Study: Sell HDFC 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 HDFC 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 HDFC 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
161660.42131676451.153574.4913669.41-2778.6-17138.411.291.350.023470.69
231147.08131706153.444526.2322320.68-4683.43-13020.830.971.110.008237.76
342586.09131666550.385849.2128077.21-5284.03-29674.091.111.120.0088325.08
4-47895.06131676451.155903.4520309.16-6928.53-31780.170.850.89-0.0088-365.61
5-39297.84131686351.916965.6727979.65-8142.28-40544.740.860.92-0.0058-299.98
6-87218.47131666550.387414.526857.49-8870.39-64110.470.840.85-0.012-665.79
7-151236131676451.157481.6426614.72-10195.4-61470.920.730.77-0.02-1154.47
8-104240131646748.858464.0223953.01-9640.86-46150.430.880.84-0.014-795.73
9-115476131636848.098730.2329573.9-9786.47-47117.330.890.83-0.015-881.5
10-183154131636848.098592.5731403.16-10654.21-34280.790.810.75-0.023-1398.12

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.35. 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 51.15%, which is not acceptable. Avoid this strategy. Average return per trade is 0.24%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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-1161660.42131676451.153574.4913669.41-2778.6-17138.411.291.350.023470.69
atrtrail23.9199089.88142598341.559139.7526063-5303.07-15001.91.721.230.017697.82
atrnil26.4380254.84136548239.7112747.5325592.8-7416-21297.341.721.130.011590.11
atrnil38.780625.43128398930.4718856.7138389.2-7357.15-21297.342.561.120.0099629.89
atrtrail34.433770.54141578440.438277.4429174.17-5214.81-15001.91.591.080.0058239.51
atrtrail-14.66-78822.21140558539.296576.7829073.88-5182.88-15001.91.270.82-0.016-563.02

In the table above, row 1 shows the best exit criterion. Profit factor is 1.35. 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 51.15%, which is not acceptable. Avoid this strategy. Average return per trade is 0.24%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HDFC Performance, X=1, Profit Factor:1.35

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019623 Jan 2019 (-0.66%), 08 Feb 2019 (-0.18%), 22 Jul 2019 (2.21%), 14 Aug 2019 (0.84%), 05 Sep 2019 (0.13%), 30 Sep 2019 (-0.94%)
2018801 Jan 2018 (-1.16%), 05 Feb 2018 (1.91%), 19 Mar 2018 (-1.44%), 17 May 2018 (1.18%), 18 Jun 2018 (-0.24%), 02 Aug 2018 (-2.36%), 10 Sep 2018 (0.82%), 22 Oct 2018 (-1.72%)
2017405 Jan 2017 (-0.42%), 18 Oct 2017 (0.33%), 10 Nov 2017 (2.29%), 01 Dec 2017 (-1.3%)
2016606 Jan 2016 (2.47%), 10 Feb 2016 (4.47%), 31 Mar 2016 (-0.71%), 28 Apr 2016 (-0.27%), 10 Nov 2016 (4.24%), 22 Dec 2016 (-0.61%)
2015403 Jun 2015 (-1.09%), 28 Jul 2015 (-0.59%), 28 Oct 2015 (0.15%), 07 Dec 2015 (1.1%)
2014616 Apr 2014 (-1.1%), 29 May 2014 (2.24%), 22 Aug 2014 (-1.12%), 26 Sep 2014 (0.68%), 03 Dec 2014 (-0.76%), 24 Dec 2014 (-1.48%)
2013826 Feb 2013 (-1.01%), 20 Mar 2013 (-2.24%), 05 Apr 2013 (1.63%), 03 Jun 2013 (1.71%), 10 Jul 2013 (-3.3%), 30 Sep 2013 (-2.83%), 08 Nov 2013 (0.49%), 13 Dec 2013 (1.02%)
2012524 Feb 2012 (1.72%), 16 Mar 2012 (2.43%), 26 Apr 2012 (-0.05%), 18 Jun 2012 (-0.55%), 19 Nov 2012 (-2.25%)
2011607 Jan 2011 (4.43%), 17 Mar 2011 (2.62%), 23 Sep 2011 (0.42%), 21 Oct 2011 (-1.12%), 15 Nov 2011 (1.85%), 14 Dec 2011 (-0.96%)
2010811 Jan 2010 (1.56%), 25 Mar 2010 (-1.04%), 15 Apr 2010 (0.56%), 06 May 2010 (0.94%), 02 Jun 2010 (-0.91%), 12 Aug 2010 (-0.34%), 15 Nov 2010 (1.66%), 08 Dec 2010 (1.87%)
2009519 Jan 2009 (3.9%), 18 Feb 2009 (-2.24%), 27 Jul 2009 (-0.88%), 03 Sep 2009 (-3.38%), 27 Nov 2009 (-2.26%)
20081015 Jan 2008 (2.52%), 11 Feb 2008 (0.38%), 10 Mar 2008 (2.02%), 04 Apr 2008 (-1.17%), 22 May 2008 (-1.8%), 30 Jun 2008 (6.42%), 15 Jul 2008 (4.52%), 19 Aug 2008 (-1.37%), 24 Oct 2008 (6.83%), 17 Nov 2008 (5.17%)
2007709 Jan 2007 (2.19%), 14 Feb 2007 (-0.56%), 15 Mar 2007 (0.58%), 02 Apr 2007 (0.56%), 08 May 2007 (0.77%), 10 Aug 2007 (-1.77%), 19 Dec 2007 (0.94%)
2006410 Apr 2006 (3.25%), 19 May 2006 (3.58%), 13 Jun 2006 (1.83%), 18 Jul 2006 (0.08%)
2005316 Feb 2005 (-0.43%), 16 Mar 2005 (0.39%), 18 Apr 2005 (-2.0%)
2004620 Feb 2004 (1.14%), 17 Apr 2004 (2.38%), 12 May 2004 (-1.67%), 17 Jun 2004 (-0.55%), 09 Aug 2004 (-0.23%), 15 Oct 2004 (-2.97%)
2003321 Apr 2003 (-0.7%), 02 Jul 2003 (-8.57%), 22 Oct 2003 (-1.34%)
2002417 May 2002 (0.05%), 25 Jun 2002 (-1.6%), 10 Jul 2002 (0.54%), 14 Aug 2002 (-1.04%)
2001712 Jan 2001 (2.1%), 02 Mar 2001 (5.39%), 30 Mar 2001 (-4.03%), 02 Jul 2001 (-0.19%), 12 Sep 2001 (-1.55%), 19 Oct 2001 (-0.76%), 29 Nov 2001 (-0.52%)
2000404 Jul 2000 (-0.97%), 22 Aug 2000 (-1.39%), 13 Sep 2000 (-1.49%), 20 Nov 2000 (0.02%)
1999402 Feb 1999 (-1.25%), 12 Mar 1999 (0.25%), 26 May 1999 (1.2%), 20 Sep 1999 (-1.28%)
1998609 Jan 1998 (2.01%), 26 May 1998 (0.67%), 23 Jul 1998 (1.89%), 22 Sep 1998 (0.12%), 01 Dec 1998 (-1.42%), 18 Dec 1998 (-2.2%)
1997221 Jul 1997 (0.58%), 15 Sep 1997 (0.9%)
1996420 May 1996 (1.63%), 01 Jul 1996 (1.16%), 10 Sep 1996 (1.53%), 19 Nov 1996 (0.24%)
1995124 Apr 1995 (-0.59%)



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