Study: Sell HDFCBANK when there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell HDFCBANK when there is Bearish Crossover in MACD and ADX is Trending" 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
1-22756.5592484452.172579.6312744.79-3331.33-11641.440.770.84-0.013-247.35
2-14885.12924646504371.3116601.82-4694.9-11795.770.930.93-0.0058-161.79
3-32745.9792484452.174486.6524614.23-5638.76-22359.150.80.87-0.01-355.93
4-37855.82924646505333.3217085.8-6156.27-36091.550.870.87-0.01-411.48
5-62390.7692494353.265576.4922927.01-7805.55-43661.970.710.81-0.015-678.16
6-62041.3292494353.266015.5226034.61-8297.72-33098.590.720.83-0.014-674.36
7-17132.2691494253.856393.3120492.35-7866.77-38028.170.810.95-0.0041-188.27
82199.8391464550.557494.6524295.43-7612.32-35211.270.981.010.0004924.17
9-33871.1891454649.457647.0125795.05-8217.1-36091.550.930.91-0.0071-372.21
1017984.5791474451.658693.8834464.4-8877.91-32570.420.981.050.0035197.63
Although, strategy looks good but profit factor on day 5 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
atrtrail23.92-46447.94110357531.828785.2920195.8-4719.11-13507.481.860.87-0.011-422.25
atrnil25.89-120467109327729.3611871.3720195.8-6498.07-18394.651.830.76-0.025-1105.2
atrtrail34.41-85403.49108347431.487793.626499.43-4734.94-13507.481.650.76-0.02-790.77
atrnil38.03-202098107208718.6918014.4226499.43-6464.21-18394.652.790.64-0.038-1888.77
atrtrail-14.69-153571108337530.566144.725473.78-4751.29-13507.481.290.57-0.043-1421.96

In the table above, row 1 shows the best exit criterion. Profit factor is 0.87. 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 31.82%, which is not acceptable. Avoid this strategy. Average return per trade is -0.21%, 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, Profit Factor:0.869

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019304 Apr 2019 (-1.5%), 07 Oct 2019 (-2.76%), 09 Oct 2019 (-0.33%)
2018605 Feb 2018 (3.06%), 06 Feb 2018 (0.72%), 24 Jul 2018 (-1.41%), 09 Oct 2018 (-2.1%), 11 Dec 2018 (-1.73%), 21 Dec 2018 (-0.28%)
2017613 Feb 2017 (-1.31%), 23 Mar 2017 (0.25%), 09 May 2017 (-1.47%), 15 Jun 2017 (-1.27%), 09 Aug 2017 (-0.51%), 25 Sep 2017 (0.03%)
20161010 Feb 2016 (3.84%), 11 Feb 2016 (-1.77%), 18 May 2016 (-1.27%), 02 Jun 2016 (0.63%), 03 Aug 2016 (-0.34%), 29 Aug 2016 (-1.28%), 30 Aug 2016 (-1.34%), 14 Sep 2016 (-1.34%), 27 Sep 2016 (0.6%), 17 Nov 2016 (3.9%)
2015209 Feb 2015 (-2.34%), 24 Jul 2015 (-0.84%)
2014631 Mar 2014 (1.12%), 30 May 2014 (-3.31%), 02 Jun 2014 (-1.24%), 16 Sep 2014 (-1.08%), 16 Oct 2014 (-2.01%), 03 Dec 2014 (-1.01%)
2013414 May 2013 (-2.05%), 22 May 2013 (-1.34%), 28 Aug 2013 (-4.54%), 04 Sep 2013 (-4.54%)
2012724 Feb 2012 (-0.88%), 30 Apr 2012 (-2.07%), 04 May 2012 (4.41%), 17 Jul 2012 (1.11%), 08 Oct 2012 (-2.41%), 31 Oct 2012 (-1.05%), 13 Dec 2012 (0.46%)
2011515 Apr 2011 (-0.36%), 16 Jun 2011 (-0.02%), 14 Jul 2011 (-1.92%), 20 Jul 2011 (-0.65%), 13 Dec 2011 (7.27%)
2010408 Apr 2010 (-2.82%), 09 Apr 2010 (-1.63%), 06 Aug 2010 (-0.99%), 05 Oct 2010 (4.27%)
2009203 Jun 2009 (-5.47%), 20 Oct 2009 (4.97%)
2008117 Nov 2008 (3.3%)
2007627 Jul 2007 (-3.38%), 10 Oct 2007 (-3.17%), 18 Oct 2007 (-3.18%), 08 Nov 2007 (-0.48%), 10 Dec 2007 (-4.65%), 17 Dec 2007 (-1.9%)
2006417 Jul 2006 (-3.79%), 20 Oct 2006 (-3.46%), 01 Nov 2006 (-2.6%), 28 Nov 2006 (-3.24%)
2005215 Feb 2005 (-2.1%), 13 May 2005 (-3.97%)
2004601 Jan 2004 (-1.77%), 20 Jan 2004 (7.78%), 03 Jun 2004 (-5.53%), 30 Sep 2004 (-2.68%), 01 Oct 2004 (0.36%), 02 Dec 2004 (1.34%)
2003603 Jan 2003 (-1.49%), 30 Jan 2003 (-3.31%), 21 Feb 2003 (-0.69%), 18 Jul 2003 (8.63%), 22 Oct 2003 (-3.17%), 05 Nov 2003 (6.61%)
2002228 Jan 2002 (0.21%), 25 Sep 2002 (-1.82%)
2001315 Feb 2001 (-1.0%), 03 May 2001 (-3.49%), 04 Jul 2001 (-3.84%)
2000314 Feb 2000 (-3.72%), 16 Mar 2000 (-6.75%), 14 Jul 2000 (8.27%)
1999419 Jan 1999 (-4.43%), 24 May 1999 (-3.18%), 30 Jul 1999 (7.16%), 24 Dec 1999 (0.24%)
1998408 Jan 1998 (6.92%), 27 Jan 1998 (8.83%), 07 Jul 1998 (-5.61%), 29 Sep 1998 (-0.91%)
1997721 Jan 1997 (-5.12%), 22 Jan 1997 (-4.67%), 31 Jan 1997 (-2.13%), 17 Mar 1997 (7.8%), 15 May 1997 (-2.46%), 07 Aug 1997 (4.74%), 04 Nov 1997 (8.76%)
1996511 Jan 1996 (6.41%), 29 Feb 1996 (-1.62%), 30 Apr 1996 (-5.06%), 01 May 1996 (10.1%), 05 Jul 1996 (6.93%)
1995220 Oct 1995 (5.63%), 13 Nov 1995 (7.08%)



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