Study: Sell HINDUNILVR 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 HINDUNILVR 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 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
129817.9134201458.823607.9110746.53-3024.31-15640.61.191.70.038877
29385.5734181652.943956.8513189.35-3864.86-23377.71.021.150.0092276.05
3-10174.9334151944.125604.3612464.21-4960.01-27703.831.130.89-0.008-299.26
4-36265.1434181652.944486.3416295.97-7313.7-29367.720.610.69-0.023-1066.62
5-51126.5734161847.065794.9117529.18-7991.4-31650.040.730.64-0.029-1503.72
6-65106.24341717506233.225897.38-10062.97-35690.520.620.62-0.033-1914.89
7-76496.534181652.945737.9223651.18-11236.19-33026.040.510.57-0.037-2249.9
8-74650.55341717506464.8827042.5-10856.09-35828.080.60.6-0.035-2195.6
9-85901.5734181652.946218.1422506.06-12364.25-30078.570.50.57-0.042-2526.52
10-12244834122235.297241.9615238.93-9515.98-30983.630.760.42-0.064-3601.41

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.7. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 58.82%, which is not acceptable. Avoid this strategy. Average return per trade is 0.44%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.038, 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-1129817.9134201458.823607.9110746.53-3024.31-15640.61.191.70.038877
atrtrail25.8722425.2338152339.4710652.9447375.7-5972.56-12144.81.781.160.011590.14
atrtrail36.13-11293.4338152339.478405.0347375.7-5972.56-12144.81.410.92-0.0058-297.2
atrtrail-16.39-11894.4138152339.478364.9647375.7-5972.56-12144.81.40.91-0.0061-313.01
atrnil2183.35-2126691751229.4112261.9617370.91-22831.59-1951100.540.22-0.055-12509.96
atrnil3185.53-290478171165.8810617.3310617.33-18818.43-1951100.560.035-0.077-17086.92

In the table above, row 1 shows the best exit criterion. Profit factor is 1.7. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 58.82%, which is not acceptable. Avoid this strategy. Average return per trade is 0.44%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.038, 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:1.7

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018218 Jul 2018 (-0.23%), 04 Oct 2018 (0.98%)
2017126 Sep 2017 (0.94%)
2016111 Nov 2016 (-0.46%)
2015119 Oct 2015 (0.86%)
2013228 Feb 2013 (-2.2%), 30 Jul 2013 (2.3%)
2012103 Jul 2012 (0.77%)
2011126 Sep 2011 (-3.01%)
2010329 Jan 2010 (2.08%), 12 Mar 2010 (-2.8%), 07 Apr 2010 (1.02%)
2009107 Aug 2009 (3.32%)
2008312 Feb 2008 (0.75%), 23 Jun 2008 (5.37%), 19 Nov 2008 (-0.11%)
2007101 Feb 2007 (-0.84%)
2006117 Jan 2006 (0.78%)
2005314 Feb 2005 (-0.23%), 09 May 2005 (-0.38%), 08 Aug 2005 (0.83%)
2004117 May 2004 (-7.82%)
2002121 May 2002 (0.83%)
2001218 May 2001 (2.8%), 01 Aug 2001 (0.38%)
2000306 Mar 2000 (-0.38%), 22 May 2000 (0.78%), 06 Jul 2000 (1.04%)
1998119 Jun 1998 (2.72%)
1997118 Aug 1997 (3.93%)
1996225 Jun 1996 (-1.07%), 04 Oct 1996 (3.6%)
1995221 Mar 1995 (-0.95%), 20 Apr 1995 (-0.69%)



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