Study: Buy TVSMOTOR when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy TVSMOTOR 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 TVSMOTOR 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
127659.64154698544.814419.9218209.95-3262.53-18074.071.351.10.008179.61
2-74248.85154678743.517173.6933137.83-6378-34666.671.120.87-0.012-482.14
3-90885.73154708445.457760.9130596.37-7549.4-37367.31.030.86-0.014-590.17
4-154485154708445.458798.9740237.69-9171.58-42462.850.960.8-0.02-1003.15
5-205316154688644.169995.8340237.69-10291.07-52229.30.970.77-0.022-1333.22
6-106281154708445.4511589.7342744.32-10923.35-51804.671.060.88-0.01-690.13
7-68183.68154738147.412699.473293-12286.91-60297.241.030.93-0.0059-442.75
83364.79154757948.713999.9962575.63-13248.54-59872.611.0610.0002821.85
9111915154787650.6515141.3562225.53-14067.24-61951.911.081.10.0083726.72
10154917154757948.716739.3670008.64-13930.83-56900.211.21.140.0111005.95
Although, strategy looks good but profit factor on day 5 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
atrnil38.743215431594911030.8227521.6948632.69-9336.54-22519.862.951.310.0262022.29
atrnil26.022048241726710538.9517701.3432421.79-9344.44-22519.861.891.210.021190.84
atrtrail35.231402001746810639.0813947.2448632.69-7624.64-22519.861.831.170.014805.75
atrtrail24.5192640.841776910838.9813239.2932421.79-7600.65-22519.861.741.110.01523.39
atrtrail-15.8116073.31726610638.3712527.8574699.5-7648.72-22519.861.641.020.001693.45

In the table above, row 1 shows the best exit criterion. Profit factor is 1.31. 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 30.82%, which is not acceptable. Avoid this strategy. Average return per trade is 1.01%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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.
TVSMOTOR Performance, Profit Factor:1.31

