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

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In this study, we evaluate the performance of strategy "Buy HINDUNILVR when RSI is above 50 and there is Bullish Centerline 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 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
17271.241064603017.145303.72-2707.9-5895.081.111.670.045727.12
21385.271055504984.6710823.21-4707.62-11429.871.061.060.0047138.53
3-12630.31055508217.8317775.74-10743.89-23588.340.760.76-0.023-1263.03
4-2686.2510555010094.4127663.38-10631.66-21675.770.950.95-0.004-268.62
5-15528.2610464010247.5425287.78-9419.74-23952.641.090.73-0.024-1552.83
6-7466.461055509831.4128259.57-11324.7-26124.380.870.87-0.01-746.65
7-20535.7510464010850.5921114.42-10656.35-25912.691.020.68-0.03-2053.57
8-17044.3510464011375.0222490.25-10424.07-27862.991.090.73-0.024-1704.44
9-17485.8210464012139.9228718.18-11007.58-25277.621.10.74-0.023-1748.58
10-8625.5210555012543.7136945.65-14268.81-32565.240.880.88-0.0098-862.55

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.67. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 0.36%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, 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-117271.241064603017.145303.72-2707.9-5895.081.111.670.045727.12
atrtrail-14.86150.031055506598.4922906.58-5368.49-11432.681.231.230.014615
atrtrail24.2-2213.051055504925.8811905.53-5368.49-11432.680.920.92-0.0069-221.31
atrtrail34.4-4022.921055504563.9112733.63-5368.49-11432.680.850.85-0.013-402.29
atrnil39.4-7848.8610373014234.7117858.3-7221.86-13887.631.970.84-0.015-784.89
atrnil26.7-22083.571037309489.8111905.53-7221.86-13887.631.310.56-0.055-2208.36

In the table above, row 1 shows the best exit criterion. Profit factor is 1.67. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 0.36%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, 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:1.67

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019115 Jan 2019 (-0.97%)
2017112 Oct 2017 (0.61%)
2014121 Oct 2014 (1.02%)
2010131 May 2010 (-1.43%)
2007129 Oct 2007 (-0.07%)
2003124 Sep 2003 (-2.95%)
2001128 Mar 2001 (2.65%)
2000115 Mar 2000 (1.2%)
1998119 May 1998 (1.73%)
1997129 May 1997 (1.83%)



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