Study: Sell HDFCBANK when RSI is below 50 and 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 RSI is below 50 and 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
117670.9129171258.623444.3712715.23-3406.95-10563.381.011.430.027609.34
216229.3829181162.075365.7211084.41-7304.87-17835.840.731.20.016559.63
318480.3929191065.525756.0524614.23-9088.46-22359.150.631.20.014637.25
48741.8929151451.727935.2217085.8-7877.6-36091.551.011.080.0056301.44
55431.0729151451.729221.8922927.01-9492.67-43661.970.971.040.0029187.28
6-42635.0229161355.177992.4821581.5-13116.52-41072.930.610.75-0.022-1470.17
7-38296.2529161355.178024.8320492.35-12822.58-38028.170.630.77-0.019-1320.56
8-60724.1329151451.728569.3421201.41-13518.88-42017.050.630.68-0.028-2093.94
9-54169.6729161355.178828.6525795.05-15032.93-47403.670.590.72-0.024-1867.92
10-20164.4929161355.1711827.1934464.4-16107.66-59157.610.730.9-0.0075-695.33

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.43. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 58.62%, which is not acceptable. Avoid this strategy. Average return per trade is 0.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study.

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-1117670.9129171258.623444.3712715.23-3406.95-10563.381.011.430.027609.34
atrtrail23.4125163.3532151746.889436.2817666.29-6845.94-11228.961.381.220.017786.35
atrnil25.5612209.8732141843.7511820.9317666.29-8515.73-18394.651.391.080.0073381.56
atrtrail34.3-2242.3830141646.677899.3826499.43-7052.11-11228.961.120.98-0.0017-74.75
atrtrail-14.8-2735.4430141646.677864.1625473.78-7052.11-11228.961.120.98-0.002-91.18
atrnil39-26540.43082226.6718907.3626499.43-8081.78-18394.652.340.85-0.014-884.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.43. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 58.62%, which is not acceptable. Avoid this strategy. Average return per trade is 0.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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.
HDFCBANK Performance, X=1, Profit Factor:1.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018205 Feb 2018 (0.89%), 09 Oct 2018 (-1.37%)
2017125 Sep 2017 (0.41%)
2016210 Feb 2016 (3.72%), 17 Nov 2016 (1.53%)
2014116 Oct 2014 (-3.07%)
2013128 Aug 2013 (-1.8%)
2012107 May 2012 (3.18%)
2011113 Dec 2011 (0.92%)
2008117 Nov 2008 (2.28%)
2007227 Jul 2007 (0.04%), 19 Oct 2007 (-0.41%)
2006117 Jul 2006 (-0.4%)
2005113 May 2005 (-1.24%)
2004103 Jun 2004 (-1.45%)
2002228 Jan 2002 (1.39%), 25 Sep 2002 (0.19%)
2001203 May 2001 (0.49%), 04 Jul 2001 (-0.62%)
2000117 Jul 2000 (1.61%)
1999119 Jan 1999 (-0.89%)
1998409 Jan 1998 (6.36%), 27 Jan 1998 (2.13%), 07 Jul 1998 (-5.28%), 29 Sep 1998 (-2.45%)
1996211 Jan 1996 (0.18%), 29 Feb 1996 (-1.47%)
1995220 Oct 1995 (0.29%), 13 Nov 1995 (3.66%)



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