Study: Sell HDFCBANK when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell HDFCBANK when 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 HDFCBANK 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
1-58450.920110110050.252577.4116077.31-3187.69-17901.090.810.82-0.014-290.8
2-1462012019610547.763760.0516601.82-4830.15-28372.920.780.71-0.025-727.37
3-1801452019610547.764532.2924614.23-5859.48-28455.280.770.71-0.025-896.24
4-3012242019310846.275042.4829556.39-7131.25-46806.040.710.61-0.034-1498.63
5-3495112019610547.765346.6522927.01-8217.05-43661.970.650.59-0.037-1738.86
6-3305962019710448.265949.1426034.61-8727.52-43689.320.680.64-0.033-1644.76
7-3379202019510647.266221.5820492.35-8763.87-48543.690.710.64-0.034-1681.2
8-3236632019011144.787445.6224295.43-8952.87-43689.320.830.67-0.029-1610.26
9-3376662019310846.277473.525795.05-9562.05-38570.080.780.67-0.03-1679.93
10-3790132018911244.287917.6634464.4-9675.76-45343.370.820.65-0.033-1885.64

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.82. 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 50.25%, which is not acceptable. Avoid this strategy. Average return per trade is -0.15%, 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-11-58450.920110110050.252577.4116077.31-3187.69-17901.090.810.82-0.014-290.8
atrtrail24.01-2422382446517926.649633.1923462.71-4851.37-13507.481.990.72-0.026-992.78
atrnil26-3554052396417526.7812418.9123462.71-6572.66-18394.651.890.69-0.034-1487.05
atrtrail34.43-3190262406217825.838621.4729453.13-4795.27-13507.481.80.63-0.035-1329.28
atrnil38.12-4882282304118917.8318407.3935194.07-6576.36-18394.652.80.61-0.042-2122.73
atrtrail-14.72-4334962396117825.526836.0437119.41-4778.06-13507.481.430.49-0.055-1813.79

In the table above, row 1 shows the best exit criterion. Profit factor is 0.82. 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 50.25%, which is not acceptable. Avoid this strategy. Average return per trade is -0.15%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HDFCBANK Performance, X=1, Profit Factor:0.817

