Study: Buy HDFC when RSI is above 50 and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy HDFC when RSI is above 50 and there is Golden Cross (50 DMA > 200 DMA)" 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
1-22415.271651131.253664.7311300.24-3703.54-7400.220.990.45-0.064-1400.95
2-30015.551651131.256484.4720480.82-5676.17-9767.311.140.52-0.051-1875.97
3-21489.421651131.256598.4718365.76-4952.89-11729.851.330.61-0.038-1343.09
4-49319.441631318.7510201.7623206.09-6148.06-14210.471.660.38-0.076-3082.46
5-51158.881651131.257271.1922582.13-7955.89-16507.410.910.42-0.07-3197.43
6-46374.091651131.257040.7913777.76-7416.19-18570.840.950.43-0.071-2898.38
7-19042.17167943.758000.5220548.88-8338.42-15870.380.960.75-0.024-1190.14
8-12069.92167943.758520.3927988.21-7968.07-16783.511.070.83-0.014-754.37
9-19817.951688506846.3517978.38-9323.6-19102.660.730.73-0.025-1238.62
10-15454.54169756.256225.1418492.48-10211.54-15510.320.610.78-0.02-965.91
Although, strategy looks good but profit factor on day 4 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
atrnil38.454739.23204162021487.2943389.91-5075.62-7372.914.231.060.004236.96
atrnil23.93450.792161528.5713503.9528926.61-5171.53-8225.072.611.040.0036164.32
atrtrail22.67-6237.632151623.8113006.0428926.61-4454.24-8225.072.920.91-0.0068-297.03
atrtrail32.95-36984.9720416208329.4119851.96-4393.91-7372.911.90.47-0.06-1849.25
atrtrail-13.05-37126.5220416208294.0219710.41-4393.91-7372.911.890.47-0.06-1856.33

In the table above, row 1 shows the best exit criterion. Profit factor is 1.06. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 20%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.004, 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, Profit Factor:1.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019202 Jan 2019 (-2.26%), 03 Jan 2019 (-2.35%)
2016121 Jun 2016 (-2.18%)
2014110 Mar 2014 (6.29%)
2013112 Dec 2013 (-2.33%)
2012406 Feb 2012 (-2.15%), 07 Feb 2012 (-2.3%), 08 Aug 2012 (-1.41%), 09 Aug 2012 (5.07%)
2011327 Apr 2011 (-2.67%), 01 Jun 2011 (-2.52%), 01 Aug 2011 (-2.43%)
2010212 Apr 2010 (-2.42%), 13 Apr 2010 (-2.57%)
2009129 May 2009 (21.69%)
2006113 Sep 2006 (-2.73%)
2004121 Oct 2004 (-3.69%)
2002104 Dec 2002 (9.93%)
1999121 Jul 1999 (-3.63%)
1997103 Mar 1997 (-2.96%)



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