Study: Sell HINDALCO when RSI is above 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 above 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
1-39095.4992385441.34076.1914521.15-3592.42-13667.61.130.8-0.017-424.95
2-6985.7692425045.655707.1322294.17-4933.7-16691.681.160.97-0.0022-75.93
373099.2692484452.177247.2325415.85-6244.73-18464.351.161.270.019794.56
415831292524056.527775.4737141.54-6150.32-30042.661.261.640.0361720.78
533928192543858.711526.64179317-7451.53-40828.761.552.20.0353687.83
628088292504254.3512886.54179113-8653.46-40889.71.491.770.0283053.06
729886392474551.0915098.83179142-9128.49-34095.571.651.730.0293248.51
827856692474551.0915702.99179127-10210.54-49219.371.541.610.0263027.9
920491592504254.3515149.43178479-13156.11-69168.91.151.370.0182227.34
1012565892474551.0916310.34178515-14242.84-90679.71.151.20.0111365.85
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
HINDALCO Performance, X=5, Profit Factor:2.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019112 Apr 2019 (4.48%)
2018511 Jan 2018 (5.17%), 27 Apr 2018 (-1.23%), 01 Jun 2018 (-1.53%), 11 Sep 2018 (-1.75%), 01 Oct 2018 (7.68%)
2017608 Feb 2017 (2.41%), 10 Mar 2017 (-4.58%), 15 Jun 2017 (2.54%), 14 Aug 2017 (0.11%), 15 Sep 2017 (6.82%), 31 Oct 2017 (0.19%)
2016701 Apr 2016 (-1.21%), 29 Apr 2016 (4.62%), 27 Jun 2016 (-5.13%), 21 Jul 2016 (-0.26%), 26 Aug 2016 (-1.13%), 30 Sep 2016 (-3.47%), 22 Nov 2016 (-5.31%)
2015129 Oct 2015 (2.64%)
2014502 Jan 2014 (6.63%), 28 May 2014 (-9.17%), 16 Jun 2014 (-2.54%), 08 Jul 2014 (-3.37%), 01 Aug 2014 (0.19%)
2013509 Jan 2013 (6.55%), 28 May 2013 (8.36%), 24 Sep 2013 (1.34%), 10 Oct 2013 (1.88%), 12 Dec 2013 (1.69%)
2012216 Feb 2012 (3.96%), 11 Oct 2012 (0.25%)
2011207 Jan 2011 (1.41%), 18 Jul 2011 (0.77%)
2010515 Jan 2010 (3.15%), 08 Apr 2010 (1.13%), 16 Aug 2010 (-6.62%), 18 Oct 2010 (-4.64%), 15 Nov 2010 (5.91%)
2009520 Apr 2009 (-4.1%), 17 Jun 2009 (10.8%), 17 Aug 2009 (-8.18%), 29 Sep 2009 (-0.12%), 14 Dec 2009 (2.14%)
2008209 Jan 2008 (9.81%), 28 May 2008 (9.19%)
2007408 May 2007 (-0.62%), 29 Jun 2007 (3.59%), 09 Oct 2007 (-20.41%), 01 Nov 2007 (-8.6%)
2006413 Feb 2006 (5.17%), 09 Mar 2006 (-1.08%), 16 May 2006 (11.82%), 06 Nov 2006 (2.88%)
2005222 Feb 2005 (0.56%), 23 Aug 2005 (89.66%)
2004512 Jan 2004 (1.84%), 23 Apr 2004 (18.13%), 21 Jul 2004 (-0.47%), 10 Sep 2004 (-4.36%), 11 Oct 2004 (7.15%)
2003801 Jan 2003 (0.33%), 28 Jan 2003 (-0.25%), 13 May 2003 (-6.69%), 03 Jun 2003 (-5.07%), 26 Aug 2003 (-1.66%), 23 Oct 2003 (-2.78%), 15 Nov 2003 (2.04%), 08 Dec 2003 (-6.7%)
2002223 Jan 2002 (-0.2%), 04 Mar 2002 (0.86%)
2001417 Jan 2001 (-1.24%), 23 Feb 2001 (-1.18%), 28 May 2001 (2.69%), 13 Dec 2001 (9.27%)
2000218 Jan 2000 (8.68%), 22 May 2000 (2.08%)
1999417 May 1999 (2.22%), 28 Jun 1999 (-10.23%), 23 Jul 1999 (0.19%), 24 Aug 1999 (2.52%)
1998325 Mar 1998 (-1.69%), 29 Apr 1998 (4.73%), 26 Oct 1998 (1.45%)
1997427 Jan 1997 (6.78%), 21 Mar 1997 (3.77%), 23 Jun 1997 (-2.39%), 12 Aug 1997 (7.26%)
1996201 Mar 1996 (2.21%), 13 May 1996 (-1.59%)
1995228 Aug 1995 (1.47%), 28 Sep 1995 (-0.0%)

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
atrnil36.6-26484.63115288724.3522983.5841808.18-7701.44-15878.982.980.96-0.0034-230.3
atrtrail34.23-23452.59115358030.4313245.5738044.93-6088.09-15878.982.180.95-0.0038-203.94
atrtrail23.65-68939.44115367931.311569.5727872.12-6144.86-15878.981.880.86-0.013-599.47
atrtrail-14.82-96116.16115348129.5711716.2553212.9-6104.55-15878.981.920.81-0.016-835.79
atrnil25.16-129428115338228.715254.7627872.12-7717.5-15878.981.980.8-0.021-1125.46

