Study: Sell HDIL when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell HDIL when RSI is below 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 HDIL 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
116737656342260.718049.3628812.81-4831.92-22470.431.672.570.12988.86
220302956352162.511374.2267585.59-9288.98-22574.91.222.040.0763625.52
330391856332358.9315480.764910.18-8997.62-40382.321.722.470.0945427.1
423788456312555.3616560.8562994.01-11020.11-40249.471.51.860.074247.92
533308856332358.9317939.5665389.22-11257.28-36249.011.592.290.0965948
636804756322457.1420505.5764917.74-12005.47-37667.451.712.280.0956572.26
746388456322457.1423008.7663583.82-11349.85-31678.492.032.70.128283.64
845259656312555.3624812.4761271.68-12663.61-40661.941.962.430.118082.08
937926656312555.3624829.7465362.38-15618.23-42237.981.591.970.0836772.61
1042581156312555.3626948.5167407.74-16383.72-63041.771.642.040.0867603.76

From the table above, we see that best results are achieved by holding positions for 7 trading days. Profit factor is 2.7. 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 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 4.14%, which is very good.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
HDIL Performance, X=7, Profit Factor:2.7

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018318 Jan 2018 (5.28%), 01 Mar 2018 (8.22%), 23 Mar 2018 (-4.67%)
2017623 Jan 2017 (-5.31%), 15 Feb 2017 (-5.01%), 09 Jun 2017 (-1.48%), 03 Aug 2017 (24.49%), 25 Sep 2017 (-1.43%), 01 Dec 2017 (8.77%)
2016615 Jan 2016 (-2.35%), 29 Mar 2016 (-7.9%), 15 Sep 2016 (8.4%), 17 Oct 2016 (-2.51%), 04 Nov 2016 (20.79%), 26 Dec 2016 (-15.76%)
2015402 Jun 2015 (12.88%), 21 Jul 2015 (3.57%), 13 Aug 2015 (22.93%), 09 Dec 2015 (-3.35%)
2014408 Jul 2014 (-5.77%), 14 Aug 2014 (-2.6%), 16 Sep 2014 (6.6%), 21 Nov 2014 (0.25%)
2013522 Jan 2013 (31.79%), 20 Mar 2013 (-4.62%), 23 May 2013 (16.68%), 29 Jul 2013 (18.65%), 11 Nov 2013 (-9.15%)
2012225 Apr 2012 (9.83%), 22 Aug 2012 (15.91%)
2011711 Jan 2011 (2.71%), 28 Jan 2011 (1.43%), 18 Mar 2011 (-5.47%), 20 Jun 2011 (0.6%), 15 Jul 2011 (5.7%), 03 Oct 2011 (-7.7%), 14 Nov 2011 (24.91%)
20101021 Jan 2010 (8.9%), 22 Feb 2010 (-7.41%), 22 Mar 2010 (-3.15%), 22 Apr 2010 (8.61%), 05 Jul 2010 (-10.51%), 25 Aug 2010 (3.41%), 15 Sep 2010 (1.75%), 15 Oct 2010 (1.77%), 12 Nov 2010 (15.36%), 10 Dec 2010 (-3.01%)
2009407 Jan 2009 (-2.17%), 09 Mar 2009 (-15.84%), 10 Aug 2009 (-8.12%), 19 Nov 2009 (5.58%)
2008521 Jan 2008 (-0.9%), 05 Mar 2008 (24.21%), 18 Aug 2008 (9.93%), 12 Sep 2008 (23.62%), 20 Nov 2008 (14.61%)

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
atrtrail-16.7645677259293049.1524263.7860658.02-8229.25-18293.892.952.850.127741.9
nilnil-1746388456322457.1423008.7663583.82-11349.85-31678.492.032.70.128283.64
atrtrail24.2739353859302950.8520837.4256361.66-7985.67-18293.892.612.70.126670.14
atrtrail35.3638997259293049.1521960.3446796.13-8229.25-18293.892.672.580.116609.7
atrnil25.630033358283048.2823643.1256361.66-12055.82-39453.511.961.830.0815178.15
atrnil39.2224047354213338.8931587.863436.45-12814.27-39453.512.471.570.0594453.2

In the table above, row 1 shows the best exit criterion. Profit factor is 2.85. 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 49.15%, which is not acceptable. Avoid this strategy. Average return per trade is 3.87%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HDIL Performance, Profit Factor:2.85

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018318 Jan 2018 (12.76%), 01 Mar 2018 (8.64%), 23 Mar 2018 (-3.28%)
2017723 Jan 2017 (-3.5%), 15 Feb 2017 (-4.43%), 09 Jun 2017 (-2.24%), 21 Jun 2017 (0.98%), 03 Aug 2017 (27.1%), 25 Sep 2017 (-2.33%), 01 Dec 2017 (7.93%)
2016615 Jan 2016 (0.07%), 29 Mar 2016 (-5.18%), 15 Sep 2016 (10.52%), 17 Oct 2016 (-4.55%), 04 Nov 2016 (10.15%), 26 Dec 2016 (-4.77%)
2015402 Jun 2015 (9.33%), 21 Jul 2015 (4.82%), 13 Aug 2015 (-6.17%), 09 Dec 2015 (-1.46%)
2014508 Jul 2014 (-2.69%), 14 Aug 2014 (-5.75%), 25 Aug 2014 (-5.13%), 16 Sep 2014 (-4.44%), 21 Nov 2014 (-0.5%)
2013522 Jan 2013 (27.49%), 20 Mar 2013 (-2.36%), 23 May 2013 (30.33%), 29 Jul 2013 (17.34%), 11 Nov 2013 (-3.38%)
2012225 Apr 2012 (19.6%), 22 Aug 2012 (11.46%)
2011711 Jan 2011 (-5.61%), 28 Jan 2011 (3.91%), 18 Mar 2011 (-2.03%), 20 Jun 2011 (0.18%), 15 Jul 2011 (26.06%), 03 Oct 2011 (-3.97%), 14 Nov 2011 (19.37%)
20101121 Jan 2010 (9.14%), 22 Feb 2010 (-4.58%), 22 Mar 2010 (-4.33%), 22 Apr 2010 (13.07%), 05 Jul 2010 (-4.1%), 25 Aug 2010 (4.71%), 15 Sep 2010 (-3.63%), 23 Sep 2010 (-1.92%), 15 Oct 2010 (5.3%), 12 Nov 2010 (21.18%), 10 Dec 2010 (-7.25%)
2009407 Jan 2009 (19.48%), 09 Mar 2009 (-9.15%), 10 Aug 2009 (-7.03%), 19 Nov 2009 (4.79%)
2008521 Jan 2008 (-7.65%), 05 Mar 2008 (2.2%), 18 Aug 2008 (8.35%), 12 Sep 2008 (15.57%), 20 Nov 2008 (-0.05%)



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