Study: Sell HINDALCO when RSI is below 50 and there is Bearish Crossover in MACD and ADX is Trending

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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 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: 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
1-19185.8334191555.882920.529858.2-4978.38-13296.810.590.74-0.022-564.29
2-40161.934132138.246105.9713571.91-5692.36-13147.411.070.66-0.034-1181.23
3-31212.6634142041.187988.5323970.29-7152.61-21480.611.120.78-0.019-918.02
4-12820.9534151944.127526.3819847.33-6616.67-29083.671.140.9-0.0077-377.09
5-13589.1234161847.069908.2232013.36-9562.25-33266.931.040.92-0.0064-399.68
62166.0934181652.9410294.7528764.35-11446.21-31673.310.91.010.0009463.71
7-9829.553417175010588.5322948.47-11166.74-36852.590.950.95-0.0043-289.1
8-7902.1434191555.889989.5224475.19-13180.2-38496.020.760.96-0.0033-232.42
9-16066.0134211361.769968.9727666.96-17339.56-38446.220.570.93-0.0059-472.53
10-51907.9334191555.8811326.532263.66-17807.43-41832.670.640.81-0.017-1526.7
Although, strategy looks good but profit factor on day 2 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
atrnil37.95-31608.123892923.6824974.4143110.31-8840.61-18084.042.820.88-0.011-831.79
atrnil25.74-39155.1239122730.7716835.5928740.21-8932.67-18084.041.880.84-0.017-1003.98
atrtrail-15.63-31204.7838122631.5812528.0756760.79-6982.37-11716.041.790.83-0.013-821.18
atrtrail35-32422.6738122631.5812426.5825630.19-6982.37-11716.041.780.82-0.016-853.23
atrtrail24.49-57016.139132633.3310202.8419534.87-7294.35-11716.041.40.7-0.032-1461.95

In the table above, row 1 shows the best exit criterion. Profit factor is 0.88. 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 23.68%, which is not acceptable. Avoid this strategy. Average return per trade is -0.42%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDALCO Performance, Profit Factor:0.877

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019129 Jan 2019 (-2.58%)
2018104 Apr 2018 (-4.13%)
2016111 Feb 2016 (-5.15%)
2015205 Mar 2015 (11.23%), 30 Jun 2015 (9.74%)
2014117 Oct 2014 (-5.59%)
2013222 Feb 2013 (9.29%), 15 Mar 2013 (-3.61%)
2012410 Apr 2012 (-4.43%), 07 May 2012 (-3.61%), 14 May 2012 (-4.11%), 10 Oct 2012 (-4.56%)
2011217 Mar 2011 (-3.85%), 08 Jun 2011 (10.64%)
2010225 Aug 2010 (-3.52%), 16 Nov 2010 (-4.34%)
2008308 Feb 2008 (-9.04%), 29 Aug 2008 (-5.11%), 12 Sep 2008 (12.82%)
2007130 Jul 2007 (12.89%)
2006115 May 2006 (-5.81%)
2005220 May 2005 (-2.89%), 31 May 2005 (-3.13%)
2002205 Mar 2002 (-4.01%), 26 Mar 2002 (-3.89%)
2001125 Jan 2001 (-3.9%)
2000523 Jun 2000 (-4.64%), 09 Aug 2000 (-3.06%), 22 Sep 2000 (-4.65%), 25 Sep 2000 (14.68%), 27 Dec 2000 (-4.64%)
1998428 Apr 1998 (-5.35%), 15 Jun 1998 (-4.88%), 22 Jun 1998 (-5.86%), 06 Jul 1998 (-4.99%)
1997216 Jul 1997 (-2.88%), 13 Aug 1997 (9.53%)
1996104 Sep 1996 (21.56%)



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