Study: Buy VGUARD when there is Bullish Crossover in MACD

home > technical-strategy > vguard > 29

In this study, we evaluate the performance of strategy "Buy VGUARD 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 VGUARD 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
110648188454351.145296.139997.99-3066.14-15695.791.731.810.051210.01
219192088484054.557374.8854097.21-4051.86-13592.231.822.180.0692180.91
323123288474153.419588.3544801.91-5351.71-18891.711.792.050.0722627.64
427193988484054.5511600.6245362.86-7122.28-17799.171.631.950.0713090.21
531131088434548.8614408.8248922.29-6850.42-19549.332.12.010.0733537.61
634569688474153.4113972.5350968.13-7585.67-22498.361.842.110.0793928.37
739727188503856.8214488.2461662.2-8608.99-26383.721.682.210.0854514.44
839234388493955.6815776.9864909.15-9762.28-26252.021.622.030.0764458.44
939323088513757.9515323.2964879.85-10493.46-27948.31.462.010.0764468.52
1046786388533560.2315865.3860443.62-10657.2-28069.471.492.250.095316.63

From the table above, we see that best results are achieved by holding positions for 10 trading days. Profit factor is 2.25. 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 60.23%, which is good. Average return per trade is 2.66%, which is very good. Sharpe Ratio is 0.09, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
VGUARD Performance, X=10, Profit Factor:2.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019321 Feb 2019 (12.32%), 27 Mar 2019 (-1.39%), 24 May 2019 (16.32%)
2018922 Jan 2018 (-14.03%), 15 Feb 2018 (5.0%), 13 Mar 2018 (-4.88%), 04 Apr 2018 (6.74%), 14 Jun 2018 (-8.97%), 09 Jul 2018 (2.28%), 23 Jul 2018 (3.66%), 29 Aug 2018 (-10.52%), 12 Oct 2018 (2.06%)
20171002 Jan 2017 (-0.37%), 01 Mar 2017 (7.97%), 10 Apr 2017 (2.85%), 25 Apr 2017 (11.74%), 20 Jun 2017 (-5.38%), 06 Jul 2017 (0.86%), 23 Aug 2017 (9.67%), 12 Oct 2017 (11.99%), 24 Nov 2017 (-0.48%), 29 Dec 2017 (-4.33%)
2016801 Feb 2016 (-6.36%), 03 Mar 2016 (-0.87%), 04 May 2016 (20.02%), 01 Jun 2016 (-3.25%), 25 Jul 2016 (17.33%), 30 Aug 2016 (-3.92%), 24 Oct 2016 (5.28%), 08 Dec 2016 (-6.23%)
2015816 Jan 2015 (-11.98%), 16 Feb 2015 (-4.76%), 30 Apr 2015 (-7.0%), 17 Jun 2015 (1.1%), 08 Jul 2015 (3.1%), 31 Jul 2015 (3.65%), 14 Sep 2015 (0.02%), 20 Nov 2015 (-0.47%)
2014711 Feb 2014 (-1.32%), 06 Mar 2014 (4.95%), 05 May 2014 (6.88%), 30 Jun 2014 (10.16%), 10 Sep 2014 (8.46%), 17 Nov 2014 (11.87%), 31 Dec 2014 (-4.68%)
2013725 Jan 2013 (-4.79%), 18 Feb 2013 (-5.54%), 04 Mar 2013 (7.66%), 09 Apr 2013 (-2.48%), 19 Jun 2013 (-0.76%), 04 Oct 2013 (4.99%), 20 Nov 2013 (1.14%)
2012602 Apr 2012 (1.01%), 28 Apr 2012 (-5.49%), 25 May 2012 (15.41%), 06 Jul 2012 (17.38%), 06 Aug 2012 (28.48%), 16 Oct 2012 (8.46%)
2011921 Jan 2011 (-7.59%), 17 Feb 2011 (2.15%), 23 Mar 2011 (11.21%), 25 May 2011 (10.59%), 08 Jul 2011 (0.48%), 05 Sep 2011 (1.95%), 12 Oct 2011 (0.05%), 30 Nov 2011 (-7.87%), 29 Dec 2011 (5.53%)
2010702 Mar 2010 (5.58%), 01 Apr 2010 (4.04%), 03 Jun 2010 (1.44%), 22 Jul 2010 (29.27%), 08 Sep 2010 (6.26%), 05 Nov 2010 (-7.84%), 20 Dec 2010 (4.93%)
20091003 Feb 2009 (-2.55%), 23 Mar 2009 (13.35%), 19 May 2009 (30.22%), 29 Jul 2009 (-5.62%), 20 Aug 2009 (9.22%), 05 Oct 2009 (-2.6%), 21 Oct 2009 (-6.59%), 12 Nov 2009 (-3.2%), 04 Dec 2009 (1.53%), 29 Dec 2009 (3.86%)
2008417 Jun 2008 (-12.53%), 10 Jul 2008 (5.7%), 27 Aug 2008 (-9.87%), 29 Oct 2008 (2.27%)

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-11046786388533560.2315865.3860443.62-10657.2-28069.471.492.250.095316.63
atrnil25.6639887410053475314201.1325207.91-7527.35-12131.091.892.130.113988.74
atrtrail-17.2633898895464948.4213919.4369210.51-6149.09-11156.722.262.130.0733568.3
atrtrail35.634561099495049.4913421.0628743.45-6240.44-11156.722.152.110.0893491.01
atrnil37.3744307994405442.5521230.2437811.87-7520.94-12131.092.822.090.0974713.6
atrtrail24.79321074102534951.9611765.3423584.07-6173.25-11156.721.912.060.0963147.78

In the table above, row 1 shows the best exit criterion. Profit factor is 2.25. 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 60.23%, which is good. Average return per trade is 2.66%, which is very good. Sharpe Ratio is 0.09, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play