In the table above, row 1 shows the best exit criterion. Profit factor is 0.96. 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 24.35%, which is not acceptable. Avoid this strategy. Average return per trade is -0.12%, 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:0.96

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019112 Apr 2019 (-2.7%)
2018611 Jan 2018 (8.13%), 27 Apr 2018 (-4.09%), 01 Jun 2018 (-3.46%), 11 Sep 2018 (-3.46%), 18 Sep 2018 (-3.55%), 01 Oct 2018 (-4.27%)
2017908 Feb 2017 (-3.65%), 10 Mar 2017 (-3.39%), 14 Mar 2017 (-3.34%), 23 Mar 2017 (-3.07%), 15 Jun 2017 (-2.98%), 14 Aug 2017 (-3.51%), 15 Sep 2017 (8.82%), 31 Oct 2017 (-2.72%), 01 Nov 2017 (8.02%)
20161101 Apr 2016 (-4.46%), 06 Apr 2016 (-4.53%), 29 Apr 2016 (-4.41%), 02 May 2016 (13.31%), 27 Jun 2016 (-3.56%), 21 Jul 2016 (-3.03%), 26 Aug 2016 (-2.83%), 01 Sep 2016 (-2.92%), 30 Sep 2016 (-3.88%), 22 Nov 2016 (-5.07%), 02 Dec 2016 (-4.53%)
2015229 Oct 2015 (-4.14%), 30 Oct 2015 (12.4%)
2014702 Jan 2014 (8.59%), 28 May 2014 (-4.88%), 16 Jun 2014 (-4.99%), 08 Jul 2014 (-3.87%), 09 Jul 2014 (-3.99%), 01 Aug 2014 (-4.27%), 04 Aug 2014 (12.5%)
2013609 Jan 2013 (8.31%), 28 May 2013 (8.97%), 24 Sep 2013 (-4.4%), 27 Sep 2013 (-4.37%), 10 Oct 2013 (-4.07%), 12 Dec 2013 (-3.44%)
2012216 Feb 2012 (14.25%), 11 Oct 2012 (-4.36%)
2011207 Jan 2011 (-3.47%), 18 Jul 2011 (10.06%)
2010615 Jan 2010 (11.45%), 08 Apr 2010 (-3.52%), 16 Aug 2010 (-2.82%), 17 Aug 2010 (-2.78%), 18 Oct 2010 (-3.45%), 15 Nov 2010 (11.81%)
2009620 Apr 2009 (-7.94%), 17 Jun 2009 (20.9%), 17 Aug 2009 (-6.6%), 18 Aug 2009 (-6.27%), 29 Sep 2009 (-4.8%), 14 Dec 2009 (-4.06%)
2008209 Jan 2008 (14.03%), 28 May 2008 (14.53%)
2007508 May 2007 (11.13%), 29 Jun 2007 (-3.76%), 09 Oct 2007 (-3.89%), 10 Oct 2007 (-3.88%), 01 Nov 2007 (-6.73%)
2006413 Feb 2006 (-3.35%), 09 Mar 2006 (-3.93%), 16 May 2006 (18.39%), 06 Nov 2006 (-2.47%)
2005322 Feb 2005 (-2.56%), 02 Mar 2005 (-2.53%), 23 Aug 2005 (-2.62%)
2004512 Jan 2004 (-3.92%), 23 Apr 2004 (9.83%), 21 Jul 2004 (-4.73%), 10 Sep 2004 (-2.43%), 11 Oct 2004 (7.35%)
20031101 Jan 2003 (-2.65%), 28 Jan 2003 (-2.24%), 13 May 2003 (-2.56%), 03 Jun 2003 (-2.5%), 04 Jun 2003 (-2.59%), 16 Jun 2003 (-2.4%), 26 Aug 2003 (-3.2%), 23 Oct 2003 (-4.94%), 24 Oct 2003 (-5.3%), 15 Nov 2003 (-4.88%), 08 Dec 2003 (-4.19%)
2002323 Jan 2002 (-2.95%), 24 Jan 2002 (-3.16%), 04 Mar 2002 (-4.08%)
2001517 Jan 2001 (-3.52%), 24 Jan 2001 (-3.74%), 23 Feb 2001 (11.03%), 28 May 2001 (8.89%), 13 Dec 2001 (11.94%)
2000318 Jan 2000 (-6.33%), 19 Jan 2000 (19.02%), 22 May 2000 (-5.43%)
1999417 May 1999 (-6.04%), 28 Jun 1999 (-5.34%), 23 Jul 1999 (-5.29%), 24 Aug 1999 (13.92%)
1998425 Mar 1998 (-2.55%), 03 Apr 1998 (-2.7%), 29 Apr 1998 (-5.43%), 26 Oct 1998 (-4.02%)
1997427 Jan 1997 (8.85%), 21 Mar 1997 (-2.81%), 23 Jun 1997 (-1.63%), 12 Aug 1997 (9.49%)
1996201 Mar 1996 (-4.14%), 13 May 1996 (-3.84%)
1995228 Aug 1995 (-1.9%), 28 Sep 1995 (5.84%)



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