Study: Buy HDFCBANK when RSI is above 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy HDFCBANK when RSI is above 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 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. 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
179877.84176878949.433893.8840823.33-2908.87-10435.721.341.310.017453.85
2183808176869048.866339.3436706.69-4015.28-15858.071.581.510.0271044.36
3219187176829446.597394.5254545.45-4118.76-18756.431.81.570.0271245.38
4203936175829346.868065.6568149.65-4918.79-18170.581.641.450.0231165.35
5214687175898650.868211.7489686.55-6001.84-22991.351.371.420.0211226.78
6323809175938253.148850.91112942-6089.33-29180.241.451.650.0291850.34
73279591759877568825.37109707-6973.08-38327.051.271.610.0291874.05
83246071759877569380.18101517-7722.73-31672.131.211.550.0291854.9
941585017598775610546.2123761-8021.78-35509.821.311.670.0332376.29
10527277175997656.5711585.44117492-8153.7-41001.211.421.850.043013.01
Although, strategy looks good but profit factor on day 1 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
atrtrail23.821335362128113138.219932.9225663.01-5122.37-16579.311.941.20.015629.89
atrnil25.71316622017612537.8112151.5225663.01-6334.83-16579.311.921.170.014655.03
atrtrail-14.9698290.312007312736.510121.36100529-5043.85-16579.312.011.150.0089491.45
atrnil38.331256851835412929.5117738.2937180.17-6451.02-16579.312.751.150.012686.81
atrtrail34.4564169.772027312936.149828.2933828.3-5064.3-16579.311.941.10.0071317.67

In the table above, row 1 shows the best exit criterion. Profit factor is 1.2. 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 38.21%, which is not acceptable. Avoid this strategy. Average return per trade is 0.31%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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, Profit Factor:1.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019606 Feb 2019 (-0.38%), 07 Mar 2019 (2.89%), 02 May 2019 (-1.01%), 20 May 2019 (-1.66%), 01 Jul 2019 (-1.1%), 23 Sep 2019 (-2.49%)
20181115 Jan 2018 (2.45%), 27 Feb 2018 (-1.53%), 15 Mar 2018 (-1.41%), 02 May 2018 (-0.57%), 30 May 2018 (2.99%), 31 May 2018 (-1.7%), 25 Jun 2018 (0.24%), 05 Jul 2018 (3.03%), 01 Oct 2018 (-1.79%), 15 Oct 2018 (-2.13%), 18 Dec 2018 (-1.6%)
20171021 Mar 2017 (-1.26%), 21 Apr 2017 (2.65%), 24 Apr 2017 (-1.11%), 25 May 2017 (2.8%), 20 Jul 2017 (2.53%), 11 Sep 2017 (0.79%), 13 Oct 2017 (-0.37%), 20 Nov 2017 (0.78%), 15 Dec 2017 (-1.37%), 18 Dec 2017 (-1.26%)
2016829 Jan 2016 (-1.04%), 02 Mar 2016 (-1.35%), 18 Apr 2016 (3.28%), 26 May 2016 (-1.29%), 11 Jul 2016 (2.95%), 25 Aug 2016 (-1.27%), 31 Aug 2016 (-0.62%), 22 Sep 2016 (-0.84%)
2015509 Jan 2015 (-1.64%), 09 Apr 2015 (-2.02%), 19 Jun 2015 (3.72%), 27 Nov 2015 (-1.21%), 17 Dec 2015 (-0.51%)
20141313 Jan 2014 (-1.04%), 17 Feb 2014 (0.83%), 09 May 2014 (4.14%), 12 May 2014 (-2.2%), 03 Jun 2014 (-0.01%), 04 Jul 2014 (-2.12%), 07 Jul 2014 (-2.22%), 24 Jul 2014 (-2.07%), 18 Aug 2014 (3.66%), 30 Sep 2014 (-1.82%), 20 Oct 2014 (0.39%), 23 Dec 2014 (-1.7%), 24 Dec 2014 (0.52%)
2013712 Feb 2013 (0.2%), 11 Mar 2013 (-1.96%), 16 May 2013 (-2.06%), 01 Jul 2013 (-2.56%), 05 Sep 2013 (9.19%), 09 Oct 2013 (-0.85%), 02 Dec 2013 (5.02%)
2012602 Apr 2012 (-2.26%), 03 May 2012 (-2.03%), 07 Aug 2012 (-0.33%), 14 Sep 2012 (-1.52%), 29 Oct 2012 (-2.03%), 12 Nov 2012 (-1.68%)
