Study: Buy SYNDIBANK when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy SYNDIBANK 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 SYNDIBANK 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
181774.03137696850.364249.0127154.47-3108.94-14405.991.371.390.026596.89
276478.45137627545.266889.2432000-4675.39-28880.871.471.220.015558.24
3101565137716651.827320.540487.8-6336.22-25158.831.161.240.018741.35
4157410137726552.558557.6640000-7057.56-31564.011.211.340.0251148.98
5170314137706751.0910058.7256000-7967.11-34573.641.261.320.0231243.17
6207315137667148.1812081.0959555.56-8310.38-40434.521.451.350.0251513.25
7235847137766155.4711112.85104000-9979.17-37829.461.111.390.0251721.51
8241300137696850.3613556.9591555.56-10207.79-42947.91.331.350.0241761.31
9156310137627545.2615517.2100444-10743.42-49922.481.441.190.0141140.95
10181362137657247.4516514.83108444-12390.31-40775.191.331.20.0151323.81
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-15.99253699153569736.615778.12111289-6493.57-16592.682.431.40.0231658.16
atrnil37.753101381514710431.1325559.740258.81-8568.92-21037.522.981.350.0292053.9
atrnil25.73250780157649340.7616589.6826839.21-8719.99-21037.521.91.310.0281597.33
atrtrail24.52154349158629639.2412547.8225216.1-6496-16592.681.931.250.021976.89
atrtrail35.14147021154579737.0113594.0737824.15-6472.59-16592.682.11.230.018954.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.4. 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 36.6%, which is not acceptable. Avoid this strategy. Average return per trade is 0.83%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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.
SYNDIBANK Performance, Profit Factor:1.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019222 Feb 2019 (-4.24%), 24 May 2019 (-2.37%)
2018919 Jan 2018 (-4.13%), 22 Jan 2018 (2.28%), 26 Feb 2018 (-5.03%), 11 Jul 2018 (-4.46%), 30 Aug 2018 (-2.39%), 17 Sep 2018 (-4.0%), 18 Sep 2018 (-4.77%), 12 Oct 2018 (-0.42%), 17 Dec 2018 (12.37%)
2017803 Jan 2017 (3.29%), 20 Mar 2017 (-2.59%), 24 Mar 2017 (1.52%), 24 Apr 2017 (17.69%), 07 Jul 2017 (-0.46%), 28 Aug 2017 (-3.35%), 09 Oct 2017 (0.51%), 27 Nov 2017 (-4.31%)
2016819 Feb 2016 (-4.9%), 21 Apr 2016 (-2.96%), 31 May 2016 (-4.69%), 22 Aug 2016 (-2.41%), 31 Aug 2016 (-3.07%), 21 Oct 2016 (-1.24%), 15 Nov 2016 (-4.49%), 01 Dec 2016 (-1.15%)
20151012 Jan 2015 (-3.96%), 16 Jan 2015 (-2.92%), 16 Feb 2015 (-2.91%), 08 Apr 2015 (4.05%), 04 May 2015 (-2.91%), 07 Jul 2015 (-0.69%), 05 Aug 2015 (-2.94%), 15 Sep 2015 (1.15%), 30 Nov 2015 (-2.7%), 24 Dec 2015 (1.1%)
