Study: Sell HDFC when RSI is below 50 and there is Bearish Crossover in MACD and ADX is Trending

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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 and ADX is Trending" 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
132249.23341717505157.1513669.41-3260.13-17138.411.581.580.033948.51
2-7695.7734161847.065277.0817518.2-5118.28-13020.831.030.92-0.0069-226.35
317347.4234161847.067899.7128077.21-6058.22-29674.091.31.160.01510.22
4-52209.2534161847.065892.9515997.67-8138.69-31780.170.720.64-0.032-1535.57
5-50574.7434181652.946712.6127979.65-10712.61-40544.740.630.7-0.023-1487.49
6-52166.0534201458.826860.1226393.24-13526.32-64110.470.510.72-0.02-1534.3
7-53328.7534201458.826933.1121198.88-13713.64-61470.920.510.72-0.022-1568.49
8-35599.1734181652.946992.4314000.1-10091.43-46150.430.690.78-0.018-1047.03
9-41257.6534181652.947035.3415749.15-10493.36-47117.330.670.75-0.02-1213.46
10-24794.8134201458.825819.0514679.76-10083.98-34280.790.580.82-0.014-729.26

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.58. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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-1132249.23341717505157.1513669.41-3260.13-17138.411.581.580.033948.51
atrtrail24.2617191.0935161945.718336.6519449.45-6115.54-12087.691.361.150.012491.17
atrtrail34.69654.735152042.867967.9729174.17-5943.24-12087.691.341.010.0004218.71
atrnil26.54-42500.4435122334.2913644.4719449.45-8966.7-21297.341.520.79-0.021-1214.3
atrtrail-14.89-29788.6235152042.865938.4216287.42-5943.24-12087.6910.75-0.025-851.1
atrnil38.88-91795.883372621.2119333.0229174.17-8735.65-21297.342.210.6-0.046-2781.69

In the table above, row 1 shows the best exit criterion. Profit factor is 1.58. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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:1.58

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019122 Jul 2019 (2.21%)
2018305 Feb 2018 (1.91%), 02 Aug 2018 (-2.36%), 22 Oct 2018 (-1.72%)
2017105 Jan 2017 (-0.42%)
2016122 Dec 2016 (-0.61%)
2015228 Jul 2015 (-0.59%), 28 Oct 2015 (0.15%)
2014216 Apr 2014 (-1.1%), 03 Dec 2014 (-0.76%)
2013103 Jun 2013 (1.71%)
2008515 Jan 2008 (2.52%), 30 Jun 2008 (6.42%), 15 Jul 2008 (4.52%), 24 Oct 2008 (6.83%), 17 Nov 2008 (5.17%)
2004520 Feb 2004 (1.14%), 17 Apr 2004 (2.38%), 12 May 2004 (-1.67%), 17 Jun 2004 (-0.55%), 15 Oct 2004 (-2.97%)
2003202 Jul 2003 (-8.57%), 22 Oct 2003 (-1.34%)
2002325 Jun 2002 (-1.6%), 10 Jul 2002 (0.54%), 14 Aug 2002 (-1.04%)
2001312 Jan 2001 (2.1%), 02 Mar 2001 (5.39%), 02 Jul 2001 (-0.19%)
2000204 Jul 2000 (-0.97%), 20 Nov 2000 (0.02%)
1999102 Feb 1999 (-1.25%)
1997221 Jul 1997 (0.58%), 16 Sep 1997 (0.24%)



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