Study: Buy HDFC when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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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 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: 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
131403.7367402759.73272.3511327.53-3684.83-17816.960.891.320.02468.71
2-20809.567293843.286322.2227897.39-5372.47-22834.021.180.9-0.0078-310.59
3-61108.9367313646.276824.6226981.63-7574.23-25027.050.90.78-0.019-912.07
4-10242867283941.796614.9524666.53-7375.54-23271.670.90.64-0.034-1528.77
5-82332.9767303744.787377.4527774.29-8206.93-29988.790.90.73-0.025-1228.85
6-76494.7867283941.799482.0927337.8-8769.06-30392.161.080.78-0.02-1141.71
7-97516.5367293843.289392.6428448.22-9734.29-42623.720.960.74-0.023-1455.47
8-13370567303744.787891.0431433.76-10011.8-35442.240.790.64-0.035-1995.6
9-13311.0567333449.259076.7840500.91-9201.31-41919.390.990.96-0.0032-198.67
1026214.4667333449.2511234.4241642.71-10132.98-50096.341.111.080.0053391.26

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.32. 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 59.7%, which is not acceptable. Avoid this strategy. Average return per trade is 0.23%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-1131403.7367402759.73272.3511327.53-3684.83-17816.960.891.320.02468.71
atrtrail23.6450256.5474294539.199982.3128900.58-5316.23-14789.491.881.210.016679.14
atrnil24.2449894.8774294539.1912514.0828900.58-6955.86-17632.621.81.160.013674.26
atrtrail34.2121365.1972284438.899176.3733489.41-5353.94-14789.491.711.090.0069296.74
atrtrail-14.5917153.4371274438.039360.2429115.64-5353.94-14789.491.751.070.0054241.6
atrnil36.9612151.6371195226.7619273.5243350.87-6808.56-17632.622.831.030.0028171.15

In the table above, row 1 shows the best exit criterion. Profit factor is 1.32. 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 59.7%, which is not acceptable. Avoid this strategy. Average return per trade is 0.23%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HDFC Performance, X=1, Profit Factor:1.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019202 Jul 2019 (-0.18%), 18 Jul 2019 (-1.77%)
2017516 Mar 2017 (0.07%), 24 Apr 2017 (1.16%), 27 Jul 2017 (3.31%), 28 Aug 2017 (-2.19%), 12 Sep 2017 (-1.11%)
2016302 Mar 2016 (2.24%), 31 Aug 2016 (1.37%), 29 Dec 2016 (0.43%)
2015219 Feb 2015 (-1.5%), 23 Jul 2015 (0.61%)
2014126 Mar 2014 (1.0%)
2013108 Mar 2013 (2.26%)
2012324 May 2012 (-1.09%), 01 Nov 2012 (0.36%), 30 Nov 2012 (-0.87%)
2011214 Feb 2011 (0.59%), 25 Apr 2011 (-1.12%)
2010303 Feb 2010 (-3.86%), 14 Jul 2010 (-1.05%), 14 Sep 2010 (1.7%)
2009513 Mar 2009 (1.11%), 04 May 2009 (-5.81%), 03 Jul 2009 (-8.91%), 17 Jul 2009 (-0.63%), 14 Oct 2009 (-1.29%)
2008331 Jan 2008 (5.66%), 21 Jul 2008 (2.65%), 03 Nov 2008 (1.3%)
2007225 Jun 2007 (-0.68%), 29 Oct 2007 (-1.85%)
2006321 Sep 2006 (0.21%), 13 Oct 2006 (1.32%), 07 Nov 2006 (-2.55%)
2005518 Jan 2005 (-0.27%), 06 Jun 2005 (3.29%), 01 Jul 2005 (1.19%), 02 Aug 2005 (-0.25%), 17 Aug 2005 (-1.29%)
2004306 May 2004 (0.29%), 04 Oct 2004 (-0.15%), 08 Nov 2004 (3.71%)
2003414 Jan 2003 (1.05%), 10 Feb 2003 (-0.69%), 04 Aug 2003 (-1.38%), 01 Oct 2003 (2.35%)
2002506 Jun 2002 (0.95%), 27 Jun 2002 (1.47%), 31 Jul 2002 (1.28%), 12 Nov 2002 (0.38%), 13 Dec 2002 (3.37%)
2001305 Jan 2001 (1.04%), 29 Jan 2001 (-4.0%), 28 Feb 2001 (0.84%)
2000319 May 2000 (1.78%), 23 Jun 2000 (0.91%), 27 Nov 2000 (0.55%)
1999217 Aug 1999 (-2.19%), 07 Oct 1999 (5.41%)
1998203 Apr 1998 (1.03%), 29 Jun 1998 (-2.67%)
1997214 Feb 1997 (-0.39%), 26 Sep 1997 (3.77%)
1996325 Mar 1996 (1.57%), 02 Aug 1996 (0.99%), 11 Dec 1996 (0.86%)



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