Study: Sell HINDALCO 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 HINDALCO 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 HINDALCO 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
140150.91124685654.843953.2311499.7-4083.37-13296.810.971.180.012323.8
272963.78124695555.655404.4316834.3-5453.49-20988.460.991.240.017588.42
3102648124695555.656692.2723970.29-6529.44-29361.31.021.290.019827.8
4136916124705456.457796.8627121.33-7571.56-29424.851.031.330.0231104.16
5175126124715357.268591.9632013.36-8205.72-33266.931.051.40.0261412.31
6251921124774762.19667.9735256.31-10479-41053.610.921.510.0332031.62
7254268124754960.4810688.3539546.84-11170.57-59919.430.961.460.032050.55
8308165124754960.4811750.6751763.54-11696.64-71447.1611.540.0332485.2
9221260124764861.2910655.0840834.58-12260.95-53585.370.871.380.0251784.35
10193852124715357.2612208.4550869.35-12697.12-46234.890.961.290.0191563.33
Although, strategy looks good but profit factor on day 1 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
atrnil26.62162029138558339.8615540.332996.06-8345.62-18084.041.861.230.0191174.13
atrnil39.02127602131399229.7722852.2743110.31-8300.4-18084.042.751.170.013974.06
atrtrail35.0780785.17138518736.9611360.5137894.61-5731.05-15357.11.981.160.012585.4
atrtrail24.4332335.92140538737.8610208.2225263.07-5847.12-15357.11.751.060.0052230.97
atrtrail-15.5930717.23138518736.9610378.7956760.79-5731.05-15357.11.811.060.0044222.59

In the table above, row 1 shows the best exit criterion. Profit factor is 1.23. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 39.86%, which is not acceptable. Avoid this strategy. Average return per trade is 0.59%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.
HINDALCO Performance, Profit Factor:1.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019802 Jan 2019 (6.32%), 28 Jan 2019 (-2.65%), 12 Feb 2019 (6.25%), 18 Jun 2019 (-2.82%), 19 Jun 2019 (-2.91%), 08 Jul 2019 (-2.84%), 25 Jul 2019 (6.02%), 27 Sep 2019 (-3.57%)
20181122 Feb 2018 (-3.72%), 05 Mar 2018 (7.63%), 04 Apr 2018 (-4.13%), 17 May 2018 (-3.71%), 31 May 2018 (-3.52%), 15 Jun 2018 (6.42%), 16 Jul 2018 (-3.58%), 17 Jul 2018 (7.31%), 28 Sep 2018 (-4.22%), 08 Oct 2018 (-5.55%), 16 Nov 2018 (7.78%)
2017405 May 2017 (-3.36%), 22 May 2017 (-3.29%), 16 Jun 2017 (-2.89%), 22 Jun 2017 (-2.96%)
2016406 Jan 2016 (6.7%), 11 Feb 2016 (-5.15%), 17 Oct 2016 (-3.64%), 21 Nov 2016 (-5.29%)
2015707 Jan 2015 (-3.68%), 05 Mar 2015 (7.49%), 27 Apr 2015 (-3.4%), 25 May 2015 (6.71%), 30 Jun 2015 (6.5%), 12 Aug 2015 (8.32%), 09 Dec 2015 (-3.85%)
2014403 Jan 2014 (5.83%), 30 Jan 2014 (6.33%), 17 Oct 2014 (-5.59%), 08 Dec 2014 (7.82%)
2013522 Feb 2013 (6.2%), 15 Mar 2013 (7.21%), 26 Jul 2013 (8.77%), 11 Nov 2013 (-3.99%), 13 Dec 2013 (-3.45%)
2012710 Apr 2012 (-4.43%), 24 Apr 2012 (8.22%), 14 May 2012 (-4.11%), 25 Jun 2012 (-3.52%), 13 Jul 2012 (-3.11%), 17 Aug 2012 (6.35%), 10 Oct 2012 (9.11%)
20111110 Jan 2011 (-3.83%), 09 Feb 2011 (9.1%), 17 Mar 2011 (-3.85%), 19 Apr 2011 (-3.19%), 03 May 2011 (6.67%), 08 Jun 2011 (7.09%), 15 Jul 2011 (-3.45%), 21 Jul 2011 (6.64%), 23 Sep 2011 (10.42%), 15 Nov 2011 (9.51%), 19 Dec 2011 (10.78%)
2010307 Jul 2010 (-3.6%), 25 Aug 2010 (-3.52%), 16 Nov 2010 (-4.34%)
2009313 Jan 2009 (16.5%), 19 Feb 2009 (-6.89%), 27 Oct 2009 (9.96%)
2008810 Jan 2008 (10.07%), 08 Feb 2008 (-9.04%), 13 Mar 2008 (-8.07%), 06 May 2008 (-5.18%), 27 May 2008 (-4.92%), 18 Aug 2008 (-4.53%), 29 Aug 2008 (-5.11%), 12 Sep 2008 (8.54%)
2007508 Jan 2007 (-3.26%), 12 Feb 2007 (11.7%), 02 Jul 2007 (-3.82%), 30 Jul 2007 (8.6%), 20 Nov 2007 (-9.02%)
2006415 May 2006 (-5.81%), 18 Jul 2006 (-6.6%), 13 Sep 2006 (-3.58%), 12 Dec 2006 (-3.61%)
2005601 Mar 2005 (-2.62%), 18 Mar 2005 (4.83%), 13 Apr 2005 (5.6%), 15 Apr 2005 (6.48%), 20 May 2005 (-2.89%), 31 May 2005 (-3.13%)
2004426 Feb 2004 (-4.76%), 10 Mar 2004 (-4.25%), 27 Apr 2004 (7.98%), 10 Dec 2004 (-2.2%)
2003106 Mar 2003 (5.08%)
2002505 Mar 2002 (-4.01%), 26 Mar 2002 (-3.89%), 22 May 2002 (-2.48%), 09 Jul 2002 (3.61%), 20 Sep 2002 (-2.91%)
2001625 Jan 2001 (-3.9%), 26 Feb 2001 (7.41%), 01 Aug 2001 (7.2%), 30 Aug 2001 (-3.28%), 07 Sep 2001 (-3.98%), 14 Sep 2001 (9.32%)
2000918 Feb 2000 (12.63%), 19 Apr 2000 (-7.68%), 23 May 2000 (-5.4%), 23 Jun 2000 (-4.64%), 21 Jul 2000 (-3.3%), 09 Aug 2000 (-3.06%), 22 Sep 2000 (-4.65%), 25 Sep 2000 (9.79%), 27 Dec 2000 (-4.64%)
1999518 Jan 1999 (7.73%), 01 Mar 1999 (-3.87%), 03 Mar 1999 (7.73%), 08 Dec 1999 (-5.19%), 27 Dec 1999 (-4.52%)
19981012 Jan 1998 (-5.1%), 28 Apr 1998 (-5.35%), 15 Jun 1998 (9.77%), 16 Jun 1998 (-5.45%), 22 Jun 1998 (-5.86%), 06 Jul 1998 (-4.99%), 22 Jul 1998 (7.27%), 23 Oct 1998 (-4.1%), 24 Nov 1998 (5.79%), 16 Dec 1998 (-2.97%)
1997316 Jul 1997 (-2.88%), 13 Aug 1997 (6.35%), 23 Oct 1997 (4.47%)
1996215 Jan 1996 (-2.1%), 04 Sep 1996 (14.37%)
1995320 Apr 1995 (-2.18%), 21 Apr 1995 (4.45%), 12 Jun 1995 (4.62%)



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