Study: Buy HDFC 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 HDFC 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 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. 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
170633.42190989251.583423.9620454.73-2879.51-17816.961.191.270.016371.75
224286.65190929848.425154.1128323.81-4590.73-22834.021.121.050.0037127.82
3-5427.83190929848.426240.5130372.27-5913.82-25027.051.060.99-0.00068-28.57
4-95927.141908410644.216824.4330925.07-6313.01-23271.671.080.86-0.012-504.88
5-81409.491908910146.847101.6127774.29-7063.89-29988.791.010.89-0.0096-428.47
6-1839221908310743.687903.5727337.8-7849.7-30392.161.010.78-0.019-968.01
7-2112301908610445.268212.1528448.22-8821.87-42623.720.930.77-0.02-1111.74
8-2757291908410644.218260.5931433.76-9147.35-40174.940.90.72-0.027-1451.21
9-1576341908710345.798755.8840500.91-8926.17-41919.390.980.83-0.014-829.65
10-313481908810246.3210308.2241642.71-9200.7-50096.341.120.97-0.0026-164.99

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.27. 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 51.58%, which is not acceptable. Avoid this strategy. Average return per trade is 0.19%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, 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-1170633.42190989251.583423.9620454.73-2879.51-17816.961.191.270.016371.75
atrnil37.6860545.231975314426.919235.2343350.87-6659.18-17632.622.891.060.0051307.34
atrtrail23.9640248.822157613935.359718.8428900.58-5024.34-14789.491.931.060.0046187.2
atrtrail34.4918959.832117313834.69776.5137812.59-5034.24-14789.491.941.030.002189.86
atrnil25.53-20785.082107213834.2912501.2928900.58-6673.03-17632.621.870.98-0.0021-98.98
atrtrail-14.88-31087.512087213634.628936.5529115.64-4959.7-14789.491.80.95-0.0037-149.46

