Study: Buy SRTRANSFIN when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy SRTRANSFIN 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 SRTRANSFIN 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
1-47587.62174858948.855157.9840441.18-5460.85-800000.940.9-0.0058-273.49
2106.31174849048.287551.5535294.12-7046.93-400001.0711.2e-050.61
3-3356.22174769843.6810304.6950000-8025.64-78095.241.281-0.0003-19.29
425005.38174799545.412028.7462000-9739.63-1238101.241.030.0017143.71
5-74545.02174779744.2512100.33100000-10373.92-85714.291.170.93-0.0051-428.42
612089317487875012055.272500-10665.62-48888.891.131.130.0091694.79
7517253174957954.614743.5694117.65-11182.09-48888.891.321.590.0322972.72
8566314174918352.317618.37145170-12493.47-66666.671.411.550.0293254.68
9693224174898551.1519292.43120000-12044.73-66666.671.61.680.0373984.04
10770989174957954.619717.43128000-13951.49-74285.711.411.70.0384430.97
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
atrnil38.028012141966712934.1831310.97115061-10051.33-48777.163.121.620.0384087.83
atrnil25.835090892068412240.7820732.9876707.05-10102.3-48777.162.051.410.032471.31
atrtrail24.072699202198313637.915985.0655742.22-7770.89-33137.482.061.260.0191232.51
atrtrail34.62729762157913636.7417025.6366002.25-7882.71-33137.482.161.250.0171269.66
atrtrail-15.371247512127513735.3815998.27128064-7847.58-33137.482.041.120.0075588.45

In the table above, row 1 shows the best exit criterion. Profit factor is 1.62. 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 34.18%, which is not acceptable. Avoid this strategy. Average return per trade is 2.04%, which is very good. Sharpe Ratio is 0.038, 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.
SRTRANSFIN Performance, Profit Factor:1.62

