Study: Sell HCC when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell HCC when RSI is below 50 and there is Bearish Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell HCC 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. buy 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
199783.4667373055.226021.6434027.78-4100.57-23529.411.471.810.0571489.31
216542467402759.78537.6525347.22-6521.56-24313.731.311.940.0752469.01
321958167422562.6910749.9136805.56-9276.59-47474.751.161.950.0693277.33
427146267363153.7313660.1938667.34-7106.59-30303.031.922.230.0834051.68
530751867363153.7315950.154013.12-8602.77-28924.161.852.150.0794589.82
630408767402759.715055.7644220.09-11042.34-33333.331.362.020.0784538.62
727423867382956.7217856.6748605.58-13941.89-46408.841.281.680.0584093.11
830303267382956.7219552.7868468.47-15171.49-42608.471.291.690.0594522.87
933037867412661.1919105.6169123.67-17421.23-51909.591.11.730.0634931.01
1032801667402759.719839.1757657.66-17242.6-75552.091.151.70.064895.77

From the table above, we see that best results are achieved by holding positions for 4 trading days. Profit factor is 2.23. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 53.73%, which is not acceptable. Avoid this strategy. Average return per trade is 2.03%, which is very good. Sharpe Ratio is 0.083, 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.
HCC Performance, X=4, Profit Factor:2.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018516 Jan 2018 (2.69%), 21 Mar 2018 (18.58%), 03 May 2018 (-2.29%), 25 Jun 2018 (-1.66%), 19 Jul 2018 (-15.15%)
2017729 Mar 2017 (-7.52%), 05 May 2017 (-3.62%), 16 Jun 2017 (1.68%), 04 Aug 2017 (14.56%), 25 Sep 2017 (-3.47%), 13 Nov 2017 (-1.23%), 04 Dec 2017 (-0.41%)
2016411 Jan 2016 (16.73%), 10 Feb 2016 (3.49%), 02 May 2016 (5.13%), 24 Jun 2016 (-7.61%)
2015610 Mar 2015 (3.24%), 27 Apr 2015 (-0.32%), 03 Jun 2015 (6.05%), 14 Jul 2015 (-2.54%), 28 Jul 2015 (-3.17%), 12 Aug 2015 (0.47%)
2014410 Jan 2014 (-0.71%), 11 Sep 2014 (5.99%), 24 Nov 2014 (4.48%), 09 Dec 2014 (4.19%)
2013621 Mar 2013 (2.85%), 23 May 2013 (2.21%), 25 Jul 2013 (12.15%), 30 Aug 2013 (-0.0%), 23 Sep 2013 (-0.5%), 16 Dec 2013 (-3.83%)
2012427 Feb 2012 (-12.35%), 13 Jul 2012 (3.02%), 20 Nov 2012 (1.47%), 13 Dec 2012 (-5.48%)
2011614 Jan 2011 (7.17%), 20 Jun 2011 (-1.72%), 27 Jul 2011 (7.99%), 23 Sep 2011 (-0.0%), 14 Nov 2011 (14.94%), 14 Dec 2011 (16.46%)
2010721 Jan 2010 (10.51%), 18 Mar 2010 (0.66%), 16 Apr 2010 (-0.34%), 17 Aug 2010 (3.12%), 24 Sep 2010 (2.08%), 20 Oct 2010 (-1.44%), 15 Nov 2010 (4.5%)
2009412 Jan 2009 (7.6%), 19 Feb 2009 (10.4%), 06 Aug 2009 (3.02%), 02 Sep 2009 (-1.98%)
2008805 Mar 2008 (0.62%), 09 Apr 2008 (-11.38%), 21 May 2008 (10.92%), 10 Jun 2008 (-7.35%), 24 Jun 2008 (19.33%), 21 Aug 2008 (3.16%), 15 Sep 2008 (-0.68%), 20 Nov 2008 (6.54%)
2007519 Jan 2007 (7.89%), 09 May 2007 (-3.15%), 23 May 2007 (-3.85%), 08 Jun 2007 (-0.94%), 17 Dec 2007 (-0.73%)
2006112 Dec 2006 (-4.74%)

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-1427146267363153.7313660.1938667.34-7106.59-30303.031.922.230.0834051.68
atrtrail24.6720716873334045.2115667.3931758.78-7746.41-22409.352.021.670.0592837.91
atrtrail35.2216067973324143.8414949.9247638.18-7749.23-22409.351.931.510.0432201.08
atrtrail-15.6814408572324044.4414420.3743069.72-7934.18-22409.351.821.450.042001.18
atrnil39.9723166768234533.8233756.0866917.99-12104.94-35516.512.791.430.0423406.87
atrnil27.413156568284041.1822240.2644611.99-12279.05-35516.511.811.270.0311934.78

In the table above, row 1 shows the best exit criterion. Profit factor is 2.23. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 53.73%, which is not acceptable. Avoid this strategy. Average return per trade is 2.03%, which is very good. Sharpe Ratio is 0.083, 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.

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