Study: Buy TATAELXSI when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy TATAELXSI 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 TATAELXSI 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
1148045193959849.225070.6721052.63-3404.78-11470.461.491.440.027767.07
21335011938810545.67696.8137176.33-5179.22-24285.711.491.250.015691.72
32668451939310048.199985.4350239.23-6618-38285.711.511.40.0241382.62
4173811193999451.310204.4975598.09-8898.22-42857.141.151.210.013900.58
5-7097.751938610744.5610885.2853110.05-8815.25-41904.761.230.99-0.00056-36.78
6-82397.571938610744.5611273.2246411.48-9830.79-42380.951.150.92-0.0064-426.93
725738.251939010346.6312340.1760685.28-10532.79-46285.711.171.020.0018133.36
8-23911.891938810545.613315.1461632.16-11387.09-42702.921.170.98-0.0016-123.9
974044.241939210147.6714095.1681392.53-12106.04-41183.531.161.060.0044383.65
104048931939110247.1518357.61217365-12408.33-54906.991.481.320.0172097.89

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.44. 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 49.22%, which is not acceptable. Avoid this strategy. Average return per trade is 0.38%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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-11148045193959849.225070.6721052.63-3404.78-11470.461.491.440.027767.07
atrnil38.14602282066414231.0727799.3759405.48-9288.25-23695.642.991.350.0252234.12
atrtrail-15.53198962177614135.0217185.72197651-6994.46-23695.642.461.320.0141474.18
atrnil25.923236292228513738.2918457.9939603.65-9089.78-23695.642.031.260.0211457.79
atrtrail24.31082172278114635.6813961.1336140.17-7004.34-23695.641.991.110.0085476.73
atrtrail34.9176519.872197714235.1613913.2154210.25-7005.61-23695.641.991.080.0057349.41

