Study: Sell HDFC when RSI is above 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 above 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
1-33435.28125665952.82388.948024.15-3239.07-14546.590.740.83-0.015-267.48
2-1247001255570443697.8310423.5-4686.86-36034.950.790.62-0.033-997.6
3-112632125586746.44244.8517535.96-5355.71-22317.650.790.69-0.028-901.05
4-189305125527341.64969.3424397.85-6133.02-28054.680.810.58-0.04-1514.44
5-2611511254580365619.6519725.4-6425.44-24199.710.870.49-0.055-2089.21
6-254057125487738.45629.7931464.63-6808.93-23108.160.830.52-0.049-2032.46
7-252396125477837.66419.7829910.37-7104.18-21594.680.90.54-0.045-2019.17
8-320820125477837.67747.9524821.24-8781.71-22824.590.880.53-0.05-2566.56
9-4433761254580366575.9627967.42-9241.18-29171.670.710.4-0.069-3547.01
10-467297125497639.26241.7620928.86-10172.94-28647.010.610.4-0.071-3738.38

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.83. 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 52.8%, which is not acceptable. Avoid this strategy. Average return per trade is -0.13%, we advise you not to use 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-11-33435.28125665952.82388.948024.15-3239.07-14546.590.740.83-0.015-267.48
atrtrail34.37-16892614837111259154.5330940.29-4573.37-14920.8920.67-0.029-1141.39
atrtrail24.04-1860381483910926.358117.2220626.86-4611.09-14920.891.760.63-0.037-1257.01
atrnil25.73-2883171473711025.1711930.2723528.92-6633.97-14944.921.80.6-0.046-1961.34
atrnil37.66-3801771452412116.551744135293.37-6601.33-14944.922.640.52-0.055-2621.91
atrtrail-14.56-2887271483511323.656435.3223270.84-4548.34-14920.891.410.44-0.066-1950.85

In the table above, row 1 shows the best exit criterion. Profit factor is 0.83. 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 52.8%, which is not acceptable. Avoid this strategy. Average return per trade is -0.13%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HDFC Performance, X=1, Profit Factor:0.825

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019422 Jan 2019 (1.07%), 16 Apr 2019 (1.13%), 12 Jun 2019 (-0.71%), 10 Jul 2019 (-1.53%)
2018327 Apr 2018 (-1.59%), 01 Aug 2018 (1.94%), 10 Dec 2018 (0.07%)
2017715 Feb 2017 (0.4%), 07 Apr 2017 (1.16%), 08 May 2017 (0.39%), 21 Jun 2017 (-1.57%), 09 Aug 2017 (1.26%), 30 Aug 2017 (-1.01%), 14 Sep 2017 (0.16%)
2016423 May 2016 (-1.08%), 09 Jun 2016 (0.57%), 02 Aug 2016 (1.24%), 12 Sep 2016 (0.49%)
2015508 Jan 2015 (0.89%), 04 Feb 2015 (-1.14%), 10 Mar 2015 (-0.79%), 10 Jul 2015 (-3.15%), 29 Jul 2015 (-1.81%)
2014829 Jan 2014 (-0.48%), 22 Mar 2014 (-2.18%), 17 Apr 2014 (0.32%), 28 May 2014 (0.57%), 11 Jul 2014 (0.59%), 05 Aug 2014 (0.97%), 21 Aug 2014 (1.86%), 02 Dec 2014 (1.82%)
2013331 May 2013 (2.37%), 27 Sep 2013 (2.54%), 17 Oct 2013 (-3.05%)
2012601 Feb 2012 (0.46%), 23 Feb 2012 (3.55%), 24 Jul 2012 (-0.12%), 29 Aug 2012 (-1.62%), 26 Sep 2012 (-0.05%), 20 Nov 2012 (0.42%)
2011319 Apr 2011 (-2.94%), 15 Jul 2011 (-0.99%), 14 Nov 2011 (2.26%)
2010623 Mar 2010 (1.35%), 05 May 2010 (1.73%), 01 Jul 2010 (-0.03%), 21 Jul 2010 (-1.59%), 01 Sep 2010 (-1.52%), 07 Oct 2010 (1.16%)
2009728 Apr 2009 (-3.72%), 10 Jun 2009 (0.13%), 07 Jul 2009 (1.5%), 28 Jul 2009 (0.42%), 04 Sep 2009 (-2.36%), 09 Oct 2009 (-2.32%), 19 Nov 2009 (-2.45%)
2008414 Jan 2008 (2.03%), 13 May 2008 (-3.29%), 18 Aug 2008 (3.34%), 08 Sep 2008 (0.0%)
2007615 Feb 2007 (-0.2%), 07 May 2007 (1.53%), 09 Jul 2007 (0.36%), 13 Aug 2007 (2.13%), 09 Oct 2007 (0.02%), 05 Nov 2007 (0.87%)
2006716 Jan 2006 (1.2%), 15 Feb 2006 (-0.18%), 25 Aug 2006 (1.22%), 11 Sep 2006 (0.44%), 06 Oct 2006 (2.73%), 20 Oct 2006 (0.27%), 01 Dec 2006 (1.17%)
2005815 Feb 2005 (0.93%), 02 Jun 2005 (0.1%), 29 Jun 2005 (-4.57%), 13 Jul 2005 (1.09%), 04 Aug 2005 (1.33%), 19 Aug 2005 (1.52%), 26 Sep 2005 (-1.29%), 07 Dec 2005 (1.61%)
2004502 Jan 2004 (-1.27%), 06 Aug 2004 (0.35%), 27 Sep 2004 (-0.33%), 18 Oct 2004 (-1.59%), 08 Dec 2004 (-2.97%)
2003621 Jan 2003 (-0.96%), 14 Feb 2003 (-0.47%), 12 Jun 2003 (-5.29%), 01 Jul 2003 (2.74%), 26 Aug 2003 (-3.01%), 21 Oct 2003 (3.22%)
2002407 Mar 2002 (-0.41%), 31 Oct 2002 (-0.0%), 03 Dec 2002 (0.53%), 24 Dec 2002 (0.61%)
2001621 Feb 2001 (0.9%), 02 Apr 2001 (-1.75%), 11 May 2001 (-0.21%), 03 Jul 2001 (-0.93%), 13 Nov 2001 (-0.35%), 28 Nov 2001 (1.57%)
2000613 Jan 2000 (-0.95%), 10 Feb 2000 (-7.27%), 10 Mar 2000 (4.01%), 17 Apr 2000 (-2.84%), 09 Jun 2000 (1.13%), 21 Dec 2000 (-0.78%)
1999601 Feb 1999 (1.24%), 27 Jul 1999 (-2.82%), 26 Aug 1999 (-0.43%), 05 Oct 1999 (-2.55%), 26 Oct 1999 (0.52%), 22 Dec 1999 (1.25%)
1998227 Mar 1998 (1.59%), 13 Apr 1998 (-2.61%)
1997324 Jan 1997 (-1.78%), 13 Mar 1997 (0.32%), 14 May 1997 (-0.25%)
1996315 Jan 1996 (-0.77%), 26 Feb 1996 (0.14%), 12 Apr 1996 (-0.22%)
1995326 Jun 1995 (-0.72%), 28 Jul 1995 (-0.78%), 25 Oct 1995 (-1.93%)



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