Study: Buy HINDALCO 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 HINDALCO 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 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. 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
1135893132716153.794423.6121783.74-2921.05-14191.061.511.760.0421029.49
2158232132745856.066270.9824185.83-5272.76-16183.591.191.520.0331198.73
3222377132676550.769103.2642341.06-5962.17-24591.131.531.570.0331684.68
4321182132686451.5210752.3152452.59-6405.86-23251.231.681.780.0412433.2
5384789132755756.8210987.5867398.7-7706.67-24629.141.431.880.0432915.07
6398752132676550.7613677.5262761.09-7963.73-29359.611.721.770.0423020.85
7384534132765657.5812323.9857324.75-9858.72-29613.891.251.70.0412913.14
8422808132765657.5812559.3453075.82-9494.68-29163.941.321.80.0443203.09
9357116132726054.5513181.2455064.38-9865.55-45554.371.341.60.0362705.43
10466238132765657.5813388.9362352.01-9845-31172.511.361.850.0463532.11

From the table above, we see that best results are achieved by holding positions for 5 trading days. Profit factor is 1.88. 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 56.82%, which is not acceptable. Avoid this strategy. Average return per trade is 1.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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-15384789132755756.8210987.5867398.7-7706.67-24629.141.431.880.0432915.07
atrnil38.11334087140489234.2921492.1741972.28-7581.92-15856.612.831.480.0332386.34
atrtrail-14.99140514152569636.8412145.1458999.66-5620.98-13331.82.161.260.016924.44
atrnil25.58159163153599438.5614521.2831713.21-7421.2-13700.181.961.230.0191040.28
atrtrail34.4397823.86152569636.8411382.8129421.84-5620.98-13331.82.031.180.013643.58
atrtrail23.7448063.091595910037.1110490.2127981.52-5708.59-13331.81.841.080.0068302.28

In the table above, row 1 shows the best exit criterion. Profit factor is 1.88. 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 56.82%, which is not acceptable. Avoid this strategy. Average return per trade is 1.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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, X=5, Profit Factor:1.88

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019427 May 2019 (-0.6%), 24 Jun 2019 (5.4%), 23 Jul 2019 (-6.4%), 31 Oct 2019 (9.21%)
2018811 May 2018 (-4.61%), 28 May 2018 (-0.02%), 10 Jul 2018 (-4.17%), 14 Sep 2018 (-2.26%), 03 Oct 2018 (-10.58%), 01 Nov 2018 (3.26%), 03 Dec 2018 (-6.5%), 17 Dec 2018 (-3.37%)
20171010 Jan 2017 (4.05%), 03 Mar 2017 (-5.51%), 26 Apr 2017 (-2.31%), 15 May 2017 (-4.13%), 29 May 2017 (-2.06%), 20 Jun 2017 (-6.01%), 05 Jul 2017 (0.91%), 01 Sep 2017 (2.38%), 06 Oct 2017 (6.26%), 18 Dec 2017 (7.61%)
2016912 Apr 2016 (9.89%), 30 May 2016 (3.79%), 12 Jul 2016 (2.03%), 08 Aug 2016 (3.69%), 30 Aug 2016 (-1.87%), 28 Sep 2016 (0.22%), 02 Nov 2016 (3.58%), 23 Nov 2016 (1.18%), 09 Dec 2016 (-6.53%)
2015305 May 2015 (-1.26%), 01 Dec 2015 (-4.46%), 15 Dec 2015 (0.76%)
2014628 Feb 2014 (18.22%), 19 May 2014 (-3.26%), 04 Jun 2014 (1.21%), 02 Jul 2014 (-4.32%), 16 Jul 2014 (6.28%), 30 Dec 2014 (-1.89%)
2013501 Jul 2013 (-1.72%), 14 Aug 2013 (5.91%), 26 Sep 2013 (0.85%), 05 Nov 2013 (-5.48%), 27 Dec 2013 (-3.02%)
2012303 Jul 2012 (3.11%), 08 Aug 2012 (-3.87%), 27 Nov 2012 (7.69%)
2011303 Feb 2011 (-12.31%), 21 Apr 2011 (-2.15%), 01 Dec 2011 (0.69%)
2010617 Feb 2010 (1.47%), 09 Jul 2010 (0.77%), 18 Aug 2010 (-7.07%), 06 Sep 2010 (4.19%), 05 Nov 2010 (-4.02%), 06 Dec 2010 (0.11%)
2009606 May 2009 (12.15%), 20 Jul 2009 (4.61%), 09 Sep 2009 (9.07%), 20 Oct 2009 (-10.66%), 13 Nov 2009 (2.87%), 23 Dec 2009 (6.58%)
2008215 Feb 2008 (7.71%), 15 May 2008 (-5.39%)
2007725 Jan 2007 (1.48%), 06 Jun 2007 (7.73%), 13 Jul 2007 (4.85%), 29 Aug 2007 (0.26%), 11 Oct 2007 (5.12%), 09 Nov 2007 (0.62%), 11 Dec 2007 (0.25%)
2006606 Mar 2006 (-4.69%), 24 Mar 2006 (7.57%), 09 Aug 2006 (0.34%), 06 Oct 2006 (-0.45%), 07 Dec 2006 (-6.57%), 27 Dec 2006 (-0.03%)
2005331 Jan 2005 (5.22%), 25 Feb 2005 (0.67%), 06 Apr 2005 (-2.87%)
2004711 Feb 2004 (-3.67%), 08 Mar 2004 (-1.91%), 23 Mar 2004 (-7.23%), 10 Aug 2004 (0.49%), 16 Sep 2004 (1.99%), 05 Nov 2004 (0.94%), 21 Dec 2004 (3.9%)
20031024 Jan 2003 (-1.69%), 04 Mar 2003 (-3.15%), 16 May 2003 (8.16%), 11 Jun 2003 (5.94%), 11 Jul 2003 (2.86%), 28 Jul 2003 (3.68%), 29 Sep 2003 (5.75%), 03 Nov 2003 (2.99%), 02 Dec 2003 (-1.07%), 31 Dec 2003 (3.65%)
2002507 Jan 2002 (3.24%), 25 Jan 2002 (0.9%), 20 Mar 2002 (-2.37%), 02 May 2002 (-0.83%), 14 Jun 2002 (1.35%)
2001311 Jan 2001 (5.58%), 08 Feb 2001 (4.89%), 28 Mar 2001 (-0.38%)
2000703 Jan 2000 (17.92%), 14 Feb 2000 (-7.34%), 03 May 2000 (3.06%), 05 Jun 2000 (15.85%), 17 Jul 2000 (-6.45%), 02 Aug 2000 (-4.93%), 05 Sep 2000 (4.2%)
1999508 Jun 1999 (-2.66%), 05 Jul 1999 (31.85%), 16 Aug 1999 (-1.08%), 11 Nov 1999 (-6.62%), 17 Dec 1999 (-3.66%)
1998627 Mar 1998 (-1.6%), 18 Jun 1998 (-0.13%), 09 Jul 1998 (-2.35%), 11 Nov 1998 (0.66%), 10 Dec 1998 (-7.88%), 31 Dec 1998 (6.04%)
1997428 Feb 1997 (21.64%), 27 May 1997 (0.31%), 01 Jul 1997 (6.68%), 29 Jul 1997 (10.92%)
1996230 Jan 1996 (33.7%), 10 Apr 1996 (6.84%)
1995214 Jul 1995 (4.27%), 26 Sep 1995 (-0.18%)



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