Study: Sell HINDUNILVR 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 HINDUNILVR 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 HINDUNILVR 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
17522.11135676849.633171.6713688.85-3014.41-16166.691.051.040.002655.72
2-64726.32135676849.633711.1213189.35-4608.4-51069.780.810.79-0.014-479.45
3-109852135637246.674282.8816824.91-5273.24-45930.550.810.71-0.022-813.72
4-147524135666948.894285.8212836.22-6237.5-46167.080.690.66-0.028-1092.77
5-142245135647147.415232.6117712.85-6720.17-46489.620.780.7-0.024-1053.66
6-224677135637246.675330.9431956.17-7785.08-491560.680.6-0.034-1664.27
7-200522135676849.635642.1325975.8-8508.02-52445.970.660.65-0.028-1485.35
8-254269135716452.595514.0530038.8-10090.1-51521.340.550.61-0.034-1883.47
9-241845135726353.336139.0226046.51-10854.83-51585.850.570.65-0.031-1791.44
10-262768135627345.937343.2631531.29-9836.31-52058.920.750.63-0.033-1946.43

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.04. 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 49.63%, which is not acceptable. Avoid this strategy. Average return per trade is 0.028%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0026, 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.

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-117522.11135676849.633171.6713688.85-3014.41-16166.691.051.040.002655.72
atrtrail24.89-45185.391565510135.267859.7851048.9-4727.46-12144.81.660.91-0.0073-289.65
atrtrail35.21-96530.171555410134.847033.3351048.9-4716.14-12144.81.490.8-0.015-622.78
atrnil247.77-16066774274736.4911132.4526552.29-9813.69-2045281.130.65-0.017-2171.18
atrtrail-15.41-1632551535310034.645700.4951048.9-4653.8-12144.81.220.65-0.03-1067.02
atrnil354.72-33737167115616.4215922.523036.7-9152.12-2045281.740.34-0.039-5035.39