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019718 Feb 2019 (0.28%), 04 Apr 2019 (-0.95%), 09 May 2019 (-0.24%), 12 Jun 2019 (-0.73%), 08 Jul 2019 (1.26%), 19 Sep 2019 (-8.95%), 07 Oct 2019 (-3.48%)
20181201 Jan 2018 (-0.96%), 05 Feb 2018 (0.89%), 01 Mar 2018 (0.23%), 20 Mar 2018 (-1.05%), 25 Apr 2018 (-0.49%), 22 May 2018 (1.13%), 08 Jun 2018 (0.34%), 03 Jul 2018 (-1.61%), 24 Jul 2018 (-0.49%), 09 Oct 2018 (-1.37%), 29 Oct 2018 (0.7%), 11 Dec 2018 (-1.25%)
2017813 Feb 2017 (-0.07%), 23 Mar 2017 (0.46%), 09 May 2017 (-1.05%), 15 Jun 2017 (-0.29%), 09 Aug 2017 (0.23%), 25 Sep 2017 (0.41%), 25 Oct 2017 (-0.01%), 05 Dec 2017 (0.94%)
20161006 Jan 2016 (1.02%), 10 Feb 2016 (3.72%), 12 Apr 2016 (-1.76%), 18 May 2016 (0.12%), 02 Jun 2016 (0.27%), 03 Aug 2016 (-0.04%), 29 Aug 2016 (-2.47%), 14 Sep 2016 (-0.8%), 28 Sep 2016 (1.37%), 17 Nov 2016 (1.53%)
2015706 Jan 2015 (-0.29%), 09 Feb 2015 (-1.38%), 17 Apr 2015 (1.29%), 05 Jun 2015 (0.82%), 24 Jul 2015 (1.08%), 30 Oct 2015 (1.5%), 07 Dec 2015 (1.2%)
2014927 Jan 2014 (0.73%), 31 Mar 2014 (1.43%), 30 May 2014 (-3.36%), 18 Jun 2014 (1.09%), 08 Jul 2014 (-0.13%), 28 Jul 2014 (-1.12%), 16 Sep 2014 (0.54%), 16 Oct 2014 (-3.07%), 03 Dec 2014 (-0.89%)
2013726 Feb 2013 (1.31%), 19 Mar 2013 (0.96%), 14 May 2013 (-3.74%), 25 Jul 2013 (1.49%), 28 Aug 2013 (-1.8%), 26 Sep 2013 (1.97%), 17 Dec 2013 (-1.32%)
2012724 Feb 2012 (1.72%), 30 Apr 2012 (-1.36%), 17 Jul 2012 (-0.64%), 17 Aug 2012 (-0.22%), 08 Oct 2012 (-0.81%), 31 Oct 2012 (0.88%), 13 Dec 2012 (0.33%)
2011910 Jan 2011 (0.26%), 18 Mar 2011 (-0.24%), 15 Apr 2011 (2.17%), 24 May 2011 (0.02%), 16 Jun 2011 (-0.27%), 14 Jul 2011 (-0.59%), 23 Sep 2011 (1.38%), 09 Nov 2011 (2.77%), 13 Dec 2011 (0.92%)
2010814 Jan 2010 (-0.61%), 08 Apr 2010 (-2.45%), 29 Jun 2010 (-0.77%), 06 Aug 2010 (0.42%), 27 Aug 2010 (0.35%), 05 Oct 2010 (-0.37%), 19 Nov 2010 (-3.31%), 08 Dec 2010 (2.12%)
2009813 Jan 2009 (1.14%), 19 Feb 2009 (2.04%), 28 Apr 2009 (-2.66%), 03 Jun 2009 (-1.32%), 29 Jul 2009 (-3.22%), 02 Sep 2009 (0.23%), 20 Oct 2009 (1.79%), 10 Dec 2009 (-0.0%)
2008516 Jan 2008 (1.8%), 12 May 2008 (-0.83%), 21 Aug 2008 (-2.37%), 10 Sep 2008 (1.78%), 17 Nov 2008 (2.28%)
20071008 Jan 2007 (1.08%), 14 Feb 2007 (-2.41%), 15 Mar 2007 (1.62%), 03 Apr 2007 (-1.19%), 08 May 2007 (-0.34%), 07 Jun 2007 (1.32%), 27 Jul 2007 (0.04%), 10 Oct 2007 (-3.09%), 08 Nov 2007 (1.23%), 10 Dec 2007 (-5.49%)
2006823 Jan 2006 (0.5%), 14 Feb 2006 (0.55%), 22 Mar 2006 (2.03%), 27 Apr 2006 (0.83%), 15 May 2006 (-0.49%), 14 Jul 2006 (3.0%), 20 Oct 2006 (-0.08%), 28 Nov 2006 (-0.01%)
2005724 Jan 2005 (-5.95%), 15 Feb 2005 (0.09%), 18 Apr 2005 (-2.1%), 13 May 2005 (-1.24%), 24 Jun 2005 (-2.95%), 15 Jul 2005 (0.45%), 06 Dec 2005 (-1.92%)
20041001 Jan 2004 (1.04%), 20 Jan 2004 (0.19%), 23 Feb 2004 (-1.18%), 10 Mar 2004 (0.61%), 19 Apr 2004 (0.94%), 03 Jun 2004 (-1.45%), 30 Jun 2004 (-0.51%), 03 Aug 2004 (-0.04%), 30 Sep 2004 (-2.18%), 02 Dec 2004 (1.16%)
20031003 Jan 2003 (0.28%), 30 Jan 2003 (-4.47%), 21 Feb 2003 (1.04%), 12 May 2003 (-0.58%), 17 Jun 2003 (0.51%), 18 Jul 2003 (-0.13%), 13 Aug 2003 (1.91%), 29 Aug 2003 (-1.0%), 22 Oct 2003 (0.38%), 05 Nov 2003 (0.5%)
2002908 Jan 2002 (-0.72%), 28 Jan 2002 (1.39%), 01 Mar 2002 (0.13%), 29 Apr 2002 (0.09%), 10 Jun 2002 (-0.34%), 09 Jul 2002 (-0.29%), 08 Aug 2002 (-0.29%), 25 Sep 2002 (0.19%), 11 Dec 2002 (-3.22%)
2001715 Feb 2001 (2.81%), 03 May 2001 (0.49%), 25 May 2001 (-1.56%), 04 Jul 2001 (-0.62%), 09 Aug 2001 (-0.92%), 30 Oct 2001 (0.14%), 05 Dec 2001 (-1.86%)
2000814 Feb 2000 (2.51%), 16 Mar 2000 (0.45%), 22 May 2000 (6.07%), 14 Jul 2000 (4.31%), 22 Aug 2000 (-1.0%), 15 Sep 2000 (8.04%), 09 Nov 2000 (-0.08%), 26 Dec 2000 (-1.35%)
19991119 Jan 1999 (-0.89%), 25 Feb 1999 (2.43%), 16 Mar 1999 (-1.41%), 15 Apr 1999 (-8.06%), 24 May 1999 (-1.14%), 30 Jul 1999 (1.24%), 03 Sep 1999 (-0.64%), 20 Sep 1999 (1.75%), 04 Oct 1999 (-1.16%), 21 Oct 1999 (-1.63%), 24 Dec 1999 (6.37%)
1998908 Jan 1998 (2.08%), 27 Jan 1998 (2.13%), 31 Mar 1998 (-3.56%), 27 Apr 1998 (-0.64%), 07 Jul 1998 (-5.28%), 27 Jul 1998 (-3.23%), 14 Aug 1998 (-0.08%), 29 Sep 1998 (-2.45%), 27 Nov 1998 (-0.89%)
1997621 Jan 1997 (-5.82%), 17 Mar 1997 (1.75%), 15 May 1997 (0.25%), 07 Aug 1997 (0.86%), 22 Sep 1997 (0.44%), 04 Nov 1997 (2.45%)
1996711 Jan 1996 (0.18%), 29 Feb 1996 (-1.47%), 30 Apr 1996 (-2.26%), 05 Jul 1996 (-0.52%), 14 Aug 1996 (0.7%), 20 Sep 1996 (0.41%), 19 Nov 1996 (0.52%)
1995220 Oct 1995 (0.29%), 13 Nov 1995 (3.66%)



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