Study: Buy HDIL when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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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 and ADX is Trending" 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
126956.09118372.734609.0712118.56-3305.5-5330.11.393.720.162450.55
229178.47119281.825882.0512133.27-11880-21339.950.52.230.0972652.59
338894.51116554.5511724.0422575.83-6289.94-18957.821.862.240.0983535.86
450906.36116554.5518890.726650.51-12487.57-19255.581.511.820.0854627.85
522542.42115645.4518821.8923864.32-11927.84-23523.571.581.310.0372049.31
625737.18115645.4520855.3232949.73-13089.9-25607.941.591.330.0392339.74
7-10475.68114736.3627019.7246032.71-16936.37-34243.181.60.91-0.012-952.33
8-12753.14116554.5514369.7630603.01-19794.34-33846.150.730.87-0.018-1159.38
9-5969.23115645.4518354.4635129.22-16290.26-32555.831.130.94-0.0083-542.66
1010223.27116554.5515345.0629678.98-16369.42-30967.740.941.120.016929.39

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.72. Strategy is very good and impressively bullish. Percentage of profitable trades is 72.73%, which is good. Average return per trade is 1.23%, which is not very high, don't trade solely on the basis of this study.
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=1, Profit Factor:3.72

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017212 May 2017 (4.14%), 22 Dec 2017 (2.07%)
2016318 May 2016 (0.6%), 20 Jun 2016 (1.54%), 08 Sep 2016 (0.05%)
2015106 Apr 2015 (-0.23%)
2014314 May 2014 (-2.67%), 04 Jun 2014 (2.34%), 02 Jul 2014 (1.63%)
2009217 Sep 2009 (-2.06%), 07 Oct 2009 (6.06%)

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
atrtrail23.5596410.8116554.5520059.5123705.79-4789.26-7314.694.195.030.218764.62
atrtrail34.5589109.79116554.5518842.6835558.68-4789.26-7314.693.934.720.178100.89
atrtrail-15.4574966.36116554.5516485.4432139.12-4789.26-7314.693.444.130.166815.12
nilnil-1126956.09118372.734609.0712118.56-3305.5-5330.11.393.720.162450.55
atrnil23.8276508.55116554.5520059.5123705.79-8769.71-10773.432.292.740.156955.32
atrnil36.3648099.47114736.3628523.7335558.68-9427.92-11674.143.031.730.0734372.68

In the table above, row 1 shows the best exit criterion. Profit factor is 5.03. Strategy is very good and impressively bullish. Percentage of profitable trades is 54.55%, which is not acceptable. Avoid this strategy. Average return per trade is 4.38%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HDIL Performance, Profit Factor:5.03

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017212 May 2017 (-0.37%), 22 Dec 2017 (8.68%)
2016318 May 2016 (8.46%), 20 Jun 2016 (-1.59%), 08 Sep 2016 (-3.41%)
2015106 Apr 2015 (10.47%)
2014314 May 2014 (11.85%), 04 Jun 2014 (11.67%), 02 Jul 2014 (-2.94%)
2009217 Sep 2009 (-3.66%), 07 Oct 2009 (9.03%)



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