Study: Buy TATAELXSI when there is Bullish Centerline Crossover in MACD

home > technical-strategy > tataelxsi > 37

In this study, we evaluate the performance of strategy "Buy TATAELXSI when there is Bullish Centerline 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
1-942.2885362.54593.5510775.41-7970.01-11302.210.580.96-0.0034-117.78
2-12730.73826258075.8410834.95-4813.74-11265.841.680.56-0.05-1591.34
3-29303.97826257126.299048.97-7259.43-11561.220.980.33-0.11-3663
4-22273.09826257822.713156.72-6319.75-11916.481.240.41-0.074-2784.14
513006.5983537.513033.2325182.32-5218.62-10319.412.51.50.031625.82
6417.81844509777.4926670.64-9673.04-18869.781.011.010.000852.23
7-2026.098262522273.0434350.35-7762.03-13817.692.870.96-0.0035-253.26
823139.768262522607.8338934.37-3679.32-5859.396.142.050.0422892.47
933642.48445017165.1745021.58-8754.57-12595.481.961.960.0494205.3
1050274.948445023462.2143771.39-10893.48-22610.762.152.150.0616284.37
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
TATAELXSI Performance, X=10, Profit Factor:2.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019116 Oct 2019 (21.89%)
2018115 Mar 2018 (-3.43%)
2017117 Mar 2017 (-3.45%)
2007119 Feb 2007 (-11.31%)
2003201 Aug 2003 (-3.6%), 25 Sep 2003 (8.2%)
2002104 Jun 2002 (1.46%)
1999103 Mar 1999 (15.38%)

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
atrnil24.82830.0610373020492.6728169.06-8378.28-12310.162.451.050.0042283.01
atrnil36.1-3137.6610282032343.4942253.6-8478.08-12310.163.810.95-0.0037-313.77
atrtrail22.4-48075.210191014955.5914955.59-7003.42-12310.162.140.24-0.14-4807.52
atrtrail32.6-60214.921019102815.872815.87-7003.42-12310.160.40.045-0.29-6021.49
atrtrail-12.6-60214.921019102815.872815.87-7003.42-12310.160.40.045-0.29-6021.49

In the table above, row 1 shows the best exit criterion. Profit factor is 1.05. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 30%, which is not acceptable. Avoid this strategy. Average return per trade is 0.14%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0042, 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, Profit Factor:1.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019116 Oct 2019 (7.48%)
2018215 Mar 2018 (-2.99%), 16 Mar 2018 (-3.19%)
2017117 Mar 2017 (-2.5%)
2007219 Feb 2007 (-4.81%), 20 Feb 2007 (-5.08%)
2003201 Aug 2003 (-4.59%), 25 Sep 2003 (9.18%)
2002104 Jun 2002 (14.08%)
1999103 Mar 1999 (-6.16%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play