In the table above, row 1 shows the best exit criterion. Profit factor is 1.44. 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 49.22%, which is not acceptable. Avoid this strategy. Average return per trade is 0.38%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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.
TATAELXSI Performance, X=1, Profit Factor:1.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019407 Feb 2019 (-1.99%), 21 Feb 2019 (0.51%), 22 May 2019 (-0.32%), 08 Aug 2019 (0.01%)
2018726 Feb 2018 (-0.93%), 03 Apr 2018 (-0.14%), 29 May 2018 (0.88%), 12 Jun 2018 (0.18%), 03 Jul 2018 (-0.51%), 23 Oct 2018 (0.15%), 28 Dec 2018 (0.76%)
20171118 Jan 2017 (0.51%), 28 Feb 2017 (-0.58%), 20 Mar 2017 (-1.41%), 05 Apr 2017 (3.31%), 25 Apr 2017 (-1.45%), 17 May 2017 (-0.48%), 06 Jun 2017 (0.25%), 01 Aug 2017 (-1.48%), 04 Sep 2017 (1.13%), 22 Nov 2017 (-0.02%), 29 Dec 2017 (-1.34%)
20161028 Jan 2016 (4.63%), 04 Mar 2016 (-0.01%), 12 Apr 2016 (-0.13%), 17 May 2016 (-0.22%), 10 Jun 2016 (-0.17%), 04 Jul 2016 (-1.59%), 27 Jul 2016 (-1.7%), 19 Sep 2016 (-0.25%), 20 Oct 2016 (-0.81%), 24 Nov 2016 (7.36%)
2015712 Feb 2015 (1.9%), 07 Apr 2015 (4.21%), 13 May 2015 (-0.22%), 19 Jun 2015 (1.63%), 18 Aug 2015 (2.78%), 14 Sep 2015 (-4.31%), 23 Nov 2015 (1.0%)
2014903 Feb 2014 (1.36%), 17 Feb 2014 (5.74%), 23 Apr 2014 (-2.68%), 22 May 2014 (-0.72%), 18 Jul 2014 (0.03%), 21 Aug 2014 (-1.34%), 19 Sep 2014 (0.19%), 29 Oct 2014 (-1.12%), 27 Nov 2014 (-1.64%)
20131002 Jan 2013 (3.05%), 21 Feb 2013 (0.19%), 08 Mar 2013 (-2.27%), 02 Apr 2013 (-1.06%), 16 May 2013 (-1.47%), 14 Jun 2013 (0.38%), 01 Jul 2013 (-0.11%), 29 Aug 2013 (0.03%), 20 Sep 2013 (-0.95%), 25 Nov 2013 (3.76%)
2012702 Apr 2012 (2.6%), 18 May 2012 (0.7%), 20 Jun 2012 (0.64%), 07 Sep 2012 (-0.54%), 01 Oct 2012 (0.95%), 16 Oct 2012 (-2.24%), 30 Nov 2012 (-2.97%)
2011915 Feb 2011 (1.1%), 03 Mar 2011 (0.5%), 31 May 2011 (0.98%), 28 Jun 2011 (1.33%), 20 Jul 2011 (-1.56%), 29 Aug 2011 (1.16%), 12 Oct 2011 (-1.79%), 05 Dec 2011 (1.28%), 27 Dec 2011 (-2.03%)
2010814 Jan 2010 (6.74%), 03 Mar 2010 (-0.34%), 31 May 2010 (-2.99%), 19 Aug 2010 (-1.35%), 07 Sep 2010 (8.46%), 01 Oct 2010 (-2.05%), 02 Nov 2010 (-1.87%), 14 Dec 2010 (2.19%)
2009606 Feb 2009 (-0.06%), 19 Mar 2009 (-0.77%), 17 Jul 2009 (2.27%), 08 Sep 2009 (-0.28%), 17 Oct 2009 (1.44%), 16 Nov 2009 (1.45%)
2008506 Feb 2008 (-1.01%), 01 Apr 2008 (1.27%), 23 May 2008 (-0.37%), 16 Jun 2008 (-0.37%), 21 Oct 2008 (-5.24%)
2007913 Mar 2007 (-1.76%), 29 May 2007 (-5.36%), 02 Jul 2007 (-0.78%), 09 Aug 2007 (0.43%), 28 Aug 2007 (-1.0%), 03 Oct 2007 (-1.48%), 29 Oct 2007 (-5.12%), 20 Nov 2007 (-1.82%), 27 Dec 2007 (-1.45%)
20061013 Feb 2006 (-4.46%), 27 Feb 2006 (2.06%), 20 Mar 2006 (-0.65%), 19 Apr 2006 (0.22%), 20 Jun 2006 (5.44%), 27 Jul 2006 (1.74%), 08 Sep 2006 (-5.55%), 27 Oct 2006 (-0.49%), 05 Dec 2006 (0.45%), 21 Dec 2006 (3.04%)
2005927 Jan 2005 (0.71%), 04 Mar 2005 (1.88%), 01 Apr 2005 (-0.08%), 09 May 2005 (-1.13%), 25 May 2005 (1.35%), 05 Jul 2005 (3.31%), 17 Aug 2005 (-0.67%), 20 Oct 2005 (-2.77%), 07 Nov 2005 (0.38%)
20041216 Feb 2004 (-1.59%), 03 Mar 2004 (-1.47%), 29 Mar 2004 (2.03%), 04 May 2004 (-1.01%), 24 May 2004 (-3.07%), 10 Jun 2004 (3.98%), 28 Jun 2004 (-1.17%), 13 Jul 2004 (-2.94%), 23 Aug 2004 (7.44%), 09 Oct 2004 (0.0%), 03 Nov 2004 (-3.39%), 21 Dec 2004 (2.99%)
20031007 Feb 2003 (-2.91%), 19 Mar 2003 (3.31%), 28 Apr 2003 (0.57%), 15 May 2003 (3.04%), 26 Jun 2003 (1.39%), 04 Aug 2003 (-2.57%), 28 Aug 2003 (1.58%), 29 Sep 2003 (-0.06%), 03 Nov 2003 (-2.23%), 28 Nov 2003 (4.26%)
2002704 Jan 2002 (1.05%), 06 Feb 2002 (-5.07%), 04 Apr 2002 (-2.93%), 05 Jun 2002 (-4.66%), 25 Jun 2002 (-5.74%), 09 Oct 2002 (0.64%), 18 Nov 2002 (1.45%)
2001604 Jan 2001 (0.91%), 22 Jan 2001 (-0.59%), 28 Mar 2001 (-4.43%), 10 Jul 2001 (-0.31%), 07 Aug 2001 (-2.61%), 27 Sep 2001 (2.48%)
2000307 Feb 2000 (8.0%), 10 Apr 2000 (3.8%), 06 Dec 2000 (2.51%)
1999717 Feb 1999 (-5.24%), 04 Mar 1999 (5.21%), 05 May 1999 (1.78%), 09 Jun 1999 (-0.32%), 17 Aug 1999 (8.01%), 08 Sep 1999 (8.0%), 08 Oct 1999 (5.8%)
1998702 Feb 1998 (-0.67%), 25 Feb 1998 (0.17%), 18 Mar 1998 (-1.02%), 25 Jun 1998 (2.26%), 22 Sep 1998 (7.08%), 20 Nov 1998 (1.83%), 03 Dec 1998 (0.1%)
1997728 Feb 1997 (7.06%), 21 Apr 1997 (0.62%), 14 May 1997 (7.01%), 13 Jun 1997 (-3.49%), 11 Jul 1997 (-2.26%), 10 Sep 1997 (7.06%), 27 Nov 1997 (-2.24%)
1996812 Feb 1996 (2.32%), 01 Apr 1996 (-0.74%), 15 May 1996 (2.28%), 12 Jun 1996 (10.53%), 08 Aug 1996 (1.23%), 11 Oct 1996 (-1.66%), 11 Nov 1996 (-1.15%), 11 Dec 1996 (-0.31%)
1995505 May 1995 (-3.23%), 22 May 1995 (3.51%), 26 Jun 1995 (1.03%), 10 Oct 1995 (0.35%), 01 Dec 1995 (4.19%)



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