Study: Buy STAR when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy STAR 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 STAR 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
1122174141746752.485483.3234961.94-4232.71-156251.31.430.029866.48
295752.49141667546.818179.443211.39-5921.17-28571.431.381.220.016679.1
370932.46140647645.719566.2348318.19-7122.45-44468.551.341.130.01506.66
4-105218140608042.8610121.6354186.1-8906.45-46926.971.140.85-0.014-751.56
5-74402.73140687248.5710413.0957746.13-10867.96-48514.850.960.9-0.009-531.45
6-72380.69140697149.2911560.5950454.21-12254.39-49746.930.940.92-0.0078-517
7-120038140667447.1413258.6470537.69-13447.4-51771.510.990.88-0.011-857.41
814011.01140697149.2914548.7865774.61-13941.62-62193.551.041.010.0013100.08
918539.62140697149.2915899.8865283.57-15190.88-62689.81.051.020.0016132.43
1091390.24140726851.4317070.3569432.85-16730.52-68387.11.021.080.0069652.79

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.43. 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 52.48%, which is not acceptable. Avoid this strategy. Average return per trade is 0.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.029, 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-11122174141746752.485483.3234961.94-4232.71-156251.31.430.029866.48
atrnil25.771436501676210537.1319532.7338063.36-10165.52-26148.191.921.130.013860.18
atrnil38.511494081564311327.5629959.8757095.04-10078.47-26148.192.971.130.012957.74
atrtrail24.2686034.791726510737.7914545.7731414.43-8032.15-21691.691.811.10.0095500.2
atrtrail35.0837726.711676210537.1314205.5947121.65-8028.76-21691.691.771.040.004225.91
atrtrail-15.58-1054601666210437.3511865.3165665.73-8087.59-21691.691.470.87-0.012-635.3