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019807 Feb 2019 (-3.79%), 20 Feb 2019 (11.0%), 20 May 2019 (-3.96%), 24 Jun 2019 (-4.41%), 16 Jul 2019 (-3.4%), 07 Aug 2019 (-3.51%), 09 Sep 2019 (11.01%), 22 Oct 2019 (-4.08%)
2018826 Feb 2018 (11.31%), 24 Apr 2018 (-2.88%), 28 May 2018 (-3.05%), 11 Jun 2018 (-3.49%), 16 Jul 2018 (-5.07%), 16 Oct 2018 (-6.95%), 17 Oct 2018 (22.76%), 14 Dec 2018 (-4.43%)
2017808 Mar 2017 (7.97%), 30 May 2017 (-2.83%), 20 Jun 2017 (-2.54%), 01 Aug 2017 (-3.44%), 23 Aug 2017 (9.95%), 10 Oct 2017 (9.45%), 30 Nov 2017 (-3.06%), 06 Dec 2017 (10.2%)
20161329 Jan 2016 (-3.87%), 01 Feb 2016 (-4.17%), 01 Mar 2016 (13.12%), 13 Apr 2016 (-3.13%), 27 Apr 2016 (-2.85%), 02 May 2016 (-3.55%), 03 May 2016 (12.2%), 01 Jul 2016 (-2.88%), 29 Jul 2016 (-3.35%), 28 Sep 2016 (-3.06%), 03 Oct 2016 (-3.58%), 25 Nov 2016 (-5.86%), 28 Dec 2016 (11.92%)
2015816 Jan 2015 (-3.58%), 19 Jan 2015 (-3.76%), 07 Apr 2015 (-3.93%), 18 May 2015 (-5.08%), 04 Aug 2015 (-3.28%), 02 Sep 2015 (-3.68%), 01 Dec 2015 (-3.07%), 21 Dec 2015 (-2.96%)
2014803 Feb 2014 (-3.43%), 24 Feb 2014 (9.81%), 23 Apr 2014 (-3.88%), 14 May 2014 (12.34%), 03 Jul 2014 (-3.53%), 31 Jul 2014 (-3.93%), 22 Oct 2014 (-3.85%), 01 Dec 2014 (-3.57%)
20131115 Jan 2013 (-2.99%), 08 Mar 2013 (-3.32%), 18 Mar 2013 (-3.46%), 19 Mar 2013 (-3.62%), 01 Apr 2013 (-3.79%), 12 Apr 2013 (-3.92%), 18 Apr 2013 (11.21%), 23 Jul 2013 (-3.87%), 24 Jul 2013 (-4.43%), 05 Aug 2013 (-4.51%), 10 Sep 2013 (17.04%)
2012705 Jan 2012 (13.81%), 13 Mar 2012 (-4.47%), 25 May 2012 (10.85%), 30 Jul 2012 (11.4%), 05 Oct 2012 (-2.52%), 15 Nov 2012 (-2.34%), 23 Nov 2012 (8.01%)
2011818 Jan 2011 (-3.71%), 11 Feb 2011 (11.17%), 25 Mar 2011 (-3.36%), 20 May 2011 (-4.98%), 30 Jun 2011 (12.42%), 29 Aug 2011 (14.16%), 26 Oct 2011 (-4.02%), 02 Dec 2011 (-4.32%)
20101004 Jan 2010 (-4.46%), 05 Mar 2010 (12.78%), 04 May 2010 (-4.12%), 31 May 2010 (14.13%), 20 Aug 2010 (-3.56%), 13 Sep 2010 (-3.25%), 27 Oct 2010 (7.91%), 03 Dec 2010 (-3.93%), 06 Dec 2010 (-4.22%), 23 Dec 2010 (-5.36%)
2009927 Jan 2009 (-4.51%), 06 Feb 2009 (-4.36%), 26 Feb 2009 (12.56%), 17 Jul 2009 (-4.31%), 06 Aug 2009 (13.31%), 16 Sep 2009 (-4.19%), 17 Oct 2009 (-3.92%), 11 Nov 2009 (12.61%), 31 Dec 2009 (-4.29%)
2008619 Feb 2008 (-6.41%), 27 Mar 2008 (-6.43%), 16 May 2008 (-5.61%), 08 Jul 2008 (-6.71%), 24 Jul 2008 (18.1%), 31 Oct 2008 (-10.07%)
2007803 Jan 2007 (-4.01%), 22 Mar 2007 (-5.11%), 04 Apr 2007 (13.01%), 06 Aug 2007 (-3.63%), 03 Sep 2007 (13.4%), 28 Sep 2007 (11.79%), 03 Dec 2007 (-4.86%), 12 Dec 2007 (14.36%)
2006802 Feb 2006 (-4.22%), 01 Mar 2006 (14.6%), 05 May 2006 (-4.34%), 22 Jun 2006 (-8.18%), 28 Jul 2006 (-5.64%), 31 Jul 2006 (18.17%), 30 Oct 2006 (-2.78%), 13 Nov 2006 (9.85%)
20051008 Feb 2005 (13.09%), 03 Mar 2005 (18.38%), 26 Apr 2005 (-4.91%), 13 May 2005 (-4.64%), 03 Jun 2005 (-4.9%), 04 Jul 2005 (14.67%), 12 Aug 2005 (-4.89%), 04 Oct 2005 (-6.49%), 11 Nov 2005 (18.28%), 16 Dec 2005 (-4.66%)
2004604 Jun 2004 (16.05%), 12 Aug 2004 (8.67%), 21 Oct 2004 (-4.4%), 04 Nov 2004 (-4.87%), 19 Nov 2004 (11.51%), 31 Dec 2004 (13.82%)
2003915 Jan 2003 (-3.57%), 06 Feb 2003 (-2.91%), 13 May 2003 (6.7%), 03 Jun 2003 (18.18%), 26 Jun 2003 (-5.42%), 04 Aug 2003 (12.07%), 06 Oct 2003 (9.87%), 28 Nov 2003 (12.59%), 26 Dec 2003 (-7.52%)
2002929 Jan 2002 (17.52%), 04 Apr 2002 (-4.91%), 05 Apr 2002 (-5.47%), 29 Apr 2002 (14.44%), 06 Jun 2002 (-8.13%), 18 Jul 2002 (16.32%), 19 Jul 2002 (-5.62%), 09 Sep 2002 (-6.03%), 14 Nov 2002 (9.43%)
2001812 Feb 2001 (-8.72%), 30 Mar 2001 (16.13%), 02 Apr 2001 (-7.0%), 09 May 2001 (16.2%), 14 May 2001 (18.38%), 25 Jun 2001 (15.17%), 12 Sep 2001 (-6.59%), 19 Sep 2001 (27.95%)
2000611 Feb 2000 (-13.58%), 09 May 2000 (57.53%), 05 Sep 2000 (40.01%), 02 Nov 2000 (-14.08%), 03 Nov 2000 (-13.94%), 30 Nov 2000 (-16.19%)
1999703 Feb 1999 (-16.57%), 26 Feb 1999 (-24.39%), 02 Jun 1999 (-10.93%), 03 Jun 1999 (47.22%), 08 Oct 1999 (30.03%), 07 Dec 1999 (-11.98%), 17 Dec 1999 (33.0%)
19981101 Jan 1998 (-3.7%), 27 Feb 1998 (-2.6%), 02 Mar 1998 (-2.74%), 19 Mar 1998 (-3.34%), 27 Mar 1998 (10.63%), 29 Apr 1998 (-5.41%), 16 Jun 1998 (-6.18%), 24 Jun 1998 (19.96%), 15 Sep 1998 (-5.54%), 22 Oct 1998 (25.73%), 24 Dec 1998 (-6.43%)
1997903 Mar 1997 (-3.68%), 09 Apr 1997 (-4.7%), 14 May 1997 (-4.29%), 15 May 1997 (-5.06%), 27 Jun 1997 (-3.7%), 05 Sep 1997 (-2.6%), 11 Nov 1997 (-3.2%), 12 Nov 1997 (-3.68%), 24 Nov 1997 (-3.41%)
1996126 Dec 1996 (9.65%)



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