Study: Buy HCLTECH when RSI is below 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 below 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
1-11196.1461303149.184759.7621104.29-4967.39-17454.960.960.93-0.0058-183.54
260026.6461313050.828104.9928875.26-6374.26-30716.651.271.310.021984.04
348402.9261342755.748281.8326426.45-8636.28-43050.020.961.210.014793.49
441881.6461352657.389890.0142921.63-11702.64-55537.20.851.140.0097686.58
512346.8561352657.389890.3643885.62-12839.07-72502.660.771.040.0026202.41
617300.9961372460.669363.4735474.45-13714.48-52864.750.681.050.004283.62
7-71876.6361303149.1811970.8129820.45-13903.25-65260.920.860.83-0.015-1178.31
856982.6161322952.4614260.6734582.36-13771-60447.281.041.140.011934.14
9-32002.9761332854.113527.6554373.15-17086.27-81618.740.790.93-0.0054-524.64
10-35728.8461332854.114310.6439344.26-18142.14-92522.620.790.93-0.0057-585.72
Although, strategy looks good but profit factor on day 1 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
atrtrail36.4419631768284041.1819220.9390857.73-8546.74-24552.062.251.570.0322887.01
atrtrail-17.2416887568284041.1818240.86134951-8546.74-24552.062.131.490.0252483.45
atrtrail25.7110772468284041.1816056.9260571.82-8546.74-24552.061.881.320.0211584.18
atrnil27.2416387.6968224632.3524857.8760571.82-11532.29-24552.062.161.030.0028241
atrnil310.16-45553.168165223.5335548.5490857.73-11814.03-27507.173.010.93-0.0066-669.9

In the table above, row 1 shows the best exit criterion. Profit factor is 1.57. 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 41.18%, which is not acceptable. Avoid this strategy. Average return per trade is 1.44%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, 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, Profit Factor:1.57

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019308 Jan 2019 (-2.5%), 24 Jul 2019 (-2.22%), 30 Jul 2019 (-1.16%)
2018330 May 2018 (-2.25%), 01 Nov 2018 (-0.55%), 31 Dec 2018 (-2.77%)
2017404 May 2017 (3.76%), 14 Nov 2017 (-2.39%), 24 Nov 2017 (-1.77%), 05 Dec 2017 (1.88%)
2016519 Jan 2016 (2.31%), 23 Mar 2016 (2.15%), 18 May 2016 (-0.05%), 20 Jul 2016 (6.34%), 09 Nov 2016 (-2.24%)
2015610 Apr 2015 (-5.28%), 03 Aug 2015 (2.57%), 04 Sep 2015 (-2.83%), 20 Oct 2015 (0.15%), 20 Nov 2015 (-0.93%), 18 Dec 2015 (0.51%)
2014303 Apr 2014 (-2.43%), 16 Apr 2014 (0.27%), 26 Dec 2014 (-0.35%)
2011408 Mar 2011 (-3.45%), 29 Jun 2011 (1.73%), 30 Aug 2011 (-4.91%), 05 Dec 2011 (-0.99%)
2010207 Jun 2010 (0.23%), 13 Jul 2010 (2.82%)
2009314 Jan 2009 (-10.29%), 15 Jan 2009 (-3.21%), 16 Mar 2009 (-2.19%)
2008501 Feb 2008 (-3.23%), 30 Jul 2008 (20.95%), 31 Oct 2008 (-9.82%), 24 Nov 2008 (-11.49%), 17 Dec 2008 (3.84%)
2007310 Apr 2007 (16.63%), 09 Aug 2007 (-4.5%), 30 Aug 2007 (0.26%)
2006211 May 2006 (-4.39%), 20 Jun 2006 (25.61%)
2005224 Jan 2005 (11.75%), 11 May 2005 (-1.88%)
2004204 Mar 2004 (-4.94%), 29 Mar 2004 (-5.78%)
2003304 Feb 2003 (-1.74%), 09 May 2003 (-4.06%), 03 Jun 2003 (14.49%)
2002416 Apr 2002 (-2.06%), 03 Jun 2002 (-4.13%), 13 Aug 2002 (5.46%), 12 Nov 2002 (17.29%)
2001908 Jan 2001 (22.79%), 28 Mar 2001 (-11.71%), 06 Apr 2001 (-12.28%), 19 Apr 2001 (-1.98%), 10 Jul 2001 (0.24%), 02 Aug 2001 (-1.56%), 23 Aug 2001 (1.66%), 10 Sep 2001 (-8.7%), 05 Oct 2001 (45.43%)
2000512 Apr 2000 (-10.98%), 26 Apr 2000 (-10.94%), 31 May 2000 (8.89%), 09 Aug 2000 (24.02%), 20 Oct 2000 (25.05%)



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