Study: Buy SUNPHARMA when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy SUNPHARMA 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 SUNPHARMA 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
11414412051119454.153836.5517543.21-3025.7-27175.251.271.50.028689.96
21256452051069951.715322.8933300.96-4430.11-35803.911.21.290.018612.9
31572032051129354.635872.751977.24-5382.15-40495.581.091.310.018766.84
413388020510010548.787747.6855307.34-6103.69-37665.481.271.210.013653.07
52019492059710847.329207.4169737.75-6399.72-34401.431.441.290.017985.12
63111032051079852.29912.9291327.88-7648.77-35432.851.31.420.0231517.58
75008892051089752.6811515.22111586-7657.27-33684.481.51.670.0332443.36
844464320510510051.2212178.4986943.25-8340.98-33929.751.461.530.0292168.99
95654762051168956.5911891.8675842.93-9145.84-47331.841.31.690.0382758.42
105531332051198658.0512079.6177507.98-10283.03-46935.631.171.630.0342698.21
Although, strategy looks good but profit factor on day 4 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
atrnil39.042824242196915031.5120283.2145716.03-7447.45-43276.252.721.250.0191289.61
atrnil26.621456592299013939.313257.1530477.35-7535.86-43276.251.761.140.012636.07
atrtrail3566320.872328414836.2110432.2138686.95-5472.87-35812.461.911.080.0059285.87
atrtrail24.497106.762378814937.139382.7725791.3-5493.81-35812.461.711.010.0007229.99
atrtrail-15.54-9315.592318414736.369449.1159167.64-5462.87-35812.461.730.99-0.00081-40.33

In the table above, row 1 shows the best exit criterion. Profit factor is 1.25. 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 31.51%, which is not acceptable. Avoid this strategy. Average return per trade is 0.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.
SUNPHARMA Performance, Profit Factor:1.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019725 Jan 2019 (-4.1%), 29 Mar 2019 (-2.7%), 28 May 2019 (-4.06%), 10 Jul 2019 (11.1%), 30 Aug 2019 (-3.51%), 03 Sep 2019 (-3.7%), 15 Oct 2019 (9.72%)
2018712 Feb 2018 (-3.49%), 27 Mar 2018 (-3.22%), 28 May 2018 (-3.56%), 01 Aug 2018 (-2.52%), 14 Aug 2018 (8.88%), 06 Nov 2018 (-3.35%), 17 Dec 2018 (-4.62%)
2017802 Jan 2017 (8.5%), 17 Feb 2017 (-2.78%), 10 May 2017 (-2.07%), 12 Jun 2017 (10.09%), 24 Aug 2017 (10.69%), 30 Oct 2017 (-2.69%), 23 Nov 2017 (-3.17%), 19 Dec 2017 (8.47%)
2016827 Jan 2016 (7.87%), 18 Feb 2016 (-3.47%), 12 Apr 2016 (-2.47%), 27 May 2016 (-2.04%), 15 Jun 2016 (-2.32%), 06 Sep 2016 (-2.04%), 21 Oct 2016 (-1.87%), 18 Nov 2016 (-3.88%)
2015804 Mar 2015 (8.8%), 06 Apr 2015 (-3.28%), 13 May 2015 (-3.35%), 18 Jun 2015 (9.09%), 07 Aug 2015 (7.67%), 18 Sep 2015 (-3.2%), 01 Oct 2015 (-2.92%), 30 Nov 2015 (8.66%)
2014923 Jan 2014 (-2.27%), 10 Feb 2014 (-2.44%), 03 Apr 2014 (7.48%), 02 Jun 2014 (8.66%), 25 Jul 2014 (-2.39%), 18 Aug 2014 (6.81%), 30 Sep 2014 (-3.11%), 28 Oct 2014 (8.57%), 31 Dec 2014 (-2.11%)
20131109 Jan 2013 (-2.12%), 05 Feb 2013 (6.75%), 11 Mar 2013 (-2.03%), 04 Apr 2013 (6.21%), 29 May 2013 (-3.2%), 01 Jul 2013 (9.67%), 29 Jul 2013 (-5.14%), 30 Sep 2013 (-3.57%), 04 Dec 2013 (-2.67%), 09 Dec 2013 (-2.71%), 19 Dec 2013 (-2.55%)
2012809 Jan 2012 (7.13%), 02 Mar 2012 (-2.64%), 13 Apr 2012 (-2.8%), 07 Jun 2012 (8.26%), 30 Jul 2012 (6.09%), 11 Sep 2012 (-1.93%), 28 Sep 2012 (-2.24%), 23 Nov 2012 (6.91%)
2011718 Feb 2011 (-4.25%), 29 Apr 2011 (-2.49%), 26 May 2011 (8.64%), 25 Jul 2011 (-2.4%), 26 Jul 2011 (-2.68%), 30 Aug 2011 (-3.34%), 11 Oct 2011 (9.63%)
