Study: Buy HCLTECH when RSI is above 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy HCLTECH when RSI is above 50 and 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 HCLTECH 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
147586.05144756952.083906.1816987.7-3556.2-15906.271.11.190.015330.46
2-18049.41144707448.614703.8919912.42-4693.53-29443.4510.95-0.0043-125.34
3-110069144717349.315513.2834109.24-6870.03-43087.970.80.78-0.019-764.37
4-1829781447272505921.8332726.43-8463.2-54520.010.70.7-0.026-1270.68
5-207753144697547.926995.2226365.52-9205.64-66094.620.760.7-0.027-1442.73
6-177796144756952.087182.0532243.79-10383.33-57772.730.690.75-0.022-1234.7
7-99709.78144747051.398621.2638590.87-10538.32-46393.490.820.86-0.012-692.43
8-87400.2144747051.399383.6232127.22-11168.4-44858.250.840.89-0.0099-606.95
943454.15144737150.6910670.6934190.97-10359.24-51125.631.031.060.0049301.76
1024921.41144747051.391038740036.1-10624.52-54210.670.981.030.0027173.07

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.19. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 52.08%, which is not acceptable. Avoid this strategy. Average return per trade is 0.17%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, which is low, don't trade solely on the basis of this study.

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-1147586.05144756952.083906.1816987.7-3556.2-15906.271.11.190.015330.46
atrnil39.48-1260791503511523.3322598.1656917.2-7974.04-26035.742.830.86-0.013-840.53
atrnil26.78-1434741584910931.0114892.6637944.8-8011.14-26035.741.860.84-0.018-908.07
atrtrail24.7-1144571676310437.728210.9137944.8-6074.47-20283.261.350.82-0.017-685.37
atrtrail35.17-1325541666110536.758326.5856917.2-6099.77-20283.261.370.79-0.019-798.52
atrtrail-15.55-1875291656110436.977282.2345161.7-6074.47-20283.261.20.7-0.029-1136.54