In the table above, row 1 shows the best exit criterion. Profit factor is 1.27. 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 51.58%, which is not acceptable. Avoid this strategy. Average return per trade is 0.19%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, 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.
HDFC Performance, X=1, Profit Factor:1.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019801 Jan 2019 (-1.41%), 06 Feb 2019 (-0.92%), 20 May 2019 (-0.38%), 02 Jul 2019 (-0.18%), 18 Jul 2019 (-1.77%), 09 Aug 2019 (-5.04%), 27 Aug 2019 (0.59%), 23 Sep 2019 (-1.48%)
2018612 Mar 2018 (0.56%), 27 Mar 2018 (0.13%), 02 May 2018 (0.63%), 06 Jun 2018 (0.57%), 20 Jun 2018 (0.64%), 03 Sep 2018 (0.51%)
2017916 Mar 2017 (0.07%), 24 Apr 2017 (1.16%), 30 May 2017 (-0.61%), 27 Jul 2017 (3.31%), 28 Aug 2017 (-2.19%), 12 Sep 2017 (-1.11%), 16 Oct 2017 (-0.18%), 02 Nov 2017 (0.8%), 11 Dec 2017 (0.05%)
2016802 Mar 2016 (2.24%), 18 Apr 2016 (0.67%), 05 May 2016 (0.44%), 26 May 2016 (2.22%), 04 Jul 2016 (0.35%), 31 Aug 2016 (1.37%), 28 Oct 2016 (-1.02%), 29 Dec 2016 (0.43%)
2015515 Jan 2015 (-0.67%), 19 Feb 2015 (-1.5%), 14 Jul 2015 (1.65%), 24 Nov 2015 (0.3%), 15 Dec 2015 (1.06%)
2014919 Feb 2014 (-1.76%), 25 Mar 2014 (-0.61%), 15 May 2014 (-1.92%), 09 Jun 2014 (1.01%), 23 Jul 2014 (-0.08%), 12 Aug 2014 (2.48%), 22 Sep 2014 (-1.2%), 22 Oct 2014 (0.08%), 22 Dec 2014 (-1.91%)
2013907 Feb 2013 (-0.23%), 08 Mar 2013 (2.26%), 25 Mar 2013 (2.23%), 18 Apr 2013 (2.12%), 28 Jun 2013 (1.21%), 12 Jul 2013 (-0.33%), 10 Oct 2013 (0.28%), 29 Oct 2013 (1.17%), 29 Nov 2013 (0.47%)
2012715 Feb 2012 (0.61%), 24 May 2012 (-1.09%), 29 Jun 2012 (1.4%), 01 Aug 2012 (-0.59%), 31 Aug 2012 (-0.09%), 01 Nov 2012 (0.36%), 29 Nov 2012 (2.64%)
20111014 Feb 2011 (0.59%), 28 Mar 2011 (2.27%), 21 Apr 2011 (-0.16%), 30 May 2011 (2.32%), 24 Jun 2011 (0.98%), 30 Aug 2011 (-0.26%), 10 Oct 2011 (0.63%), 26 Oct 2011 (3.22%), 01 Dec 2011 (1.75%), 22 Dec 2011 (-0.23%)
20101103 Feb 2010 (-3.86%), 01 Apr 2010 (0.45%), 27 Apr 2010 (-1.63%), 31 May 2010 (-2.97%), 13 Jul 2010 (0.41%), 04 Aug 2010 (-1.02%), 19 Aug 2010 (-0.79%), 06 Sep 2010 (-0.52%), 04 Nov 2010 (-0.21%), 06 Dec 2010 (-0.57%), 21 Dec 2010 (-0.19%)
20091110 Feb 2009 (1.44%), 13 Mar 2009 (1.11%), 04 May 2009 (-5.81%), 18 May 2009 (-0.16%), 03 Jul 2009 (-8.91%), 17 Jul 2009 (-0.63%), 31 Jul 2009 (-0.09%), 24 Aug 2009 (-0.67%), 07 Sep 2009 (-0.79%), 14 Oct 2009 (-1.29%), 11 Nov 2009 (-2.56%)
2008902 Jan 2008 (-0.45%), 31 Jan 2008 (5.66%), 18 Feb 2008 (-1.69%), 05 Mar 2008 (-5.11%), 26 Mar 2008 (-0.17%), 15 May 2008 (-1.42%), 21 Jul 2008 (2.65%), 04 Sep 2008 (-5.67%), 03 Nov 2008 (1.3%)
2007813 Mar 2007 (-3.07%), 09 Apr 2007 (3.19%), 16 May 2007 (0.76%), 25 Jun 2007 (-0.68%), 08 Aug 2007 (-2.54%), 29 Aug 2007 (1.79%), 29 Oct 2007 (-1.85%), 30 Nov 2007 (-1.55%)
2006925 Jan 2006 (1.69%), 30 Mar 2006 (-1.59%), 29 Apr 2006 (-0.29%), 27 Jul 2006 (-0.51%), 07 Sep 2006 (-1.2%), 21 Sep 2006 (0.21%), 13 Oct 2006 (1.32%), 07 Nov 2006 (-2.55%), 26 Dec 2006 (1.61%)
2005918 Jan 2005 (-0.27%), 07 Mar 2005 (-1.0%), 06 Jun 2005 (3.29%), 01 Jul 2005 (1.19%), 02 Aug 2005 (-0.25%), 17 Aug 2005 (-1.29%), 08 Sep 2005 (-2.09%), 02 Nov 2005 (0.41%), 14 Dec 2005 (0.32%)
2004410 Feb 2004 (1.16%), 06 May 2004 (0.29%), 04 Oct 2004 (-0.15%), 08 Nov 2004 (3.71%)
2003714 Jan 2003 (1.05%), 10 Feb 2003 (-0.69%), 30 Apr 2003 (4.92%), 16 Jun 2003 (2.03%), 04 Aug 2003 (-1.38%), 01 Oct 2003 (2.35%), 27 Nov 2003 (2.13%)
2002630 Apr 2002 (-0.14%), 06 Jun 2002 (0.95%), 27 Jun 2002 (1.47%), 31 Jul 2002 (1.28%), 12 Nov 2002 (0.38%), 13 Dec 2002 (3.37%)
20011105 Jan 2001 (1.04%), 29 Jan 2001 (-4.0%), 28 Feb 2001 (0.84%), 15 Mar 2001 (-0.15%), 17 Apr 2001 (-3.03%), 16 May 2001 (10.23%), 26 Jun 2001 (-0.92%), 31 Jul 2001 (1.6%), 04 Oct 2001 (-3.76%), 24 Oct 2001 (-0.09%), 26 Nov 2001 (-0.35%)
20001003 Jan 2000 (3.59%), 17 Jan 2000 (1.17%), 14 Feb 2000 (-7.39%), 28 Feb 2000 (-1.95%), 04 Apr 2000 (2.48%), 19 May 2000 (1.78%), 23 Jun 2000 (0.91%), 24 Jul 2000 (-0.52%), 29 Aug 2000 (3.0%), 27 Nov 2000 (0.55%)
1999727 Feb 1999 (8.0%), 05 May 1999 (3.87%), 21 Jun 1999 (-0.03%), 17 Aug 1999 (-2.19%), 16 Sep 1999 (-0.97%), 07 Oct 1999 (5.41%), 01 Dec 1999 (6.76%)
1998403 Apr 1998 (1.03%), 21 May 1998 (-1.69%), 29 Jun 1998 (-2.67%), 09 Dec 1998 (2.2%)
1997414 Feb 1997 (-0.39%), 17 Apr 1997 (1.44%), 04 Jun 1997 (0.45%), 26 Sep 1997 (3.77%)
1996512 Feb 1996 (-2.16%), 25 Mar 1996 (1.57%), 16 May 1996 (-0.77%), 02 Aug 1996 (0.99%), 11 Dec 1996 (0.86%)
1995406 Apr 1995 (0.0%), 14 Jul 1995 (0.46%), 18 Aug 1995 (0.0%), 25 Sep 1995 (-0.24%)



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