2010804 Feb 2010 (10.55%), 14 May 2010 (-3.08%), 28 Jul 2010 (-1.97%), 29 Jul 2010 (-2.16%), 20 Aug 2010 (-2.15%), 15 Sep 2010 (6.91%), 02 Nov 2010 (7.23%), 24 Dec 2010 (-3.44%)
2009812 Mar 2009 (12.33%), 18 May 2009 (-4.64%), 19 May 2009 (-6.27%), 11 Jun 2009 (-5.3%), 14 Jul 2009 (16.35%), 11 Nov 2009 (10.16%), 02 Dec 2009 (-4.02%), 22 Dec 2009 (-3.12%)
2008830 Jan 2008 (-7.05%), 21 Apr 2008 (13.31%), 30 May 2008 (-4.4%), 21 Jul 2008 (12.68%), 02 Sep 2008 (-3.46%), 30 Sep 2008 (-4.15%), 10 Nov 2008 (-8.12%), 10 Dec 2008 (-6.88%)
20071012 Mar 2007 (-4.04%), 21 May 2007 (-4.53%), 09 Aug 2007 (-3.6%), 10 Aug 2007 (-3.68%), 15 Oct 2007 (-3.6%), 16 Oct 2007 (-3.71%), 14 Nov 2007 (-4.23%), 12 Dec 2007 (-3.94%), 13 Dec 2007 (-4.43%), 20 Dec 2007 (-4.73%)
2006731 Jan 2006 (8.99%), 20 Mar 2006 (9.3%), 19 Apr 2006 (-4.07%), 04 May 2006 (-4.26%), 21 Jun 2006 (22.86%), 10 Nov 2006 (8.3%), 29 Dec 2006 (-3.67%)
2005931 Jan 2005 (-4.81%), 02 Mar 2005 (-3.8%), 19 Apr 2005 (9.52%), 16 Jun 2005 (-2.84%), 27 Jun 2005 (-3.26%), 30 Jun 2005 (10.74%), 20 Jul 2005 (-3.58%), 29 Aug 2005 (-3.42%), 09 Nov 2005 (13.14%)
20041214 Jan 2004 (-4.26%), 27 Jan 2004 (11.86%), 08 Mar 2004 (-4.35%), 31 Mar 2004 (12.66%), 30 Apr 2004 (-4.56%), 26 May 2004 (-5.15%), 22 Jul 2004 (13.11%), 16 Sep 2004 (9.49%), 21 Oct 2004 (-3.78%), 02 Nov 2004 (-3.56%), 17 Nov 2004 (9.33%), 17 Dec 2004 (-3.61%)
20031118 Feb 2003 (-3.85%), 07 Mar 2003 (-4.21%), 24 Mar 2003 (13.19%), 03 Jul 2003 (-4.02%), 28 Jul 2003 (12.89%), 22 Aug 2003 (12.95%), 08 Sep 2003 (-5.53%), 03 Oct 2003 (-5.32%), 17 Oct 2003 (-4.85%), 31 Oct 2003 (12.74%), 03 Dec 2003 (-4.45%)
2002707 Jan 2002 (8.44%), 20 Feb 2002 (7.92%), 21 May 2002 (-3.14%), 22 May 2002 (-3.56%), 13 Jun 2002 (-5.4%), 23 Oct 2002 (-2.99%), 21 Nov 2002 (9.81%)
20011304 Jan 2001 (-4.11%), 19 Jan 2001 (-3.79%), 21 Mar 2001 (-6.07%), 20 Apr 2001 (-5.82%), 22 Jun 2001 (-3.09%), 13 Jul 2001 (-4.24%), 16 Jul 2001 (13.68%), 05 Sep 2001 (9.73%), 06 Sep 2001 (-3.47%), 05 Oct 2001 (-4.84%), 02 Nov 2001 (-3.49%), 12 Dec 2001 (-2.97%), 13 Dec 2001 (-3.25%)
2000521 Jan 2000 (19.34%), 18 Feb 2000 (17.63%), 31 Mar 2000 (-21.64%), 06 Oct 2000 (-5.9%), 12 Dec 2000 (-3.62%)
1999803 Mar 1999 (-4.02%), 04 Mar 1999 (13.22%), 22 Mar 1999 (15.55%), 05 May 1999 (-7.15%), 06 Jul 1999 (-2.95%), 06 Aug 1999 (12.3%), 09 Sep 1999 (-4.61%), 12 Nov 1999 (-7.05%)
19981102 Feb 1998 (-2.92%), 17 Feb 1998 (7.9%), 19 Mar 1998 (11.43%), 09 Apr 1998 (-4.23%), 20 May 1998 (-6.19%), 21 May 1998 (-6.8%), 29 Jun 1998 (-7.16%), 12 Aug 1998 (10.87%), 14 Sep 1998 (-4.38%), 27 Oct 1998 (-3.99%), 09 Nov 1998 (-2.83%)
19971415 Jan 1997 (-2.77%), 30 Jan 1997 (-3.39%), 31 Jan 1997 (-3.61%), 04 Mar 1997 (-3.11%), 14 Mar 1997 (-3.19%), 02 May 1997 (-2.34%), 29 May 1997 (-1.99%), 12 Jun 1997 (-1.91%), 09 Jul 1997 (6.32%), 04 Aug 1997 (6.85%), 20 Oct 1997 (-2.3%), 21 Oct 1997 (-2.74%), 26 Nov 1997 (-2.28%), 31 Dec 1997 (8.96%)
19961130 Jan 1996 (9.34%), 19 Apr 1996 (-1.95%), 22 Apr 1996 (-2.16%), 04 Jun 1996 (-2.72%), 18 Jun 1996 (-2.73%), 18 Jul 1996 (-2.4%), 09 Aug 1996 (-1.98%), 16 Aug 1996 (-2.0%), 14 Oct 1996 (-3.04%), 11 Nov 1996 (-3.38%), 27 Nov 1996 (8.58%)
1995405 May 1995 (6.99%), 17 Jul 1995 (3.96%), 14 Aug 1995 (-1.92%), 21 Sep 1995 (-1.6%)



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