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

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In this study, we evaluate the performance of strategy "Buy HINDUNILVR when RSI is below 50 and there is Bullish 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
1-10780.1473383552.052382.616491.41-2894.84-9208.10.820.89-0.0091-147.67
2-32605.8573393453.423490.5310210.56-4962.84-13444.350.70.81-0.017-446.66
3-16662.8373413256.164050.314584.92-5710.16-20201.510.710.91-0.0072-228.26
424634.1773433058.94261.0318159.05-5286.34-17620.980.811.160.011337.45
546731.1473383552.055513.6518926.12-4651.07-17659.531.191.290.019640.15
66680.973413256.16532318507.24-6611.31-34206.90.811.030.002291.52
7-16082.5473383552.055121.5721325.21-6020.07-23366.110.850.92-0.0059-220.31
8-11811.2673353847.956287.7723800.46-6102.19-21862.351.030.95-0.0042-161.8
9-7898.0173363749.326896.2220258.95-6923.29-22364.2210.97-0.0025-108.19
1015587.2673383552.057371.225455.27-7557.66-20628.490.981.060.0046213.52
Although, strategy looks good but profit factor on day 2 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
atrtrail36.3769153.7982315137.89840.7529146.76-4625.67-13767.072.131.290.019843.34
atrtrail-16.8732906.3682315137.88671.4723323.56-4625.67-13767.071.871.140.0099401.3
atrtrail25.723147082325039.028307.0820112.55-4687.13-13767.071.771.130.01383.78
atrnil324.446488.663204331.7517500.6230168.83-7988.93-93800.022.191.020.0013102.99
atrnil222.75-42312.8863243938.111607.8320112.55-8228.22-93800.021.410.87-0.0091-671.63

In the table above, row 1 shows the best exit criterion. Profit factor is 1.29. 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 37.8%, which is not acceptable. Avoid this strategy. Average return per trade is 0.42%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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:1.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019414 Mar 2019 (-1.52%), 29 Mar 2019 (-1.59%), 09 Apr 2019 (2.96%), 26 Jul 2019 (6.48%)
2018413 Mar 2018 (-1.74%), 20 Mar 2018 (-1.49%), 01 Oct 2018 (-2.68%), 17 Oct 2018 (-1.36%)
2016302 Feb 2016 (2.93%), 30 Oct 2016 (-0.89%), 23 Nov 2016 (-0.09%)
2015421 May 2015 (-0.63%), 16 Jun 2015 (7.54%), 28 Sep 2015 (2.32%), 23 Oct 2015 (0.16%)
2014120 Jan 2014 (0.31%)
2013712 Feb 2013 (1.44%), 12 Mar 2013 (1.86%), 23 Oct 2013 (-2.84%), 31 Oct 2013 (-2.85%), 19 Nov 2013 (-2.38%), 26 Nov 2013 (-1.17%), 20 Dec 2013 (-1.02%)
2012306 Feb 2012 (-1.07%), 07 Mar 2012 (2.68%), 21 Dec 2012 (-1.2%)
2011215 Feb 2011 (0.02%), 24 Aug 2011 (6.21%)
2010505 Jan 2010 (-0.97%), 27 Jan 2010 (-2.13%), 16 Feb 2010 (1.08%), 25 Mar 2010 (1.82%), 20 Apr 2010 (6.49%)
2009423 Mar 2009 (-2.72%), 19 May 2009 (14.57%), 01 Sep 2009 (0.68%), 30 Sep 2009 (8.76%)
2008209 Jul 2008 (-3.22%), 28 Nov 2008 (13.16%)
2007411 Jan 2007 (0.42%), 09 Mar 2007 (-3.84%), 22 Jun 2007 (-2.51%), 16 Nov 2007 (-1.48%)
2006119 Jun 2006 (-6.76%)
2005204 Apr 2005 (-0.2%), 10 Nov 2005 (11.43%)
2004607 May 2004 (-2.95%), 13 May 2004 (-3.0%), 24 May 2004 (-2.19%), 24 Jun 2004 (-3.2%), 27 Jul 2004 (-2.74%), 24 Aug 2004 (11.03%)
2003619 Feb 2003 (-0.78%), 22 Mar 2003 (-2.65%), 07 Apr 2003 (-3.14%), 30 Apr 2003 (-3.19%), 02 May 2003 (10.51%), 10 Nov 2003 (-2.42%)
2002607 May 2002 (-0.66%), 28 May 2002 (-3.05%), 05 Jun 2002 (-1.79%), 28 Jun 2002 (-1.79%), 13 Aug 2002 (9.06%), 14 Oct 2002 (0.51%)
2001424 Apr 2001 (-4.9%), 10 May 2001 (-2.67%), 13 Jun 2001 (-2.74%), 14 Jun 2001 (3.78%)
2000309 May 2000 (-6.88%), 18 May 2000 (-6.26%), 25 Jul 2000 (-1.27%)
1999208 Oct 1999 (-2.94%), 03 Nov 1999 (-0.18%)
1998318 Jun 1998 (-4.1%), 02 Jul 1998 (8.79%), 04 Dec 1998 (4.96%)
1997109 Oct 1997 (7.4%)
1996430 Aug 1996 (-1.83%), 17 Sep 1996 (-1.52%), 17 Oct 1996 (1.46%), 12 Dec 1996 (1.72%)
1995103 Apr 1995 (-0.75%)



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