Study: Buy HINDALCO 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 HINDALCO 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 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
1-62652.1680354543.753546.9614126.02-4151.01-26724.140.850.66-0.029-783.15
2-65504.1980374346.255289.8914642.61-6075.12-24137.930.870.75-0.023-818.8
3-51093.8480374346.256748.8230894.31-6995.35-24497.130.960.83-0.014-638.67
459150.53803644459535.3835264.23-6457.35-22054.61.481.210.014739.38
511312180413951.2510388.245528.46-8020.38-29689.681.31.360.0231414.02
673812.768040405010448.8153150.41-8603.49-30975.681.211.210.015922.66
7-10905.2680413951.2510458.7747865.85-11274.74-32764.890.930.98-0.0019-136.32
843965.6880413951.2512113.841571.61-11607.69-25462.461.041.10.0074549.57
917365280453556.2513354.3363878.33-12208.37-31517.861.091.410.0262170.65
1010169680453556.2513054.9953738.91-13879.4-33254.530.941.210.0151271.19
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
atrnil310.1941865.9789266329.2124134.8443791.12-9295.87-58313.842.61.070.0057470.4
atrnil27.56-9734.0591316034.0717197.0237457.98-9047.36-58313.841.90.98-0.0015-106.97
atrtrail-15.7-23977.1492326034.7813027.5250093.88-7347.63-41528.931.770.95-0.0038-260.62
atrtrail35.07-74957.4392326034.7811434.3835433.65-7347.63-41528.931.560.83-0.014-814.75
atrtrail24.64-14111792326034.789366.8923622.43-7347.63-41528.931.270.68-0.031-1533.88

In the table above, row 1 shows the best exit criterion. Profit factor is 1.07. 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 29.21%, which is not acceptable. Avoid this strategy. Average return per trade is 0.24%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0057, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDALCO Performance, Profit Factor:1.07

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019621 Jan 2019 (-2.54%), 22 Jan 2019 (-2.64%), 30 Jan 2019 (-2.55%), 25 Feb 2019 (-3.0%), 26 Feb 2019 (9.24%), 22 May 2019 (-3.08%)
2018620 Feb 2018 (-3.55%), 23 Feb 2018 (-3.58%), 28 Mar 2018 (-3.89%), 06 Apr 2018 (11.93%), 11 Jul 2018 (-3.53%), 27 Jul 2018 (-4.36%)
2017115 Dec 2017 (-2.89%)
2016205 Feb 2016 (-4.21%), 18 Feb 2016 (16.89%)
2015502 Feb 2015 (10.67%), 01 Apr 2015 (-4.06%), 19 Jun 2015 (-3.03%), 16 Jul 2015 (-3.23%), 09 Sep 2015 (-5.4%)
2014423 Jan 2014 (-2.75%), 26 Feb 2014 (8.48%), 14 Oct 2014 (-5.18%), 22 Oct 2014 (15.02%)
2013419 Feb 2013 (-2.97%), 08 Mar 2013 (-3.52%), 01 Apr 2013 (-3.77%), 16 Aug 2013 (15.48%)
2012707 Jan 2012 (12.71%), 04 Apr 2012 (-4.09%), 17 Apr 2012 (-3.98%), 02 May 2012 (-3.57%), 08 May 2012 (-3.66%), 25 May 2012 (11.82%), 10 Sep 2012 (9.51%)
2011604 Mar 2011 (-4.51%), 25 Mar 2011 (-3.48%), 30 May 2011 (-3.65%), 27 Jun 2011 (10.31%), 29 Aug 2011 (-5.11%), 12 Oct 2011 (-5.02%)
2010114 Jun 2010 (14.89%)
2009209 Feb 2009 (-7.02%), 06 Mar 2009 (17.72%)
2008504 Feb 2008 (-8.65%), 09 Jul 2008 (-6.03%), 27 Aug 2008 (-3.88%), 10 Sep 2008 (-4.34%), 03 Nov 2008 (-12.3%)
2007215 Mar 2007 (-6.67%), 28 Aug 2007 (13.26%)
2006119 Jun 2006 (-9.36%)
2005409 May 2005 (-2.83%), 27 May 2005 (-2.9%), 09 Jun 2005 (9.55%), 20 Sep 2005 (-29.16%)
2004209 Mar 2004 (-4.4%), 25 May 2004 (21.9%)
2003103 Apr 2003 (8.34%)
2002430 Apr 2002 (-3.11%), 13 Jun 2002 (-2.57%), 19 Aug 2002 (-4.28%), 22 Oct 2002 (-4.57%)
2001418 Jul 2001 (-3.32%), 20 Aug 2001 (-3.36%), 05 Sep 2001 (-3.52%), 05 Oct 2001 (16.6%)
2000415 Feb 2000 (-6.65%), 16 Mar 2000 (-6.87%), 04 Sep 2000 (6.8%), 20 Nov 2000 (11.73%)
1999226 Feb 1999 (-3.43%), 16 Mar 1999 (13.04%)
1998703 Feb 1998 (12.49%), 05 Jun 1998 (-4.75%), 08 Jun 1998 (-4.92%), 19 Jun 1998 (-5.29%), 24 Jun 1998 (-5.4%), 08 Sep 1998 (13.92%), 28 Dec 1998 (-2.64%)
1997209 Sep 1997 (-2.66%), 22 Dec 1997 (-4.21%)
1996212 Aug 1996 (-3.19%), 20 Sep 1996 (-4.03%)
1995504 Apr 1995 (-2.38%), 10 May 1995 (-3.31%), 12 May 1995 (10.3%), 13 Jul 1995 (3.94%), 29 Nov 1995 (7.24%)



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