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

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In this study, we evaluate the performance of strategy "Buy VEDL 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 VEDL 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
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

In the table above, row 4 shows the best exit criterion. Profit factor is 23.68. Strategy is very good and impressively bullish. Percentage of profitable trades is 61.54%, which is good. Average return per trade is 69.17%, which is very good. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
VEDL Performance, Profit Factor:23.7

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019115 Oct 2019 (-4.67%)
2016123 Sep 2016 (-0.94%)
2014105 Aug 2014 (-3.45%)
2012229 Mar 2012 (261.95%), 29 Aug 2012 (14.76%)
2011206 May 2011 (266.43%), 18 Nov 2011 (264.1%)
2006217 Feb 2006 (19.82%), 17 Feb 2006 (-10.68%)
2004314 Jun 2004 (9.61%), 14 Jun 2004 (-19.91%), 19 Oct 2004 (100.17%)
2000111 Jul 2000 (2.06%)

View performance of other stocks for this trading system.

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