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019614 Feb 2019 (-3.64%), 01 Mar 2019 (10.44%), 22 May 2019 (-3.29%), 11 Jul 2019 (-3.47%), 05 Aug 2019 (-4.86%), 17 Oct 2019 (13.87%)
2018723 Feb 2018 (-3.4%), 02 Apr 2018 (-3.59%), 30 May 2018 (-3.83%), 05 Jul 2018 (-3.29%), 07 Aug 2018 (-3.44%), 08 Aug 2018 (10.69%), 24 Oct 2018 (-5.09%)
20171103 Jan 2017 (9.69%), 17 Mar 2017 (-2.16%), 05 Apr 2017 (6.42%), 15 May 2017 (7.05%), 07 Jul 2017 (6.17%), 10 Jul 2017 (-2.76%), 28 Aug 2017 (8.39%), 09 Oct 2017 (6.87%), 26 Oct 2017 (-2.0%), 23 Nov 2017 (-2.25%), 07 Dec 2017 (-2.15%)
2016927 Jan 2016 (-3.63%), 22 Feb 2016 (-3.73%), 02 Mar 2016 (11.88%), 18 Apr 2016 (-2.63%), 26 May 2016 (-2.92%), 02 Jun 2016 (-2.9%), 05 Aug 2016 (-2.48%), 19 Sep 2016 (8.46%), 01 Dec 2016 (-3.79%)
2015730 Apr 2015 (-4.47%), 14 May 2015 (14.77%), 20 Aug 2015 (-3.22%), 21 Aug 2015 (-3.3%), 27 Aug 2015 (-4.19%), 03 Sep 2015 (13.7%), 23 Dec 2015 (-2.76%)
2014903 Feb 2014 (14.11%), 20 Mar 2014 (-3.6%), 02 May 2014 (11.39%), 19 Jun 2014 (14.06%), 18 Jul 2014 (-5.39%), 08 Aug 2014 (16.15%), 20 Oct 2014 (-3.88%), 04 Dec 2014 (-4.01%), 26 Dec 2014 (13.6%)
20131020 Feb 2013 (-4.75%), 08 Mar 2013 (-4.15%), 04 Apr 2013 (17.89%), 01 Jul 2013 (-4.0%), 02 Aug 2013 (-4.69%), 08 Aug 2013 (-5.0%), 30 Aug 2013 (-4.27%), 06 Sep 2013 (12.61%), 26 Nov 2013 (12.67%), 19 Dec 2013 (10.17%)
2012710 Jan 2012 (-5.19%), 02 Apr 2012 (-5.31%), 30 Apr 2012 (-5.67%), 28 May 2012 (-4.89%), 14 Aug 2012 (-4.05%), 14 Sep 2012 (11.66%), 29 Nov 2012 (10.49%)
2011903 Jan 2011 (-4.68%), 24 Jan 2011 (-4.86%), 14 Feb 2011 (-6.62%), 30 May 2011 (-4.77%), 29 Jun 2011 (-3.81%), 01 Aug 2011 (-4.62%), 24 Aug 2011 (17.06%), 18 Oct 2011 (-4.55%), 26 Dec 2011 (-5.42%)
2010802 Mar 2010 (-5.95%), 01 Apr 2010 (13.62%), 01 Jun 2010 (17.8%), 21 Jul 2010 (13.4%), 08 Sep 2010 (-3.85%), 06 Oct 2010 (-4.4%), 01 Nov 2010 (-3.83%), 24 Nov 2010 (-5.12%)
20091005 Jan 2009 (-7.39%), 29 Jan 2009 (24.32%), 27 Mar 2009 (19.28%), 11 Jun 2009 (-9.0%), 16 Jul 2009 (20.8%), 04 Sep 2009 (16.89%), 20 Oct 2009 (-4.73%), 10 Nov 2009 (-5.35%), 04 Dec 2009 (-4.19%), 24 Dec 2009 (10.55%)
2008901 Apr 2008 (-8.36%), 10 Apr 2008 (22.15%), 21 May 2008 (-5.55%), 18 Jun 2008 (-5.51%), 09 Jul 2008 (-7.51%), 05 Sep 2008 (-4.68%), 01 Oct 2008 (-5.63%), 22 Oct 2008 (-8.04%), 04 Dec 2008 (-8.07%)
2007912 Jan 2007 (-4.12%), 06 Feb 2007 (-4.39%), 19 Feb 2007 (-4.24%), 13 Mar 2007 (-5.86%), 10 Apr 2007 (-5.73%), 22 May 2007 (-4.0%), 12 Jul 2007 (-3.98%), 21 Aug 2007 (12.89%), 31 Oct 2007 (-5.98%)
2006706 Mar 2006 (-4.04%), 23 Mar 2006 (-3.76%), 21 Jun 2006 (-10.56%), 26 Jul 2006 (20.26%), 28 Sep 2006 (-4.42%), 24 Nov 2006 (-5.05%), 27 Dec 2006 (-4.99%)
20051004 Jan 2005 (-3.4%), 05 Jan 2005 (-4.19%), 17 Feb 2005 (-4.15%), 05 Apr 2005 (-4.46%), 01 Jun 2005 (-2.88%), 24 Jun 2005 (-4.28%), 04 Jul 2005 (-4.61%), 05 Jul 2005 (14.77%), 03 Oct 2005 (-4.78%), 09 Nov 2005 (17.12%)
2004609 Feb 2004 (-5.86%), 06 May 2004 (-5.1%), 27 Aug 2004 (-4.78%), 13 Sep 2004 (14.01%), 03 Nov 2004 (-4.52%), 11 Nov 2004 (12.45%)
20031017 Jan 2003 (-2.89%), 20 Feb 2003 (-2.25%), 22 Apr 2003 (11.5%), 18 Jun 2003 (-3.29%), 31 Jul 2003 (12.28%), 06 Oct 2003 (-4.42%), 12 Nov 2003 (-4.03%), 18 Nov 2003 (-4.93%), 19 Nov 2003 (15.83%), 12 Dec 2003 (12.76%)
20021003 Jan 2002 (17.22%), 20 Feb 2002 (-5.17%), 28 Mar 2002 (-5.43%), 18 Apr 2002 (15.19%), 07 Jun 2002 (19.81%), 16 Aug 2002 (-7.16%), 04 Sep 2002 (-5.38%), 13 Sep 2002 (-5.53%), 27 Sep 2002 (-4.73%), 04 Nov 2002 (12.07%)
2001405 Jan 2001 (17.11%), 20 Apr 2001 (-11.26%), 01 Aug 2001 (-5.94%), 24 Sep 2001 (-5.36%)
2000117 Nov 2000 (-7.0%)



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