In the table above, row 1 shows the best exit criterion. Profit factor is 1.43. 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 52.48%, which is not acceptable. Avoid this strategy. Average return per trade is 0.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.029, 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.
STAR Performance, X=1, Profit Factor:1.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019709 Jan 2019 (0.79%), 22 Feb 2019 (-0.08%), 30 May 2019 (-1.54%), 26 Jun 2019 (-0.91%), 30 Jul 2019 (3.85%), 09 Sep 2019 (-0.06%), 14 Oct 2019 (5.05%)
2018716 Feb 2018 (1.03%), 14 Mar 2018 (2.84%), 24 Apr 2018 (-1.43%), 26 Jul 2018 (1.2%), 31 Oct 2018 (0.27%), 30 Nov 2018 (-2.1%), 17 Dec 2018 (1.11%)
2017905 Jan 2017 (0.37%), 06 Feb 2017 (1.42%), 25 Apr 2017 (-0.74%), 10 May 2017 (-0.11%), 02 Jun 2017 (0.1%), 04 Sep 2017 (1.64%), 16 Oct 2017 (0.2%), 20 Nov 2017 (1.06%), 19 Dec 2017 (2.42%)
20161027 Jan 2016 (-1.97%), 01 Mar 2016 (10.85%), 13 Apr 2016 (2.78%), 03 May 2016 (-1.34%), 07 Jun 2016 (0.19%), 30 Jun 2016 (4.27%), 08 Sep 2016 (1.2%), 21 Oct 2016 (-1.08%), 24 Nov 2016 (0.52%), 09 Dec 2016 (-1.31%)
2015718 Feb 2015 (-0.17%), 31 Mar 2015 (1.51%), 23 Jun 2015 (-0.96%), 07 Jul 2015 (-1.42%), 07 Aug 2015 (-1.75%), 16 Sep 2015 (0.38%), 17 Nov 2015 (-2.62%)
2014505 Jun 2014 (9.42%), 03 Jul 2014 (-0.94%), 04 Sep 2014 (0.48%), 07 Oct 2014 (0.57%), 10 Nov 2014 (0.1%)
2013821 Jan 2013 (-3.37%), 22 Feb 2013 (-0.58%), 14 Mar 2013 (-0.08%), 01 Apr 2013 (1.36%), 17 Apr 2013 (0.19%), 27 Jun 2013 (-0.27%), 07 Aug 2013 (-2.11%), 29 Oct 2013 (0.27%)
20121002 Jan 2012 (1.47%), 23 Jan 2012 (17.48%), 14 Mar 2012 (2.5%), 04 Apr 2012 (-2.1%), 06 Jun 2012 (-3.14%), 13 Jul 2012 (1.25%), 09 Aug 2012 (1.28%), 07 Sep 2012 (4.63%), 19 Oct 2012 (-1.5%), 16 Nov 2012 (2.06%)
2011517 Feb 2011 (-0.87%), 04 Mar 2011 (-3.4%), 25 Mar 2011 (1.95%), 04 Jul 2011 (-0.78%), 05 Sep 2011 (-1.57%)
20101108 Jan 2010 (-1.35%), 10 Feb 2010 (1.29%), 03 Mar 2010 (0.59%), 19 Mar 2010 (-1.81%), 22 Apr 2010 (-2.31%), 20 May 2010 (5.16%), 03 Aug 2010 (1.39%), 09 Sep 2010 (-0.45%), 01 Oct 2010 (-1.21%), 22 Oct 2010 (2.43%), 06 Dec 2010 (-0.91%)
2009923 Jan 2009 (0.76%), 19 May 2009 (0.77%), 19 Jun 2009 (-6.17%), 20 Jul 2009 (5.04%), 11 Aug 2009 (3.35%), 02 Sep 2009 (0.22%), 30 Sep 2009 (-1.77%), 20 Oct 2009 (-0.38%), 11 Nov 2009 (1.65%)
2008707 Feb 2008 (2.42%), 06 May 2008 (-1.65%), 12 Jun 2008 (2.44%), 10 Jul 2008 (2.1%), 19 Aug 2008 (-2.24%), 03 Nov 2008 (-2.6%), 20 Nov 2008 (0.75%)
2007602 Feb 2007 (-2.38%), 08 Mar 2007 (-1.73%), 17 May 2007 (-0.45%), 04 Jul 2007 (-3.54%), 21 Aug 2007 (-1.46%), 12 Nov 2007 (1.11%)
2006916 Jan 2006 (-4.51%), 06 Feb 2006 (-0.59%), 24 Mar 2006 (0.25%), 04 May 2006 (-0.34%), 09 Jun 2006 (6.06%), 09 Aug 2006 (4.22%), 19 Sep 2006 (4.79%), 13 Nov 2006 (-1.58%), 26 Dec 2006 (-1.29%)
2005904 Jan 2005 (-6.19%), 31 Jan 2005 (6.28%), 10 Mar 2005 (-2.57%), 01 Apr 2005 (3.22%), 22 Apr 2005 (-0.36%), 10 May 2005 (0.0%), 02 Aug 2005 (1.99%), 03 Oct 2005 (0.22%), 02 Nov 2005 (0.32%)
2004713 Feb 2004 (1.85%), 29 Mar 2004 (2.57%), 24 May 2004 (-4.46%), 14 Jul 2004 (5.95%), 13 Aug 2004 (-4.61%), 29 Sep 2004 (1.69%), 03 Nov 2004 (6.03%)
2003219 Aug 2003 (10.72%), 13 Nov 2003 (3.28%)
2002425 Jan 2002 (-7.14%), 26 Mar 2002 (-3.07%), 18 Apr 2002 (-7.81%), 12 Jun 2002 (-2.33%)
2001412 Jan 2001 (-5.93%), 13 Feb 2001 (-3.23%), 21 Mar 2001 (0.0%), 25 Sep 2001 (3.46%)
2000527 Apr 2000 (8.0%), 08 Jun 2000 (8.01%), 06 Jul 2000 (-7.78%), 03 Aug 2000 (2.46%), 08 Dec 2000 (-5.26%)



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