Study: Buy HDFCBANK when RSI is below 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 below 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
14364.8362263641.943862.9115847.59-2668.63-16162.281.451.050.003170.4
264132.0862323051.615431.1922942.64-3655.54-16909.621.491.580.0321034.39
398433.9762352756.455997.3430091.44-4128.62-23615.161.451.880.0451587.64
411397262332953.237108.3720116.38-4158.75-21574.341.711.950.0511838.27
511031462303248.398262.5927422.57-4298.87-22157.431.921.80.0431779.26
611034662352756.458102.0134776.31-6415.72-23032.071.261.640.0381779.77
718722562352756.4510303.1639908.23-6421.69-23615.161.62.080.0563019.76
827506762382461.2911102.5241852.32-6117.86-25655.981.812.870.0784436.57
929146462382461.2911220.1836346.52-5620.95-28571.4323.160.0884701.03
1032004062392362.912241.3141054.61-6842.21-29446.061.793.030.0865161.94
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
HDFCBANK Performance, X=9, Profit Factor:3.16

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019109 Aug 2019 (-1.13%)
2018428 Feb 2018 (-1.05%), 16 Mar 2018 (4.22%), 28 Sep 2018 (-1.21%), 06 Nov 2018 (3.39%)
2016201 Mar 2016 (4.32%), 06 Dec 2016 (-1.48%)
2015214 May 2015 (4.75%), 11 Sep 2015 (3.55%)
2014112 Feb 2014 (3.97%)
2013511 Feb 2013 (0.36%), 12 Mar 2013 (-5.37%), 02 Apr 2013 (1.85%), 02 Jul 2013 (5.92%), 26 Aug 2013 (0.8%)
2012129 May 2012 (7.33%)
2011309 Feb 2011 (5.74%), 23 May 2011 (4.06%), 23 Dec 2011 (1.39%)
2010407 Jan 2010 (2.53%), 15 Feb 2010 (5.64%), 04 Jun 2010 (5.85%), 28 Dec 2010 (-4.61%)
2009209 Feb 2009 (-5.76%), 17 Mar 2009 (14.17%)
2008207 Jul 2008 (2.89%), 01 Dec 2008 (5.05%)
2007112 Mar 2007 (6.43%)
2006119 Jun 2006 (1.77%)
2005408 Apr 2005 (-1.18%), 25 Apr 2005 (0.18%), 17 May 2005 (0.63%), 09 Nov 2005 (9.12%)
2004107 Jun 2004 (4.36%)
2002524 Apr 2002 (-1.69%), 09 May 2002 (-1.6%), 05 Jul 2002 (-1.27%), 13 Aug 2002 (-0.78%), 07 Nov 2002 (-0.72%)
2001309 Apr 2001 (7.96%), 02 Jul 2001 (1.86%), 28 Sep 2001 (7.44%)
2000625 Apr 2000 (13.18%), 07 Jun 2000 (6.3%), 09 Aug 2000 (-4.61%), 30 Aug 2000 (-0.02%), 11 Dec 2000 (-2.85%), 28 Dec 2000 (2.43%)
1999122 Feb 1999 (18.17%)
1998623 Feb 1998 (6.12%), 25 Jun 1998 (-2.53%), 09 Jul 1998 (8.06%), 13 Aug 1998 (-2.02%), 10 Nov 1998 (-2.0%), 02 Dec 1998 (-1.04%)
1997109 Dec 1997 (9.5%)
1996304 Jun 1996 (13.82%), 08 Aug 1996 (-4.64%), 18 Oct 1996 (8.03%)
1995328 Sep 1995 (-4.12%), 01 Nov 1995 (-14.29%), 27 Nov 1995 (-1.5%)

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
atrtrail24.6815107368293942.6511399.737468.15-4603.03-10104.592.481.840.0482221.66
atrtrail35.4414087168293942.6511047.9131622.23-4603.03-10104.592.41.780.0432071.63
atrtrail-15.7411915068293942.6510298.9131931.31-4603.03-10104.592.241.660.0381752.21
atrnil26.8514158568293942.6514389.1237468.15-7069.22-13814.132.041.510.0362082.13
atrnil310.5737953.7767204729.8519263.0631622.23-7389.52-18734.082.611.110.0089566.47

In the table above, row 1 shows the best exit criterion. Profit factor is 1.84. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 42.65%, which is not acceptable. Avoid this strategy. Average return per trade is 1.11%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.048, 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:1.84

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019209 Aug 2019 (-1.9%), 13 Aug 2019 (-1.59%)
2018428 Feb 2018 (-1.53%), 16 Mar 2018 (-0.59%), 28 Sep 2018 (-0.35%), 06 Nov 2018 (-1.33%)
2016301 Mar 2016 (0.96%), 06 Dec 2016 (-1.89%), 07 Dec 2016 (-0.5%)
2015214 May 2015 (4.34%), 11 Sep 2015 (4.6%)
2014112 Feb 2014 (-2.14%)
2013611 Feb 2013 (3.41%), 12 Mar 2013 (-2.03%), 02 Apr 2013 (-2.47%), 02 Jul 2013 (5.16%), 26 Aug 2013 (-3.54%), 02 Sep 2013 (-4.27%)
2012129 May 2012 (-2.26%)
2011309 Feb 2011 (6.7%), 23 May 2011 (4.74%), 23 Dec 2011 (-2.23%)
2010407 Jan 2010 (-2.09%), 15 Feb 2010 (5.49%), 04 Jun 2010 (-2.44%), 28 Dec 2010 (5.19%)
2009209 Feb 2009 (-1.3%), 17 Mar 2009 (9.16%)
2008207 Jul 2008 (0.28%), 01 Dec 2008 (18.73%)
2007212 Mar 2007 (-3.65%), 20 Mar 2007 (2.75%)
2006119 Jun 2006 (3.91%)
2005408 Apr 2005 (-0.93%), 25 Apr 2005 (-2.3%), 17 May 2005 (-0.85%), 09 Nov 2005 (7.03%)
2004107 Jun 2004 (0.61%)
2002624 Apr 2002 (-2.88%), 08 May 2002 (-1.85%), 05 Jul 2002 (-2.95%), 13 Aug 2002 (-1.92%), 19 Aug 2002 (-1.57%), 07 Nov 2002 (-0.55%)
2001409 Apr 2001 (8.5%), 02 Jul 2001 (-3.64%), 11 Jul 2001 (6.46%), 28 Sep 2001 (-5.05%)
2000625 Apr 2000 (1.47%), 07 Jun 2000 (12.8%), 09 Aug 2000 (-3.64%), 30 Aug 2000 (-1.21%), 11 Dec 2000 (6.72%), 28 Dec 2000 (6.67%)
1999122 Feb 1999 (-4.97%)
1998623 Feb 1998 (3.21%), 25 Jun 1998 (0.74%), 09 Jul 1998 (10.54%), 13 Aug 1998 (-2.85%), 10 Nov 1998 (-0.75%), 02 Dec 1998 (-4.01%)
1997109 Dec 1997 (7.31%)
1996304 Jun 1996 (6.6%), 08 Aug 1996 (-3.62%), 18 Oct 1996 (6.44%)
1995328 Sep 1995 (4.77%), 01 Nov 1995 (-2.97%), 27 Nov 1995 (-3.14%)



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