2011925 Mar 2011 (4.94%), 20 May 2011 (-2.26%), 27 May 2011 (4.32%), 27 Jun 2011 (3.72%), 18 Jul 2011 (-1.88%), 30 Aug 2011 (0.12%), 13 Oct 2011 (1.53%), 02 Dec 2011 (-2.98%), 26 Dec 2011 (-3.58%)
20101008 Jan 2010 (-2.22%), 18 Jan 2010 (-1.62%), 03 Jun 2010 (-2.48%), 09 Jul 2010 (4.15%), 18 Aug 2010 (-0.2%), 09 Sep 2010 (3.9%), 04 Nov 2010 (-2.16%), 23 Nov 2010 (-2.82%), 02 Dec 2010 (-2.5%), 29 Dec 2010 (0.1%)
20091010 Feb 2009 (-4.17%), 04 May 2009 (-4.44%), 18 May 2009 (-5.2%), 19 May 2009 (-3.03%), 11 Jun 2009 (-4.14%), 22 Jul 2009 (-2.9%), 31 Jul 2009 (-3.61%), 19 Aug 2009 (-0.59%), 09 Sep 2009 (5.34%), 11 Nov 2009 (1.1%)
2008511 Jan 2008 (-2.3%), 15 Feb 2008 (-5.17%), 25 Mar 2008 (-4.02%), 29 Aug 2008 (-0.25%), 04 Nov 2008 (-8.29%)
2007815 Jan 2007 (-3.09%), 09 Apr 2007 (-1.86%), 16 May 2007 (6.37%), 02 Jul 2007 (5.53%), 28 Aug 2007 (-0.63%), 16 Oct 2007 (-3.27%), 25 Oct 2007 (9.46%), 04 Dec 2007 (0.11%)
20061131 Jan 2006 (-3.01%), 01 Feb 2006 (1.05%), 03 Mar 2006 (-2.6%), 31 Mar 2006 (6.44%), 26 Jul 2006 (9.45%), 01 Sep 2006 (-2.16%), 27 Sep 2006 (5.1%), 28 Sep 2006 (-2.72%), 30 Oct 2006 (-3.21%), 13 Nov 2006 (5.44%), 29 Dec 2006 (-3.08%)
20051019 Jan 2005 (-3.57%), 20 Jan 2005 (-3.66%), 27 Jan 2005 (8.19%), 07 Mar 2005 (1.03%), 07 Apr 2005 (-3.6%), 30 Jun 2005 (-2.93%), 01 Jul 2005 (-0.79%), 26 Jul 2005 (7.52%), 09 Sep 2005 (6.39%), 14 Dec 2005 (-2.59%)
20041316 Jan 2004 (-3.75%), 11 Feb 2004 (-2.59%), 01 Mar 2004 (-0.32%), 29 Mar 2004 (-3.75%), 30 Mar 2004 (7.72%), 25 May 2004 (-4.73%), 08 Jun 2004 (-0.82%), 21 Jul 2004 (-1.24%), 11 Aug 2004 (-2.41%), 25 Aug 2004 (-1.11%), 04 Oct 2004 (-2.43%), 01 Nov 2004 (4.25%), 24 Dec 2004 (1.85%)
20031120 Jan 2003 (4.86%), 03 Feb 2003 (7.39%), 07 Apr 2003 (-3.59%), 16 May 2003 (-2.57%), 04 Jun 2003 (5.88%), 01 Jul 2003 (6.01%), 06 Aug 2003 (-3.7%), 19 Aug 2003 (-1.01%), 01 Oct 2003 (6.23%), 03 Nov 2003 (-3.23%), 01 Dec 2003 (6.2%)
2002402 Jan 2002 (5.73%), 14 Feb 2002 (5.56%), 13 Dec 2002 (5.16%), 16 Dec 2002 (5.51%)
2001507 May 2001 (-3.64%), 12 Jul 2001 (2.35%), 17 Aug 2001 (-2.55%), 15 Nov 2001 (0.94%), 07 Dec 2001 (-2.72%)
2000821 Jan 2000 (11.28%), 03 Mar 2000 (-5.96%), 06 Mar 2000 (-4.45%), 26 Apr 2000 (-5.98%), 06 Jun 2000 (12.83%), 08 Aug 2000 (-5.54%), 29 Sep 2000 (-2.42%), 12 Dec 2000 (6.66%)
19991519 Feb 1999 (-4.71%), 03 Mar 1999 (9.84%), 24 Mar 1999 (10.68%), 09 Jul 1999 (7.29%), 12 Jul 1999 (7.37%), 24 Aug 1999 (-3.9%), 25 Aug 1999 (-3.52%), 07 Sep 1999 (7.94%), 08 Sep 1999 (7.88%), 30 Sep 1999 (-4.82%), 01 Oct 1999 (-5.14%), 12 Oct 1999 (-5.21%), 13 Oct 1999 (-3.93%), 26 Nov 1999 (7.84%), 29 Nov 1999 (7.8%)
1998721 Jan 1998 (-4.36%), 03 Apr 1998 (7.44%), 06 Apr 1998 (-3.86%), 12 Aug 1998 (-5.08%), 19 Aug 1998 (-4.63%), 07 Sep 1998 (8.33%), 11 Nov 1998 (-4.48%)
19971228 Jan 1997 (-4.35%), 01 Mar 1997 (6.66%), 03 Mar 1997 (7.03%), 09 Apr 1997 (-3.78%), 10 Apr 1997 (-1.65%), 04 Jun 1997 (-0.77%), 08 Jul 1997 (5.06%), 09 Jul 1997 (5.33%), 05 Sep 1997 (-2.19%), 29 Sep 1997 (-2.78%), 30 Sep 1997 (-3.23%), 08 Dec 1997 (-3.56%)
1996802 Feb 1996 (7.44%), 12 Feb 1996 (-4.66%), 29 Mar 1996 (7.8%), 03 Jun 1996 (6.56%), 07 Aug 1996 (-3.74%), 27 Aug 1996 (-0.07%), 22 Oct 1996 (6.61%), 17 Dec 1996 (4.6%)



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