2014909 Jan 2014 (-3.24%), 06 May 2014 (-3.62%), 14 May 2014 (23.94%), 03 Jul 2014 (-5.02%), 22 Aug 2014 (-5.07%), 02 Sep 2014 (-4.71%), 13 Oct 2014 (9.65%), 02 Dec 2014 (-2.38%), 30 Dec 2014 (-2.39%)
2013804 Jan 2013 (2.16%), 08 Mar 2013 (-1.45%), 03 Apr 2013 (-4.34%), 15 Apr 2013 (2.84%), 09 Jul 2013 (1.95%), 19 Nov 2013 (-4.69%), 03 Dec 2013 (0.86%), 26 Dec 2013 (-1.06%)
2012705 Jan 2012 (9.45%), 13 Mar 2012 (-3.87%), 12 Apr 2012 (-3.87%), 25 May 2012 (-0.1%), 16 Aug 2012 (-3.21%), 04 Sep 2012 (-2.91%), 30 Nov 2012 (-3.04%)
2011724 Jan 2011 (-4.61%), 25 Mar 2011 (3.44%), 27 May 2011 (0.58%), 28 Jun 2011 (0.05%), 02 Sep 2011 (-1.13%), 11 Oct 2011 (-0.01%), 01 Dec 2011 (-3.43%)
2010810 Feb 2010 (-3.18%), 30 Mar 2010 (2.63%), 23 Apr 2010 (0.32%), 31 May 2010 (0.98%), 08 Jul 2010 (8.24%), 13 Aug 2010 (6.95%), 01 Oct 2010 (10.4%), 23 Dec 2010 (-5.17%)
2009809 Feb 2009 (-2.79%), 18 Mar 2009 (2.05%), 15 May 2009 (7.57%), 16 Jul 2009 (10.92%), 07 Sep 2009 (6.01%), 12 Oct 2009 (5.25%), 17 Nov 2009 (1.83%), 29 Dec 2009 (-2.8%)
2008901 Jan 2008 (-0.56%), 15 Feb 2008 (-6.47%), 26 Mar 2008 (-6.61%), 18 Jun 2008 (-4.56%), 09 Jul 2008 (-3.74%), 01 Sep 2008 (-1.8%), 23 Sep 2008 (-3.89%), 10 Nov 2008 (-6.25%), 24 Nov 2008 (15.1%)
2007731 Jan 2007 (-0.88%), 20 Mar 2007 (4.05%), 11 Apr 2007 (10.22%), 27 Jun 2007 (2.07%), 30 Aug 2007 (14.71%), 26 Oct 2007 (-0.67%), 04 Dec 2007 (4.14%)
2006817 Jan 2006 (-3.23%), 04 Apr 2006 (-1.96%), 03 May 2006 (4.79%), 21 Jun 2006 (-5.53%), 29 Aug 2006 (-0.39%), 27 Sep 2006 (7.37%), 15 Nov 2006 (-2.57%), 04 Dec 2006 (-2.9%)
20051104 Feb 2005 (-6.3%), 28 Feb 2005 (4.76%), 12 Apr 2005 (-4.06%), 26 Apr 2005 (-3.85%), 09 May 2005 (-3.47%), 07 Jun 2005 (0.33%), 11 Jul 2005 (9.67%), 05 Sep 2005 (5.57%), 04 Oct 2005 (-2.89%), 10 Nov 2005 (1.29%), 14 Dec 2005 (-0.8%)
2004629 Mar 2004 (34.26%), 09 Jun 2004 (-8.3%), 28 Jun 2004 (-1.5%), 17 Sep 2004 (1.98%), 05 Nov 2004 (9.56%), 23 Dec 2004 (6.4%)
20031314 Jan 2003 (-1.58%), 21 Feb 2003 (-2.61%), 22 Mar 2003 (-3.41%), 24 Mar 2003 (35.99%), 06 May 2003 (-5.06%), 12 May 2003 (0.39%), 29 May 2003 (-5.13%), 04 Jun 2003 (-6.56%), 01 Jul 2003 (5.2%), 21 Aug 2003 (-4.37%), 27 Aug 2003 (-4.74%), 24 Sep 2003 (9.65%), 04 Dec 2003 (0.79%)
2002601 Jan 2002 (32.48%), 08 Apr 2002 (3.32%), 03 Jun 2002 (55.64%), 16 Aug 2002 (-5.25%), 26 Aug 2002 (-4.87%), 30 Aug 2002 (-3.67%)
2001505 Jan 2001 (-4.24%), 19 Jan 2001 (-1.4%), 29 Mar 2001 (-3.8%), 09 Jul 2001 (-0.11%), 26 Nov 2001 (-2.82%)
2000429 Mar 2000 (-2.53%), 30 May 2000 (-1.03%), 31 Aug 2000 (-1.99%), 26 Oct 2000 (-2.05%)



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