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

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In this study, we evaluate the performance of strategy "Buy TATAPOWER 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 TATAPOWER 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
1-11793.81157846.672605.155032.88-3753.74-6835.440.690.61-0.044-786.25
2-29620.361551033.333136.488310.25-4530.28-11901.860.690.35-0.082-1974.69
3-13969.681569405561.0111096.08-5259.53-12986.311.060.7-0.028-931.31
4-23757.491569405111.6511966.76-6047.49-13442.390.850.56-0.046-1583.83
540809.11149564.297760.0118349.12-5806.2-12019.911.342.410.072914.94
687865.73149564.2914279.1926414.07-8129.4-14289.331.763.160.16276.12
71189351412285.7111719.1727929.63-10847.33-14643.41.086.480.158495.38
81281971412285.7112484.3131177.27-10807.28-12013.151.166.930.169156.94
91181291411378.5713490.2125302.98-10087.92-17754.171.344.90.158437.75
101795531412285.7116872.3734426.94-11457.84-18158.831.478.840.1812825.19
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
TATAPOWER Performance, X=10, Profit Factor:8.84

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015118 Feb 2015 (1.16%)
2010126 Apr 2010 (-2.38%)
2009229 Jan 2009 (4.38%), 20 Jul 2009 (17.21%)
2006131 Oct 2006 (3.02%)
2005119 Jan 2005 (7.09%)
2004105 Mar 2004 (-9.08%)
2003225 Jul 2003 (8.19%), 30 Sep 2003 (13.99%)
2002128 May 2002 (11.86%)
1999105 Jul 1999 (4.79%)
1998101 Dec 1998 (10.86%)
1997109 Jul 1997 (1.78%)
1996129 May 1996 (16.9%)

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
atrnil36.2270173.271871138.8922017.0131491.79-7631.43-10977.062.891.840.0533898.51
atrtrail34.2837959.761861233.3317114.3525718.56-5393.86-8953.273.171.590.0362108.88
atrtrail-15.1127074.461861233.3315300.1326433.27-5393.86-8953.272.841.420.0281504.14
atrnil25.4418800.251871138.891467820994.53-7631.43-10977.061.921.220.0191044.46
atrtrail24.068001.351861233.3312121.2817145.7-5393.86-8953.272.251.120.01444.52

In the table above, row 1 shows the best exit criterion. Profit factor is 1.84. 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 38.89%, which is not acceptable. Avoid this strategy. Average return per trade is 1.95%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.053, 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.
TATAPOWER Performance, Profit Factor:1.84

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019110 Oct 2019 (-4.02%)
2015218 Feb 2015 (-3.5%), 27 Feb 2015 (-3.74%)
2010126 Apr 2010 (-2.49%)
2009229 Jan 2009 (-5.49%), 20 Jul 2009 (15.75%)
2006131 Oct 2006 (7.49%)
2005119 Jan 2005 (-4.48%)
2004105 Mar 2004 (-4.95%)
2003225 Jul 2003 (-3.56%), 30 Sep 2003 (12.86%)
2002228 May 2002 (-3.11%), 29 May 2002 (10.09%)
1999205 Jul 1999 (-3.99%), 06 Jul 1999 (12.59%)
1998101 Dec 1998 (9.4%)
1997109 Jul 1997 (-2.64%)
1996129 May 1996 (8.88%)



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