Study: Sell HDFCBANK when RSI is above 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 above 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
1-61855.32119546545.382399.7912744.79-2945.3-16116.650.810.68-0.028-519.79
2-104257119556446.223192.8416601.82-4372.87-23799.970.730.63-0.034-876.11
3-153463119556446.223854.9614967.46-5710.72-28455.280.680.58-0.039-1289.61
4-184378119556446.224452.3513130.17-6707.14-46806.040.660.57-0.039-1549.39
5-198659119586148.744701.5618209.18-7727.04-29849.010.610.58-0.042-1669.41
6-188030119566347.065879.2226034.61-8210.58-27101.950.720.64-0.036-1580.09
7-136147118576148.316197.1517770.14-8022.69-24396.980.770.72-0.027-1153.79
8-92583.52118556346.617657.6724295.43-8154.85-24083.20.940.82-0.016-784.61
9-141265118536544.927774.0221435.31-8512.13-25599.120.910.74-0.024-1197.16
10-204417118536544.927480.9726312.29-9244.75-25931.620.810.66-0.033-1732.35
Although, strategy looks good but profit factor on day 4 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
atrtrail24.15-1272231443810626.399437.1421021.99-4583.34-13507.482.060.74-0.024-883.49
atrtrail34.55-1603851433610725.179074.0329453.13-4551.86-13507.481.990.67-0.029-1121.57
atrnil26.33-2262991433510824.4812739.5821021.99-6223.93-14714.162.050.66-0.037-1582.51
atrnil37.83-2822831422411816.918900.329453.13-6236.36-14714.163.030.62-0.04-1987.91
atrtrail-14.93-2620041433510824.486600.1837119.41-4564.91-13507.481.450.47-0.057-1832.2

In the table above, row 1 shows the best exit criterion. Profit factor is 0.74. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HDFCBANK Performance, Profit Factor:0.738

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019504 Apr 2019 (-1.5%), 09 May 2019 (-1.37%), 12 Jun 2019 (-0.97%), 07 Oct 2019 (-2.76%), 09 Oct 2019 (-0.33%)
2018801 Jan 2018 (-1.31%), 25 Apr 2018 (-1.64%), 22 May 2018 (-0.34%), 08 Jun 2018 (-0.14%), 03 Jul 2018 (-1.51%), 24 Jul 2018 (-1.41%), 11 Dec 2018 (-1.73%), 21 Dec 2018 (-0.28%)
2017513 Feb 2017 (-1.31%), 23 Mar 2017 (0.25%), 09 May 2017 (-1.47%), 15 Jun 2017 (-1.27%), 09 Aug 2017 (-0.51%)
2016812 Apr 2016 (-1.63%), 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%)
2015407 Jan 2015 (-1.63%), 09 Feb 2015 (-2.34%), 24 Jul 2015 (-0.84%), 30 Oct 2015 (3.42%)
2014831 Mar 2014 (1.12%), 30 May 2014 (-3.31%), 02 Jun 2014 (-1.24%), 18 Jun 2014 (0.4%), 08 Jul 2014 (-0.37%), 28 Jul 2014 (4.07%), 16 Sep 2014 (-1.08%), 03 Dec 2014 (-1.01%)
2013214 May 2013 (-2.05%), 22 May 2013 (-1.34%)
2012824 Feb 2012 (-0.88%), 30 Apr 2012 (-2.07%), 04 May 2012 (4.41%), 17 Jul 2012 (1.11%), 17 Aug 2012 (-0.49%), 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%), 09 Nov 2011 (-0.12%)
2010508 Apr 2010 (-2.82%), 09 Apr 2010 (-1.63%), 06 Aug 2010 (-0.99%), 27 Aug 2010 (-1.86%), 05 Oct 2010 (4.27%)
2009628 Apr 2009 (-4.66%), 11 May 2009 (-4.38%), 12 May 2009 (-1.63%), 03 Jun 2009 (-5.47%), 20 Oct 2009 (4.97%), 10 Dec 2009 (5.13%)
2008312 May 2008 (9.28%), 22 Aug 2008 (-5.54%), 10 Sep 2008 (9.82%)
2007708 May 2007 (-3.41%), 07 Jun 2007 (-1.96%), 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%)
20061023 Jan 2006 (-2.6%), 02 Feb 2006 (-2.07%), 14 Feb 2006 (-2.5%), 22 Mar 2006 (0.22%), 27 Apr 2006 (7.03%), 28 Apr 2006 (-4.02%), 15 May 2006 (8.22%), 20 Oct 2006 (-3.46%), 01 Nov 2006 (-2.6%), 28 Nov 2006 (-3.24%)
2005625 Jan 2005 (-4.11%), 15 Feb 2005 (-2.1%), 24 Jun 2005 (-2.76%), 27 Jun 2005 (-1.16%), 15 Jul 2005 (-3.1%), 06 Dec 2005 (-2.77%)
2004901 Jan 2004 (-1.77%), 20 Jan 2004 (7.78%), 23 Feb 2004 (-3.46%), 10 Mar 2004 (7.4%), 19 Apr 2004 (-1.7%), 30 Jun 2004 (-1.65%), 30 Sep 2004 (-2.68%), 01 Oct 2004 (0.36%), 02 Dec 2004 (1.34%)
20031203 Jan 2003 (-1.49%), 30 Jan 2003 (-3.31%), 21 Feb 2003 (-0.69%), 12 May 2003 (-2.88%), 20 May 2003 (-2.6%), 21 May 2003 (-0.67%), 17 Jun 2003 (1.75%), 18 Jul 2003 (8.63%), 13 Aug 2003 (-2.35%), 01 Sep 2003 (-3.68%), 22 Oct 2003 (-3.17%), 05 Nov 2003 (6.61%)
2002101 Mar 2002 (-0.99%)
2001415 Feb 2001 (-1.0%), 09 Aug 2001 (-3.03%), 21 Aug 2001 (-1.0%), 05 Dec 2001 (-2.76%)
2000414 Feb 2000 (-3.72%), 16 Mar 2000 (-6.75%), 14 Jul 2000 (8.27%), 09 Nov 2000 (0.86%)
19991015 Apr 1999 (-4.66%), 19 Apr 1999 (10.51%), 24 May 1999 (-3.18%), 30 Jul 1999 (7.16%), 03 Sep 1999 (-4.22%), 20 Sep 1999 (-4.2%), 04 Oct 1999 (-5.23%), 15 Oct 1999 (-5.62%), 21 Oct 1999 (2.23%), 24 Dec 1999 (0.24%)
1998308 Jan 1998 (6.92%), 01 Apr 1998 (-3.87%), 27 Apr 1998 (-4.69%)
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%)
1996430 Apr 1996 (-5.06%), 01 May 1996 (10.1%), 05 Jul 1996 (6.93%), 19 Nov 1996 (5.51%)



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