In the table above, row 1 shows the best exit criterion. Profit factor is 1.19. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 52.08%, which is not acceptable. Avoid this strategy. Average return per trade is 0.17%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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.
HCLTECH Performance, X=1, Profit Factor:1.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019427 Mar 2019 (3.81%), 24 Apr 2019 (-0.46%), 31 May 2019 (2.07%), 03 Oct 2019 (0.21%)
2018712 Mar 2018 (-1.1%), 26 Mar 2018 (0.52%), 12 Apr 2018 (-1.86%), 14 Aug 2018 (-0.25%), 25 Sep 2018 (-2.35%), 31 Oct 2018 (-4.42%), 27 Nov 2018 (1.95%)
2017723 Jan 2017 (-0.99%), 16 Feb 2017 (-0.68%), 30 Mar 2017 (-0.13%), 03 May 2017 (-2.05%), 11 Jul 2017 (0.39%), 13 Sep 2017 (1.09%), 04 Oct 2017 (0.74%)
2016718 Jan 2016 (-0.49%), 19 Feb 2016 (-0.66%), 22 Mar 2016 (-1.3%), 20 Sep 2016 (0.07%), 08 Nov 2016 (-2.99%), 25 Nov 2016 (0.51%), 30 Dec 2016 (0.07%)
2015713 Jan 2015 (-0.3%), 31 Jul 2015 (-5.95%), 14 Aug 2015 (-0.54%), 03 Sep 2015 (-2.15%), 18 Sep 2015 (-0.69%), 19 Nov 2015 (-0.85%), 17 Dec 2015 (-1.66%)
20141114 Feb 2014 (0.34%), 15 Apr 2014 (-0.86%), 13 May 2014 (-1.5%), 27 May 2014 (4.12%), 10 Jun 2014 (0.54%), 22 Jul 2014 (0.86%), 22 Aug 2014 (0.18%), 22 Sep 2014 (1.48%), 13 Oct 2014 (-1.87%), 05 Nov 2014 (0.85%), 22 Dec 2014 (-3.22%)
2013809 Jan 2013 (0.9%), 14 Feb 2013 (-1.59%), 06 May 2013 (0.47%), 28 May 2013 (0.36%), 27 Jun 2013 (-2.44%), 28 Aug 2013 (3.83%), 07 Oct 2013 (-1.13%), 02 Dec 2013 (-1.27%)
20121003 Jan 2012 (3.77%), 13 Mar 2012 (-0.06%), 04 Apr 2012 (-2.11%), 20 Apr 2012 (-1.94%), 29 May 2012 (0.76%), 02 Jul 2012 (0.02%), 25 Jul 2012 (-0.35%), 04 Oct 2012 (-2.63%), 18 Oct 2012 (0.72%), 23 Nov 2012 (0.55%)
2011705 Jan 2011 (1.13%), 19 Jan 2011 (0.55%), 24 Mar 2011 (2.36%), 20 Apr 2011 (-0.74%), 31 May 2011 (-0.08%), 30 Jun 2011 (0.29%), 02 Dec 2011 (-2.38%)
2010820 Jan 2010 (-2.76%), 15 Feb 2010 (-0.19%), 15 Mar 2010 (1.07%), 21 Apr 2010 (2.29%), 04 Jun 2010 (-3.41%), 13 Sep 2010 (-0.3%), 01 Oct 2010 (1.11%), 30 Nov 2010 (1.81%)
2009905 May 2009 (-2.67%), 19 May 2009 (4.91%), 09 Jun 2009 (4.86%), 17 Jul 2009 (8.49%), 12 Aug 2009 (7.78%), 17 Sep 2009 (-1.05%), 23 Oct 2009 (0.49%), 11 Nov 2009 (3.28%), 07 Dec 2009 (0.9%)
2008504 Feb 2008 (-0.4%), 25 Mar 2008 (-2.97%), 16 Apr 2008 (3.49%), 29 May 2008 (1.71%), 18 Dec 2008 (3.51%)
20071015 Jan 2007 (1.58%), 07 Feb 2007 (-0.86%), 17 May 2007 (1.9%), 09 Jul 2007 (0.25%), 10 Aug 2007 (-0.39%), 31 Aug 2007 (1.87%), 26 Sep 2007 (2.68%), 31 Oct 2007 (-1.62%), 26 Nov 2007 (-1.14%), 24 Dec 2007 (-0.86%)
2006716 Jan 2006 (-0.86%), 30 Mar 2006 (-1.96%), 10 May 2006 (-4.53%), 08 Aug 2006 (2.16%), 12 Oct 2006 (0.63%), 15 Nov 2006 (0.34%), 28 Dec 2006 (1.5%)
2005907 Mar 2005 (1.96%), 01 Apr 2005 (-1.55%), 10 May 2005 (-2.95%), 24 May 2005 (3.17%), 21 Jul 2005 (0.34%), 01 Sep 2005 (-1.47%), 16 Sep 2005 (-0.25%), 04 Oct 2005 (-1.6%), 09 Nov 2005 (1.26%)
2004714 May 2004 (-3.81%), 28 Jun 2004 (-0.28%), 15 Jul 2004 (1.01%), 07 Sep 2004 (0.77%), 01 Oct 2004 (-0.38%), 25 Nov 2004 (1.33%), 21 Dec 2004 (-0.37%)
20031003 Feb 2003 (-1.85%), 21 Mar 2003 (1.47%), 04 Jun 2003 (5.53%), 27 Jun 2003 (1.98%), 25 Jul 2003 (0.3%), 28 Aug 2003 (-1.23%), 03 Oct 2003 (4.18%), 31 Oct 2003 (8.44%), 24 Nov 2003 (1.87%), 31 Dec 2003 (1.87%)
2002603 Jan 2002 (3.88%), 06 Feb 2002 (1.93%), 27 Feb 2002 (-7.95%), 27 Jun 2002 (-0.11%), 27 Sep 2002 (-3.95%), 17 Oct 2002 (3.95%)
2001305 Jan 2001 (-5.64%), 20 Apr 2001 (2.4%), 03 Aug 2001 (2.95%)
2000211 Apr 2000 (-7.31%), 11 Dec 2000 (1.76%)



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