%), 03 Sep 2013 (11.53%), 03 Dec 2013 (-2.27%), 18 Dec 2013 (-2.72%), 24 Dec 2013 (-2.56%)
20121030 Mar 2012 (-3.34%), 08 Jun 2012 (11.25%), 30 Jul 2012 (-2.78%), 31 Jul 2012 (-3.46%), 13 Aug 2012 (10.06%), 21 Sep 2012 (-2.8%), 24 Sep 2012 (9.0%), 08 Nov 2012 (-2.78%), 30 Nov 2012 (-4.76%), 14 Dec 2012 (-3.63%)
2011714 Feb 2011 (13.57%), 26 May 2011 (-3.65%), 29 Jun 2011 (-3.21%), 02 Sep 2011 (-3.46%), 14 Sep 2011 (10.21%), 18 Oct 2011 (11.65%), 27 Dec 2011 (10.66%)
20101004 Jan 2010 (8.36%), 17 Feb 2010 (11.74%), 31 Mar 2010 (-3.3%), 20 May 2010 (-3.86%), 02 Jun 2010 (-4.66%), 05 Aug 2010 (-2.82%), 01 Sep 2010 (9.99%), 01 Nov 2010 (7.13%), 15 Dec 2010 (-3.74%), 23 Dec 2010 (-3.43%)
2009704 Feb 2009 (17.51%), 13 Mar 2009 (12.75%), 18 May 2009 (-4.72%), 19 May 2009 (18.3%), 16 Jul 2009 (12.23%), 18 Sep 2009 (-4.19%), 03 Nov 2009 (14.77%)
2008825 Jan 2008 (-11.09%), 19 Feb 2008 (-7.36%), 31 Mar 2008 (-6.38%), 17 Jun 2008 (-5.14%), 10 Jul 2008 (-8.57%), 21 Oct 2008 (-8.06%), 05 Nov 2008 (-10.37%), 10 Dec 2008 (26.2%)
2007616 Jan 2007 (-4.05%), 22 Mar 2007 (-7.94%), 22 Jun 2007 (13.77%), 29 Aug 2007 (-5.18%), 20 Nov 2007 (-5.58%), 21 Nov 2007 (-5.99%)
2006917 Jan 2006 (11.68%), 14 Feb 2006 (12.25%), 04 Apr 2006 (13.08%), 19 Jun 2006 (-7.95%), 27 Jul 2006 (15.84%), 15 Sep 2006 (-3.96%), 18 Sep 2006 (12.82%), 01 Nov 2006 (10.49%), 28 Dec 2006 (-4.18%)
2005705 Jan 2005 (-3.64%), 03 Feb 2005 (-3.86%), 04 Feb 2005 (12.15%), 03 Mar 2005 (12.02%), 08 Apr 2005 (14.73%), 24 Jun 2005 (-3.72%), 02 Nov 2005 (-5.64%)
2004812 Feb 2004 (-7.32%), 01 Mar 2004 (18.15%), 26 Mar 2004 (-4.75%), 29 Mar 2004 (14.97%), 23 Jun 2004 (16.21%), 30 Jul 2004 (-5.69%), 18 Aug 2004 (15.27%), 22 Nov 2004 (10.13%)
2003909 Jan 2003 (-4.79%), 27 Mar 2003 (25.99%), 09 Jun 2003 (14.07%), 02 Jul 2003 (-6.73%), 28 Jul 2003 (16.0%), 29 Jul 2003 (19.83%), 10 Sep 2003 (-6.17%), 07 Oct 2003 (-4.76%), 15 Dec 2003 (17.62%)
20021107 Jan 2002 (-8.4%), 15 Jan 2002 (-8.32%), 18 Feb 2002 (-5.41%), 06 Mar 2002 (-5.72%), 09 May 2002 (11.95%), 06 Jun 2002 (-5.41%), 07 Jun 2002 (16.9%), 02 Jul 2002 (-6.15%), 14 Aug 2002 (-5.71%), 04 Oct 2002 (10.52%), 13 Nov 2002 (10.96%)
2001210 Jul 2001 (28.08%), 28 Sep 2001 (22.45%)
2000107 Feb 2000 (-7.09%)
19991218 Feb 1999 (-7.05%), 12 Mar 1999 (-6.58%), 22 Mar 1999 (-5.43%), 21 Apr 1999 (-5.37%), 10 May 1999 (18.86%), 04 Jun 1999 (21.38%), 06 Jul 1999 (18.65%), 03 Aug 1999 (18.97%), 08 Oct 1999 (-7.28%), 11 Oct 1999 (23.0%), 02 Dec 1999 (-6.37%), 17 Dec 1999 (18.04%)
19981015 Jan 1998 (-5.52%), 23 Feb 1998 (14.11%), 25 Mar 1998 (18.8%), 06 May 1998 (-6.96%), 19 May 1998 (-6.77%), 07 Jul 1998 (-9.55%), 14 Aug 1998 (-5.83%), 17 Aug 1998 (-6.07%), 17 Nov 1998 (-7.49%), 03 Dec 1998 (-6.59%)
1997911 Feb 1997 (-3.88%), 28 Feb 1997 (11.27%), 03 Apr 1997 (-5.38%), 08 May 1997 (15.03%), 26 Jun 1997 (12.9%), 05 Aug 1997 (-4.96%), 17 Oct 1997 (-4.41%), 04 Nov 1997 (-5.15%), 21 Nov 1997 (15.89%)
1996802 Feb 1996 (12.34%), 12 Feb 1996 (-4.67%), 01 Apr 1996 (11.8%), 03 Jun 1996 (-4.43%), 25 Jul 1996 (-6.06%), 11 Oct 1996 (-6.05%), 14 Oct 1996 (-6.52%), 07 Nov 1996 (-6.45%)
1995918 May 1995 (-3.88%), 19 May 1995 (-4.14%), 29 May 1995 (11.71%), 14 Jul 1995 (-5.18%), 17 Jul 1995 (-5.24%), 18 Aug 1995 (-4.01%), 10 Oct 1995 (-2.74%), 10 Nov 1995 (-4.19%), 27 Nov 1995 (-4.51%)



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