Study: Buy HINDUNILVR when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy HINDUNILVR when RSI is above 50 and there is Bullish 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: buy 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. 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
129208.2158342458.623057.9112029.01-3115.03-13163.520.981.390.024503.59
229537.1458332556.94079.7619472.49-4203.79-15020.920.971.280.019509.26
315292.6358312753.454815.6316522.86-4962.66-20048.260.971.110.0083263.67
452426.1658322655.175170.7226191.79-4347.57-27219.691.191.460.026903.9
564621.6858352360.345505.3525579.83-5568.06-19877.220.991.50.031114.17
698427.0258391967.245799.6130353.1-6724.1-19480.160.861.770.041697.02
710534758391967.246025.1518481.12-6822.82-19460.730.881.810.0451816.33
812759558342458.627469.1624846.15-5264.84-17702.571.422.010.0532199.92
915053158352360.347984.230573.4-5605.04-16786.291.422.170.0552595.36
1018556858391967.247901.4541638.92-6452.02-12856.811.222.510.0643199.45
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
HINDUNILVR Performance, X=10, Profit Factor:2.51

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019301 Feb 2019 (-1.47%), 20 Sep 2019 (-1.51%), 15 Oct 2019 (5.09%)
2018430 Jan 2018 (-3.63%), 16 May 2018 (0.74%), 04 Jul 2018 (-1.92%), 01 Aug 2018 (0.18%)
2017627 Feb 2017 (5.46%), 29 Mar 2017 (1.24%), 27 Apr 2017 (3.47%), 13 Jul 2017 (3.28%), 04 Aug 2017 (-0.05%), 31 Aug 2017 (2.3%)
2015108 Jan 2015 (15.62%)
2014215 May 2014 (-5.52%), 28 Aug 2014 (2.03%)
2013230 Apr 2013 (0.01%), 05 Jul 2013 (12.6%)
2012511 Apr 2012 (0.6%), 03 May 2012 (-1.1%), 14 Sep 2012 (-0.95%), 04 Oct 2012 (3.62%), 26 Nov 2012 (1.4%)
2011302 Jun 2011 (0.05%), 17 Jun 2011 (4.94%), 22 Dec 2011 (-3.69%)
2010326 Mar 2010 (-5.87%), 21 Apr 2010 (-1.76%), 29 Dec 2010 (0.07%)
2009124 Jul 2009 (-4.62%)
2008404 Feb 2008 (1.81%), 10 Jul 2008 (4.21%), 04 Nov 2008 (-5.26%), 08 Dec 2008 (7.22%)
2007119 Nov 2007 (0.49%)
2006331 Jan 2006 (20.82%), 30 Mar 2006 (2.38%), 01 Nov 2006 (2.72%)
2005227 May 2005 (6.95%), 19 Dec 2005 (-3.79%)
2004129 Nov 2004 (2.49%)
2003120 Feb 2003 (-3.32%)
2002106 Jun 2002 (-4.47%)
2001309 May 2001 (-6.43%), 20 Aug 2001 (0.3%), 01 Oct 2001 (8.21%)
2000126 May 2000 (4.08%)
1999104 Mar 1999 (4.24%)
1998217 Jun 1998 (-1.44%), 01 Jul 1998 (0.58%)
1997301 Mar 1997 (0.13%), 07 Apr 1997 (3.77%), 25 Nov 1997 (-4.5%)
1996217 Apr 1996 (2.16%), 03 Jun 1996 (10.7%)
1995305 May 1995 (0.4%), 21 Sep 1995 (5.65%), 08 Dec 1995 (2.12%)

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
atrnil313.0296124.5556203635.7115410.3228187.05-5891.16-132862.621.450.0321716.51
atrnil26.5858442.4265273841.5410107.4318791.36-5643.64-132861.791.270.022899.11
atrtrail24.4511584.6652639407081.8916609.69-4424.22-132861.61.070.0053178.22
atrtrail35.22-7863.1163263741.275926.7817916.36-4377.28-132861.350.95-0.0039-124.81
atrtrail-15.4-33116.2263263741.274955.5114551.18-4377.28-132861.130.8-0.018-525.65

In the table above, row 1 shows the best exit criterion. Profit factor is 1.45. 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 35.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.86%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, which is low, don't trade solely on the basis of this study. 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.
HINDUNILVR Performance, Profit Factor:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019201 Feb 2019 (-1.93%), 20 Sep 2019 (6.93%)
2018430 Jan 2018 (-1.78%), 16 May 2018 (5.92%), 04 Jul 2018 (5.68%), 01 Aug 2018 (-2.24%)
2017527 Feb 2017 (5.11%), 29 Mar 2017 (4.73%), 13 Jul 2017 (6.1%), 31 Aug 2017 (-1.94%), 12 Sep 2017 (-1.81%)
2015108 Jan 2015 (6.03%)
2014315 May 2014 (-2.09%), 16 May 2014 (-2.38%), 28 Aug 2014 (-2.02%)
2013130 Apr 2013 (9.92%)
2012511 Apr 2012 (-2.09%), 14 Sep 2012 (-1.84%), 04 Oct 2012 (-2.13%), 05 Oct 2012 (-3.51%), 26 Nov 2012 (-1.89%)
2011302 Jun 2011 (-2.66%), 17 Jun 2011 (-2.34%), 22 Dec 2011 (-2.42%)
2010326 Mar 2010 (-2.55%), 21 Apr 2010 (-2.18%), 29 Dec 2010 (6.31%)
2009124 Jul 2009 (-3.13%)
2008404 Feb 2008 (-6.64%), 10 Jul 2008 (-4.13%), 04 Nov 2008 (-6.49%), 08 Dec 2008 (12.46%)
2007119 Nov 2007 (10.48%)
2006331 Jan 2006 (-2.86%), 30 Mar 2006 (-3.03%), 01 Nov 2006 (-2.61%)
2005227 May 2005 (8.96%), 19 Dec 2005 (-2.99%)
2004129 Nov 2004 (6.89%)
2003120 Feb 2003 (-2.42%)
2002106 Jun 2002 (-3.39%)
2001309 May 2001 (-3.48%), 20 Aug 2001 (-2.74%), 01 Oct 2001 (14.09%)
2000126 May 2000 (-5.84%)
1999104 Mar 1999 (9.51%)
1998217 Jun 1998 (-3.86%), 01 Jul 1998 (-4.5%)
1997301 Mar 1997 (6.9%), 07 Apr 1997 (8.7%), 25 Nov 1997 (-3.44%)
1996217 Apr 1996 (-2.13%), 03 Jun 1996 (6.62%)
1995305 May 1995 (7.95%), 21 Sep 1995 (4.81%), 08 Dec 1995 (-2.59%)



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