Study: Sell HCC when RSI is above 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 above 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
110428.1533201360.615700.0616951.38-7967.15-15891.470.721.10.011316
2-10480.8433171651.528123.9618355.26-9286.76-26744.190.870.93-0.0089-317.6
320883.2633191457.588279.8419708.85-9745.27-48643.410.851.150.014632.83
442863.1733181554.5510705.0928667.41-9988.57-35271.321.071.290.0271298.88
577326.3633211263.6410953.3329787.23-12724.47-49612.40.861.510.0442343.22
685185.0233211263.6411149.9324506.28-12413.62-43798.450.91.570.0532581.36
716182933201360.6115541.2846947.94-11461.25-34883.721.362.090.0834903.92
818091933231069.716054.8364407.54-18834.2-54973.820.851.960.0735482.4
91150383324972.7314219.0247972.97-25135.34-72774.870.571.510.0443486.01
1012504833211263.6416709.8648070.02-18821.62-62827.230.891.550.0483789.32
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
HCC Performance, X=7, Profit Factor:2.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018110 Sep 2018 (17.23%)
2017117 Jan 2017 (-4.51%)
2016321 Jul 2016 (-0.44%), 23 Sep 2016 (3.98%), 21 Dec 2016 (-2.45%)
2015325 Feb 2015 (-7.23%), 03 Nov 2015 (2.94%), 04 Dec 2015 (5.12%)
2014309 Jan 2014 (4.78%), 30 Apr 2014 (-11.52%), 08 Jul 2014 (7.95%)
2013215 Jan 2013 (11.63%), 11 Nov 2013 (1.46%)
2012324 Feb 2012 (1.82%), 12 Oct 2012 (7.1%), 14 Dec 2012 (-0.84%)
2011219 Apr 2011 (5.87%), 26 Jul 2011 (8.77%)
2010420 Jan 2010 (9.21%), 29 Jul 2010 (-11.18%), 16 Aug 2010 (12.29%), 21 Oct 2010 (4.29%)
2009328 Apr 2009 (-17.44%), 08 Jun 2009 (10.89%), 21 Oct 2009 (4.66%)
2008110 Jan 2008 (23.47%)
2007501 Jun 2007 (2.95%), 16 Jul 2007 (-10.85%), 30 Jul 2007 (-1.21%), 18 Sep 2007 (-1.38%), 06 Nov 2007 (-1.95%)
2006217 Nov 2006 (-3.49%), 11 Dec 2006 (9.0%)

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
atrnil24.9512939643192444.1920984.4534481.01-11221.17-18942.691.871.480.0523009.22
atrtrail24.0787603.1943202346.5115119.6534481.01-9338.69-18942.691.621.410.0412037.28
atrtrail-15.2820198.7343202346.5111749.4337912.47-9338.69-18942.691.261.090.01469.74
atrtrail34.74448.343202346.5110961.9124250.27-9338.69-18942.691.171.020.0025103.45
atrnil311.6-1139454393420.9329559.6142398.85-11175.93-18942.692.640.7-0.044-2649.89

In the table above, row 1 shows the best exit criterion. Profit factor is 1.48. 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 44.19%, which is not acceptable. Avoid this strategy. Average return per trade is 1.5%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.052, 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.
HCC Performance, Profit Factor:1.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018110 Sep 2018 (11.96%)
2017217 Jan 2017 (-4.04%), 20 Jan 2017 (-3.96%)
2016421 Jul 2016 (-4.32%), 22 Jul 2016 (8.72%), 23 Sep 2016 (11.96%), 21 Dec 2016 (-4.92%)
2015425 Feb 2015 (-6.34%), 09 Mar 2015 (14.13%), 03 Nov 2015 (11.05%), 04 Dec 2015 (9.68%)
2014409 Jan 2014 (10.5%), 30 Apr 2014 (-5.53%), 02 May 2014 (-5.47%), 08 Jul 2014 (13.33%)
2013215 Jan 2013 (7.72%), 11 Nov 2013 (12.13%)
2012324 Feb 2012 (-6.93%), 12 Oct 2012 (9.67%), 14 Dec 2012 (-4.06%)
2011219 Apr 2011 (8.08%), 26 Jul 2011 (7.41%)
2010520 Jan 2010 (7.52%), 29 Jul 2010 (-3.29%), 30 Jul 2010 (-3.58%), 16 Aug 2010 (6.57%), 21 Oct 2010 (-4.06%)
2009628 Apr 2009 (-9.47%), 29 Apr 2009 (-8.89%), 11 May 2009 (-8.59%), 08 Jun 2009 (-8.87%), 09 Jun 2009 (17.24%), 21 Oct 2009 (9.89%)
2008110 Jan 2008 (-7.15%)
2007701 Jun 2007 (-3.77%), 16 Jul 2007 (-4.54%), 30 Jul 2007 (-4.75%), 02 Aug 2007 (10.71%), 18 Sep 2007 (-4.14%), 27 Sep 2007 (-4.66%), 06 Nov 2007 (-8.19%)
2006217 Nov 2006 (-5.11%), 11 Dec 2006 (11.08%)



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