In the table above, row 1 shows the best exit criterion. Profit factor is 1.04. 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 49.63%, which is not acceptable. Avoid this strategy. Average return per trade is 0.028%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0026, 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.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDUNILVR Performance, X=1, Profit Factor:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019315 Feb 2019 (1.18%), 18 Mar 2019 (-0.12%), 06 May 2019 (-1.71%)
2018316 Mar 2018 (-0.79%), 18 Jul 2018 (-0.23%), 04 Oct 2018 (0.98%)
2017226 Sep 2017 (0.94%), 30 Oct 2017 (-0.26%)
2016808 Apr 2016 (-1.63%), 29 Apr 2016 (0.46%), 22 Jun 2016 (-1.18%), 19 Jul 2016 (-1.31%), 17 Aug 2016 (0.69%), 14 Sep 2016 (-0.61%), 11 Nov 2016 (-0.46%), 15 Dec 2016 (-0.11%)
2015518 Mar 2015 (-0.06%), 21 Apr 2015 (-3.9%), 04 Jun 2015 (-0.78%), 19 Oct 2015 (0.86%), 16 Nov 2015 (-1.81%)
2014409 Jan 2014 (0.78%), 13 Feb 2014 (-0.54%), 21 May 2014 (-0.28%), 27 Oct 2014 (0.47%)
2013811 Jan 2013 (-1.45%), 28 Feb 2013 (-2.2%), 26 Apr 2013 (-6.95%), 30 Jul 2013 (2.3%), 26 Sep 2013 (1.26%), 25 Oct 2013 (0.79%), 21 Nov 2013 (0.45%), 05 Dec 2013 (1.01%)
2012407 Feb 2012 (-1.67%), 03 Jul 2012 (0.77%), 13 Dec 2012 (0.6%), 28 Dec 2012 (-0.53%)
2011412 Jan 2011 (0.89%), 15 Mar 2011 (1.24%), 03 May 2011 (-0.9%), 26 Sep 2011 (-3.01%)
2010914 Jan 2010 (-0.14%), 29 Jan 2010 (2.08%), 12 Mar 2010 (-2.8%), 07 Apr 2010 (1.02%), 05 May 2010 (-1.49%), 21 May 2010 (-0.43%), 30 Aug 2010 (-0.32%), 16 Nov 2010 (-0.37%), 20 Dec 2010 (0.47%)
2009615 Jan 2009 (-1.54%), 28 Apr 2009 (-4.19%), 07 Aug 2009 (3.32%), 11 Sep 2009 (-1.48%), 21 Oct 2009 (-1.7%), 03 Dec 2009 (-0.48%)
2008614 Jan 2008 (1.03%), 12 Feb 2008 (0.75%), 20 Jun 2008 (-0.58%), 08 Oct 2008 (6.84%), 24 Oct 2008 (6.54%), 19 Nov 2008 (-0.11%)
2007531 Jan 2007 (0.46%), 30 Apr 2007 (1.73%), 06 Jun 2007 (2.07%), 20 Jul 2007 (-5.51%), 01 Nov 2007 (-1.08%)
2006517 Jan 2006 (0.78%), 19 Jul 2006 (-3.4%), 02 Aug 2006 (1.51%), 11 Sep 2006 (0.43%), 23 Nov 2006 (-0.89%)
2005514 Feb 2005 (-0.23%), 08 Mar 2005 (1.3%), 09 May 2005 (-0.38%), 08 Aug 2005 (0.83%), 22 Sep 2005 (-3.06%)
2004618 Feb 2004 (2.93%), 29 Apr 2004 (1.87%), 17 May 2004 (-7.82%), 10 Jun 2004 (0.69%), 09 Jul 2004 (-1.47%), 30 Jul 2004 (-2.41%)
2003607 Mar 2003 (1.77%), 25 Mar 2003 (-0.67%), 09 Apr 2003 (-0.1%), 06 Aug 2003 (-3.27%), 22 Oct 2003 (1.75%), 20 Nov 2003 (-1.61%)
2002609 Jan 2002 (0.19%), 21 May 2002 (0.83%), 19 Jun 2002 (-1.9%), 17 Jul 2002 (-0.57%), 13 Sep 2002 (0.14%), 25 Oct 2002 (4.79%)
2001802 Feb 2001 (-0.03%), 26 Feb 2001 (0.89%), 13 Mar 2001 (-2.63%), 26 Apr 2001 (-1.08%), 18 May 2001 (2.8%), 01 Aug 2001 (0.38%), 24 Oct 2001 (1.72%), 21 Nov 2001 (0.12%)
2000731 Jan 2000 (4.64%), 06 Mar 2000 (-0.38%), 24 Mar 2000 (4.14%), 17 Apr 2000 (0.59%), 11 May 2000 (0.56%), 15 Jun 2000 (-0.31%), 05 Jul 2000 (2.41%)
1999415 Jan 1999 (-1.89%), 03 Sep 1999 (-0.28%), 05 Oct 1999 (-0.55%), 17 Dec 1999 (0.98%)
1998612 Jan 1998 (2.88%), 28 May 1998 (0.2%), 19 Jun 1998 (2.72%), 21 Sep 1998 (-1.36%), 20 Oct 1998 (3.82%), 16 Nov 1998 (0.6%)
1997418 Aug 1997 (3.93%), 18 Sep 1997 (0.93%), 28 Oct 1997 (-8.08%), 09 Dec 1997 (2.08%)
1996625 Jun 1996 (-1.07%), 12 Aug 1996 (1.55%), 02 Sep 1996 (2.27%), 03 Oct 1996 (2.04%), 04 Nov 1996 (-0.03%), 27 Nov 1996 (-0.68%)
1995521 Mar 1995 (-0.95%), 20 Apr 1995 (-0.69%), 14 Jun 1995 (0.8%), 31 Jul 1995 (0.43%), 23 Aug 1995 (1.0%)



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