Study: Buy HDIL 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 HDIL 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 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. 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
131693.8943241955.814221.6312118.56-3664.49-8227.761.151.460.046737.07
2-16252.7443202346.515524.5313605.44-5510.58-22133.8610.87-0.016-377.97
3-20563.3143192444.198320.7322575.83-7444.05-18957.821.120.88-0.015-478.22
42941.0743192444.1911576.8226650.51-9042.44-20079.521.281.010.001768.4
5-15653.343162737.2114223.231683.17-9008.32-23523.571.580.94-0.0082-364.03
644581.5543241955.8111456.0442024.2-12124.39-25607.940.941.190.0221036.78
743780.1943222151.1614317.6553421.34-12914.67-34243.181.111.160.0171018.14
853801.5143212248.8415169.3138072.14-12034.27-33846.151.261.20.0231251.2
955308.643202346.5116910.7644180.42-12300.29-35525.321.371.20.0221286.25
1038977.5543202346.5116951.5743740.37-13045.82-43839.761.31.130.015906.45

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.46. 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 55.81%, which is not acceptable. Avoid this strategy. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.046, 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-1131693.8943241955.814221.6312118.56-3664.49-8227.761.151.460.046737.07
atrtrail23.9427078.5548163233.3315169.335407.38-6738.44-12682.022.251.130.014564.14
atrtrail34.4221366.7848163233.3314812.3153111.07-6738.44-12682.022.21.10.01445.14
atrnil36.6923204.2845113424.4430423.2653111.07-9160.34-12969.493.321.070.009515.65
atrnil25.177647.8847153231.9120021.1235407.38-9145.91-12969.492.191.030.0036162.72
atrtrail-14.69-4673.9748163233.3313184.7637805.67-6738.44-12682.021.960.98-0.0025-97.37

In the table above, row 1 shows the best exit criterion. Profit factor is 1.46. 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 55.81%, which is not acceptable. Avoid this strategy. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.046, 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.
HDIL Performance, X=1, Profit Factor:1.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017625 Jan 2017 (-1.5%), 01 Mar 2017 (-2.87%), 12 May 2017 (4.14%), 05 Jun 2017 (-0.59%), 19 Jul 2017 (0.91%), 22 Dec 2017 (2.07%)
2016601 Mar 2016 (4.01%), 31 Mar 2016 (5.74%), 18 May 2016 (0.6%), 20 Jun 2016 (1.54%), 11 Jul 2016 (0.98%), 08 Sep 2016 (0.05%)
2015206 Apr 2015 (-0.23%), 21 Dec 2015 (3.55%)
2014514 May 2014 (-2.67%), 04 Jun 2014 (2.34%), 02 Jul 2014 (1.63%), 05 Aug 2014 (-3.01%), 03 Sep 2014 (-4.1%)
2013504 Jan 2013 (-0.89%), 09 Oct 2013 (0.0%), 01 Nov 2013 (-0.85%), 19 Nov 2013 (0.73%), 23 Dec 2013 (0.09%)
2012306 Aug 2012 (1.15%), 12 Nov 2012 (-2.08%), 29 Nov 2012 (0.27%)
2011225 Mar 2011 (-0.91%), 05 Jul 2011 (-1.03%)
2010605 Apr 2010 (0.7%), 09 Jul 2010 (2.94%), 10 Aug 2010 (-1.01%), 09 Sep 2010 (1.76%), 05 Oct 2010 (2.56%), 09 Nov 2010 (0.32%)
2009617 Jul 2009 (2.99%), 13 Aug 2009 (-2.12%), 09 Sep 2009 (-3.77%), 07 Oct 2009 (6.06%), 11 Nov 2009 (-2.32%), 04 Dec 2009 (-4.11%)
2008116 May 2008 (3.52%)
2007115 Nov 2007 (-0.76%)



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