Study: Sell HDFCBANK when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell HDFCBANK when RSI is below 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 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
1-11508.711005446542965.2816077.31-3731.17-17901.090.790.93-0.0049-115.09
2-92109.931004852484424.6912954.44-5855.67-28372.920.760.7-0.027-921.1
3-1193871004654465266.3824614.23-6697.05-27746.240.790.67-0.029-1193.87
4-1988911004456445750.7829556.39-8070.09-36091.550.710.56-0.041-1988.91
5-2550431004456446388.2122927.01-9573.65-43661.970.670.52-0.046-2550.43
6-2773141004654466236.7621581.5-10448.25-43689.320.60.51-0.048-2773.14
7-3335791004456446298.520492.35-10905.59-48543.690.580.45-0.055-3335.79
8-3738631004060407379.5823542.5-11150.77-43689.320.660.44-0.059-3738.63
9-3229481004456447476.7525795.05-11641.51-47403.670.640.5-0.05-3229.48
10-3114151004159418744.8534464.4-11355.14-59157.610.770.54-0.045-3114.15

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.93. 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 54%, which is not acceptable. Avoid this strategy. Average return per trade is -0.058%, 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-11-11508.711005446542965.2816077.31-3731.17-17901.090.790.93-0.0049-115.09
atrnil25.16-157035113347930.0912000.3223462.71-7152.48-18394.651.680.72-0.03-1389.69
atrtrail23.64-143520115318426.9610180.4823462.71-5465.65-13055.971.860.69-0.031-1248
atrnil38.26-237918103208319.4218004.9435194.07-7205.03-18394.652.50.6-0.044-2309.89
atrtrail34.11-203168112308226.797996.4526499.43-5403.19-13055.971.480.54-0.049-1814
atrtrail-14.32-218242111308127.037193.225473.78-5358.49-13055.971.340.5-0.057-1966.14

In the table above, row 1 shows the best exit criterion. Profit factor is 0.93. 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 54%, which is not acceptable. Avoid this strategy. Average return per trade is -0.058%, 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:0.933

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019318 Feb 2019 (0.28%), 08 Jul 2019 (1.26%), 19 Sep 2019 (-8.95%)
2018605 Feb 2018 (0.89%), 01 Mar 2018 (0.23%), 20 Mar 2018 (-1.05%), 23 May 2018 (-0.94%), 09 Oct 2018 (-1.37%), 29 Oct 2018 (0.7%)
2017325 Sep 2017 (0.41%), 25 Oct 2017 (-0.01%), 05 Dec 2017 (0.94%)
2016306 Jan 2016 (1.02%), 10 Feb 2016 (3.72%), 17 Nov 2016 (1.53%)
2015506 Jan 2015 (-0.29%), 17 Apr 2015 (1.29%), 05 Jun 2015 (0.82%), 02 Nov 2015 (-0.17%), 07 Dec 2015 (1.2%)
2014227 Jan 2014 (0.73%), 16 Oct 2014 (-3.07%)
2013626 Feb 2013 (1.31%), 19 Mar 2013 (0.96%), 25 Jul 2013 (1.49%), 28 Aug 2013 (-1.8%), 26 Sep 2013 (1.97%), 17 Dec 2013 (-1.32%)
2012107 May 2012 (3.18%)
2011610 Jan 2011 (0.26%), 18 Mar 2011 (-0.24%), 24 May 2011 (0.02%), 23 Sep 2011 (1.38%), 11 Nov 2011 (-1.58%), 13 Dec 2011 (0.92%)
2010414 Jan 2010 (-0.61%), 29 Jun 2010 (-0.77%), 19 Nov 2010 (-3.31%), 08 Dec 2010 (2.12%)
2009413 Jan 2009 (1.14%), 19 Feb 2009 (2.04%), 29 Jul 2009 (-3.22%), 02 Sep 2009 (0.23%)
2008316 Jan 2008 (1.8%), 21 Aug 2008 (-2.37%), 17 Nov 2008 (2.28%)
2007708 Jan 2007 (1.08%), 14 Feb 2007 (-2.41%), 15 Mar 2007 (1.62%), 03 Apr 2007 (-1.19%), 27 Jul 2007 (0.04%), 19 Oct 2007 (-0.41%), 18 Dec 2007 (0.52%)
2006223 Mar 2006 (0.96%), 14 Jul 2006 (3.0%)
2005324 Jan 2005 (-5.95%), 18 Apr 2005 (-2.1%), 13 May 2005 (-1.24%)
2004320 Apr 2004 (0.49%), 03 Jun 2004 (-1.45%), 03 Aug 2004 (-0.04%)
2003214 Aug 2003 (-3.97%), 29 Aug 2003 (-1.0%)
2002808 Jan 2002 (-0.72%), 28 Jan 2002 (1.39%), 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%)
2001503 May 2001 (0.49%), 25 May 2001 (-1.56%), 04 Jul 2001 (-0.62%), 30 Oct 2001 (0.14%), 14 Dec 2001 (1.58%)
2000522 May 2000 (6.07%), 17 Jul 2000 (1.61%), 22 Aug 2000 (-1.0%), 15 Sep 2000 (8.04%), 26 Dec 2000 (-1.35%)
1999419 Jan 1999 (-0.89%), 25 Feb 1999 (2.43%), 16 Mar 1999 (-1.41%), 21 Sep 1999 (-6.35%)
1998809 Jan 1998 (6.36%), 27 Jan 1998 (2.13%), 31 Mar 1998 (-3.56%), 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%)
1997122 Sep 1997 (0.44%)
1996411 Jan 1996 (0.18%), 29 Feb 1996 (-1.47%), 14 Aug 1996 (0.7%), 20 Sep 1996 (0.41%)
1995220 Oct 1995 (0.29%), 13 Nov 1995 (3.66%)



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