Study: Sell HINDUNILVR when RSI is above 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 above 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
1-18908.26110515946.362565.129714.69-2537.78-9908.791.010.87-0.0099-171.89
219945.72110605054.553736.2822021.66-4084.62-14329.150.911.10.0067181.32
314771.65110545649.094855.9214860.08-4418.72-17309.391.11.060.0046134.29
4-60159.23110585252.734742.5318179.77-6446.66-24674.510.740.82-0.016-546.9
5-73949.64110545649.095426.4218529.49-6553.15-25258.810.830.8-0.018-672.27
6-105280110565450.915790.8317022.29-7954.93-22249.940.730.75-0.023-957.09
7-97647.49110565450.916252.1418337.7-8291.98-31929.730.750.78-0.02-887.7
8-120545109555450.466036.7520554.47-8380.87-43761.30.720.73-0.023-1105.92
9-191801109515846.796401.517374.3-8935.82-46396.280.720.63-0.034-1759.64
10-128499109515846.797664.1623463.69-8954.68-38388.010.860.75-0.022-1178.89
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
atrtrail23.9820916.23130448633.858234.9616774.49-3970.03-9663.282.071.060.0049160.89
atrtrail34.5514025.34130448633.858078.3525108.05-3970.03-9663.282.031.040.0031107.89
atrnil38.38-19751.5512832962515668.528077.43-5428.58-10067.412.890.96-0.0033-154.31
atrnil25.84-54226.86129408931.0110630.2918718.28-5386.95-10067.411.970.89-0.011-420.36
atrtrail-14.83-79355.22130438733.086100.5426275.6-3927.34-9663.281.550.77-0.021-610.42

In the table above, row 1 shows the best exit criterion. Profit factor is 1.06. 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 33.85%, which is not acceptable. Avoid this strategy. Average return per trade is 0.08%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0049, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDUNILVR Performance, Profit Factor:1.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019317 Jun 2019 (3.57%), 03 Sep 2019 (-0.83%), 04 Oct 2019 (-2.21%)
2018602 Jan 2018 (-1.86%), 01 Feb 2018 (3.85%), 03 May 2018 (-1.85%), 14 Aug 2018 (-1.51%), 29 Aug 2018 (-1.81%), 19 Dec 2018 (4.29%)
2017702 Feb 2017 (-1.93%), 12 Apr 2017 (0.21%), 31 Jul 2017 (-2.08%), 10 Aug 2017 (-0.52%), 04 Sep 2017 (-1.92%), 25 Sep 2017 (3.62%), 23 Nov 2017 (-0.47%)
2016701 Jan 2016 (3.62%), 10 Mar 2016 (-2.36%), 07 Apr 2016 (-1.0%), 28 Apr 2016 (1.0%), 21 Jun 2016 (-0.66%), 20 Jul 2016 (-1.54%), 16 Aug 2016 (0.32%)
2015202 Feb 2015 (-0.41%), 17 Mar 2015 (6.04%)
2014712 Feb 2014 (4.28%), 17 Apr 2014 (4.23%), 20 Jun 2014 (-1.13%), 21 Aug 2014 (-1.27%), 02 Sep 2014 (-1.92%), 21 Nov 2014 (-1.47%), 11 Dec 2014 (3.97%)
2013117 May 2013 (-1.34%)
2012902 Jan 2012 (-2.27%), 03 Jan 2012 (4.48%), 09 Apr 2012 (-2.03%), 24 Apr 2012 (-0.49%), 15 May 2012 (-0.59%), 02 Jul 2012 (-0.11%), 03 Sep 2012 (-2.05%), 18 Sep 2012 (4.15%), 19 Oct 2012 (5.08%)
2011727 May 2011 (-2.75%), 08 Jun 2011 (-1.83%), 22 Jun 2011 (-2.6%), 23 Jun 2011 (-2.56%), 08 Jul 2011 (-1.05%), 23 Sep 2011 (-1.87%), 22 Nov 2011 (-0.12%)
2010420 May 2010 (-0.54%), 05 Jul 2010 (0.88%), 27 Aug 2010 (-1.89%), 06 Oct 2010 (0.71%)
2009614 Jan 2009 (-0.39%), 11 Feb 2009 (6.54%), 25 Jun 2009 (-3.3%), 26 Jun 2009 (-3.26%), 08 Jul 2009 (-1.04%), 22 Oct 2009 (-2.82%)
2008813 Mar 2008 (-4.57%), 11 Apr 2008 (-4.78%), 15 Apr 2008 (1.08%), 06 May 2008 (7.58%), 18 Aug 2008 (-0.88%), 11 Sep 2008 (6.24%), 07 Oct 2008 (7.24%), 31 Dec 2008 (-0.27%)
2007423 Apr 2007 (-3.34%), 24 Apr 2007 (-3.27%), 06 Aug 2007 (-3.76%), 03 Oct 2007 (6.18%)
2006816 Jan 2006 (-1.97%), 02 Feb 2006 (-1.28%), 06 Mar 2006 (-3.09%), 07 Mar 2006 (0.61%), 12 Apr 2006 (-2.85%), 20 Jul 2006 (-1.61%), 04 Oct 2006 (6.05%), 24 Nov 2006 (0.32%)
2005511 Feb 2005 (6.8%), 07 Jul 2005 (-1.14%), 19 Aug 2005 (0.49%), 23 Sep 2005 (-3.01%), 14 Dec 2005 (-2.75%)
2004512 Jan 2004 (-2.75%), 28 Sep 2004 (-2.22%), 29 Sep 2004 (-2.27%), 22 Nov 2004 (-2.07%), 13 Dec 2004 (-2.68%)
2003303 Jul 2003 (5.69%), 04 Sep 2003 (-3.79%), 09 Sep 2003 (7.6%)
2002208 Mar 2002 (2.38%), 30 Dec 2002 (0.32%)
2001303 Jan 2001 (-3.57%), 01 Feb 2001 (-1.81%), 04 Apr 2001 (8.37%)
2000228 Jan 2000 (8.39%), 16 Jun 2000 (-4.83%)
19991118 Jan 1999 (-1.79%), 18 Feb 1999 (2.39%), 24 Mar 1999 (-2.53%), 04 Jun 1999 (-0.4%), 25 Jun 1999 (-2.9%), 28 Jun 1999 (-2.83%), 09 Jul 1999 (-2.34%), 16 Jul 1999 (-2.64%), 19 Jul 1999 (-2.59%), 06 Aug 1999 (4.64%), 02 Sep 1999 (5.06%)
1998709 Jan 1998 (5.43%), 10 Mar 1998 (-2.92%), 11 Mar 1998 (-2.3%), 04 Aug 1998 (6.09%), 22 Sep 1998 (-1.82%), 30 Sep 1998 (3.94%), 23 Dec 1998 (4.41%)
1997730 Jan 1997 (-0.34%), 18 Mar 1997 (-2.82%), 05 May 1997 (-1.26%), 24 Jun 1997 (-3.16%), 25 Jun 1997 (-3.13%), 04 Jul 1997 (-0.53%), 14 Aug 1997 (5.69%)
1996329 Feb 1996 (3.93%), 06 May 1996 (-2.29%), 11 Jul 1996 (-0.98%)
1995326 May 1995 (-2.04%), 22 Aug 1995 (3.41%), 25 Oct 1995 (-0.88%)



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