Study: Buy HDFC when RSI is below 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 below 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
118510.3760322853.333460.7218141.26-3294.02-14978.271.051.20.013308.51
235166.2860342656.675423.921269.65-5740.25-31637.340.941.240.014586.1
310377059382164.416657.9836619.72-7106.32-40513.380.941.70.0331758.82
415155459372262.718242.5438742.6-6973.63-51413.821.181.990.0442568.71
516643059352459.329155.1134537.66-6416.62-43895.41.432.080.0482820.85
624834259431672.889281.2433067.97-9421.95-47657.140.992.650.0674209.19
732505859441574.589944.7933683.25-7500.89-32092.731.333.890.0995509.45
832621859421771.1910370.7529575.54-6432.59-31041.191.613.980.15529.11
937242359421771.1910786.6227476.04-4742.07-14133.752.275.620.136312.25
1038246159392066.113012.4732440.54-6251.25-22818.522.084.060.116482.4
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
HDFC Performance, X=9, Profit Factor:5.62

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019106 Mar 2019 (4.38%)
2018303 Jan 2018 (8.53%), 31 Aug 2018 (-0.54%), 15 Oct 2018 (-1.99%)
2017123 Nov 2017 (-3.3%)
2016427 Jan 2016 (-0.86%), 01 Mar 2016 (3.92%), 30 Nov 2016 (1.22%), 28 Dec 2016 (-1.67%)
2015313 May 2015 (1.73%), 17 Jun 2015 (7.96%), 09 Sep 2015 (-1.74%)
2014202 Jan 2014 (7.0%), 20 Feb 2014 (5.84%)
2013308 Feb 2013 (0.77%), 17 Apr 2013 (8.16%), 02 Sep 2013 (10.27%)
2012314 Mar 2012 (-1.47%), 28 Mar 2012 (2.79%), 28 Jun 2012 (5.22%)
2011127 May 2011 (-0.23%)
2010304 Feb 2010 (1.88%), 01 Jun 2010 (4.82%), 07 Dec 2010 (-0.24%)
2009130 Dec 2009 (-4.98%)
2008510 Apr 2008 (12.81%), 23 Jun 2008 (-7.07%), 18 Jul 2008 (10.2%), 21 Oct 2008 (-2.85%), 28 Nov 2008 (11.22%)
2007114 Mar 2007 (-2.42%)
2006328 Apr 2006 (7.01%), 09 Jun 2006 (-6.96%), 23 Jun 2006 (9.91%)
2005113 Apr 2005 (0.46%)
2004426 Mar 2004 (7.83%), 27 May 2004 (6.96%), 08 Jul 2004 (2.93%), 30 Aug 2004 (10.01%)
2002224 Jan 2002 (1.06%), 04 Sep 2002 (-0.11%)
2000225 Jul 2000 (0.87%), 12 Oct 2000 (2.79%)
1999204 May 1999 (7.53%), 30 Nov 1999 (5.78%)
1998619 Feb 1998 (11.35%), 22 May 1998 (1.11%), 26 Jun 1998 (1.56%), 02 Sep 1998 (0.59%), 29 Oct 1998 (0.02%), 31 Dec 1998 (13.74%)
1997227 Aug 1997 (-3.17%), 20 Nov 1997 (2.29%)
1996301 Aug 1996 (2.19%), 16 Oct 1996 (5.94%), 10 Dec 1996 (3.53%)
1995305 Apr 1995 (-0.72%), 10 May 1995 (6.7%), 08 Dec 1995 (5.64%)

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
atrtrail35.3321580967353252.2410935.0338332.02-5216.15-15122.52.12.290.063221.04
atrtrail-16.0620360067353252.2410586.230648.55-5216.15-15122.52.032.220.0593038.81
atrtrail24.6418566867353252.2410073.8629635.8-5216.15-15122.51.932.110.0592771.17
atrnil310.2123926766254137.8821103.158531.35-7031.97-15122.531.830.0473625.26
atrnil27.3716976467313646.2713744.539020.9-7119.86-15122.51.931.660.0442533.8

In the table above, row 1 shows the best exit criterion. Profit factor is 2.29. 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 52.24%, which is not acceptable. Avoid this strategy. Average return per trade is 1.61%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.06, 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:2.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019106 Mar 2019 (5.42%)
2018303 Jan 2018 (4.49%), 31 Aug 2018 (-0.66%), 15 Oct 2018 (-1.87%)
2017209 Jan 2017 (0.64%), 23 Nov 2017 (-0.53%)
2016527 Jan 2016 (-2.53%), 28 Jan 2016 (0.66%), 01 Mar 2016 (4.32%), 30 Nov 2016 (-2.25%), 28 Dec 2016 (-0.32%)
2015313 May 2015 (2.63%), 17 Jun 2015 (8.08%), 09 Sep 2015 (-1.23%)
2014202 Jan 2014 (7.41%), 20 Feb 2014 (7.15%)
2013408 Feb 2013 (-0.06%), 17 Apr 2013 (8.91%), 02 Sep 2013 (-4.66%), 03 Sep 2013 (15.15%)
2012314 Mar 2012 (-2.44%), 27 Mar 2012 (0.84%), 28 Jun 2012 (4.71%)
2011127 May 2011 (2.35%)
2010404 Feb 2010 (-3.72%), 01 Jun 2010 (-0.91%), 07 Dec 2010 (-2.83%), 20 Dec 2010 (3.34%)
2009130 Dec 2009 (-1.66%)
2008510 Apr 2008 (19.17%), 23 Jun 2008 (-3.59%), 18 Jul 2008 (7.42%), 21 Oct 2008 (-7.56%), 28 Nov 2008 (2.6%)
2007114 Mar 2007 (-1.5%)
2006328 Apr 2006 (-2.55%), 09 Jun 2006 (-6.12%), 22 Jun 2006 (-6.9%)
2005313 Apr 2005 (-3.16%), 15 Apr 2005 (-3.28%), 20 Apr 2005 (1.53%)
2004426 Mar 2004 (10.43%), 27 May 2004 (1.86%), 08 Jul 2004 (4.63%), 30 Aug 2004 (7.78%)
2002324 Jan 2002 (-0.54%), 04 Sep 2002 (-2.89%), 05 Sep 2002 (0.17%)
2000225 Jul 2000 (-2.78%), 12 Oct 2000 (-3.45%)
1999204 May 1999 (13.26%), 30 Nov 1999 (15.04%)
1998619 Feb 1998 (7.18%), 22 May 1998 (-2.61%), 26 Jun 1998 (3.25%), 02 Sep 1998 (-1.1%), 29 Oct 1998 (-1.46%), 31 Dec 1998 (9.39%)
1997227 Aug 1997 (-3.05%), 20 Nov 1997 (0.78%)
1996301 Aug 1996 (3.87%), 16 Oct 1996 (5.88%), 10 Dec 1996 (0.03%)
1995405 Apr 1995 (0.79%), 10 May 1995 (-3.18%), 08 Dec 1995 (-2.08%), 11 Dec 1995 (0.21%)



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