Study: Buy HEXAWARE 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 HEXAWARE 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 HEXAWARE 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
1-21068.8348192939.583902.7513554.91-3283.48-11772.41.190.78-0.022-438.93
212535.65482424505801.1826560.69-5278.86-13135.591.11.10.0083261.16
335465.7448252352.086939.3646749.23-6000.8-18031.281.161.260.018738.87
4-28894.8848202841.679491.7155727.55-7811.75-43855.931.220.87-0.011-601.98
5-81989.1648183037.510195.2844736.84-8850.14-49206.351.150.69-0.03-1708.11
6-30898.9848232547.9210268.0943188.85-10682.6-37698.410.960.88-0.011-643.73
7-59794.4348232547.9211585.3936068.11-13050.33-46825.40.890.82-0.018-1245.72
813621.9548282058.3312295.0537306.5-16531.97-59641.730.741.040.0037283.79
963019.2648301862.512574.0631733.75-17455.7-52476.290.721.20.0171312.9
1020776648272156.2519609.85131841-15319.03-56480.511.281.650.0394328.47
Although, strategy looks good but profit factor on day 5 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
atrnil27.1418464856243242.8619894.4533913.07-9150.6-19978.742.171.630.0523297.28
atrtrail24.9114350056213537.518273.4233913.07-6864.06-16851.012.661.60.0452562.49
atrnil311.4520183255193634.5528471.2449530.94-9420.04-19978.743.021.60.0463669.67
atrtrail-16.2913286756193733.9320133.85109989-6748-16851.012.981.530.0312372.63
atrtrail35.9511785156193733.9319343.5344448.98-6748-16851.012.871.470.0352104.48

In the table above, row 1 shows the best exit criterion. Profit factor is 1.63. 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 42.86%, which is not acceptable. Avoid this strategy. Average return per trade is 1.65%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.052, 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.
HEXAWARE Performance, Profit Factor:1.63

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019502 May 2019 (6.58%), 06 Aug 2019 (6.75%), 17 Oct 2019 (-3.11%), 08 Nov 2019 (-3.22%), 15 Nov 2019 (-3.02%)
2018227 Feb 2018 (7.28%), 09 Nov 2018 (-5.27%)
2017108 Feb 2017 (5.81%)
2016424 Aug 2016 (-2.44%), 16 Sep 2016 (-2.67%), 28 Sep 2016 (-2.55%), 19 Oct 2016 (5.73%)
2015506 Jan 2015 (6.96%), 20 May 2015 (-4.43%), 10 Jul 2015 (6.93%), 09 Sep 2015 (-5.69%), 23 Dec 2015 (-2.98%)
2014123 May 2014 (9.71%)
2013401 Jan 2013 (7.59%), 08 Feb 2013 (9.12%), 20 Jun 2013 (-3.97%), 11 Dec 2013 (8.38%)
2012505 Jan 2012 (8.83%), 26 Jul 2012 (-3.61%), 26 Oct 2012 (-3.39%), 29 Oct 2012 (-3.56%), 29 Nov 2012 (-3.92%)
2011115 Sep 2011 (12.97%)
2010403 Mar 2010 (-5.19%), 05 Apr 2010 (-4.39%), 12 Apr 2010 (8.36%), 06 Sep 2010 (-3.61%)
2009229 Jan 2009 (-4.48%), 04 Feb 2009 (10.16%)
2008604 Feb 2008 (-8.34%), 18 Feb 2008 (14.82%), 28 Mar 2008 (16.96%), 18 Jun 2008 (-5.04%), 08 Sep 2008 (-4.11%), 20 Oct 2008 (-9.99%)
2007609 Feb 2007 (-4.75%), 13 Mar 2007 (-4.56%), 14 Mar 2007 (9.58%), 14 Aug 2007 (-5.33%), 20 Nov 2007 (-5.06%), 07 Dec 2007 (13.48%)
2006115 Jun 2006 (14.71%)
2005527 Apr 2005 (11.27%), 06 May 2005 (-6.06%), 02 Aug 2005 (-4.77%), 09 Nov 2005 (-4.41%), 28 Nov 2005 (7.22%)
2004103 Feb 2004 (16.51%)
2003324 Mar 2003 (-6.46%), 02 Apr 2003 (-6.05%), 02 May 2003 (13.01%)



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