Study: Sell HINDZINC when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell HINDZINC when RSI is below 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 HINDZINC 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
1-85494.15101416040.593971.5311924.12-4138.78-31764.710.960.66-0.031-846.48
2-150230101396238.614925.2816000-5521.22-27058.820.890.56-0.045-1487.43
3-142367101406139.67114.9732000-6999.44-32589.291.020.67-0.032-1409.57
4-68037.72101465545.547828.3132000-7784.36-26861.941.010.84-0.014-673.64
5-111354101445743.568490.4231978.32-8507.6-30065.3610.77-0.022-1102.52
6-135105101445743.569425.5629864.25-9646.14-57516.340.980.75-0.023-1337.68
7-179857101524951.498296.7932298.14-12475.3-86111.110.670.71-0.025-1780.76
8-186730101485347.5210995.7343794.7-13481.61-1055560.820.74-0.022-1848.81
9-194372101455644.5512797.3560760.45-13754.52-1166670.930.75-0.02-1924.48
10-193471101475446.5311937.7338839.29-13973.04-84722.220.850.74-0.023-1915.55
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
atrtrail24.44-17690711033773012208.0330315.01-7529.51-26996.941.620.69-0.032-1608.25
atrtrail34.93-18374811033773012000.7445472.52-7529.51-26996.941.590.68-0.031-1670.44
atrnil39.09-261227104208419.2326697.4545472.52-9466.38-26996.942.820.67-0.036-2511.79
atrnil26.07-273025109298026.6117015.9330315.01-9581.09-26996.941.780.64-0.044-2504.81
atrtrail-15.22-21860711033773010944.454138.16-7529.51-26996.941.450.62-0.038-1987.34

In the table above, row 1 shows the best exit criterion. Profit factor is 0.69. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDZINC Performance, Profit Factor:0.695

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019303 Jan 2019 (-2.45%), 10 Jul 2019 (-2.69%), 14 Aug 2019 (-0.44%)
2018918 Jan 2018 (5.48%), 07 Mar 2018 (-3.28%), 02 May 2018 (5.87%), 22 Jun 2018 (5.11%), 12 Jul 2018 (0.58%), 20 Aug 2018 (-2.71%), 11 Sep 2018 (-2.32%), 28 Sep 2018 (8.13%), 31 Oct 2018 (-3.76%)
2017230 Mar 2017 (2.23%), 18 May 2017 (6.22%)
2016407 Jan 2016 (-3.22%), 06 Apr 2016 (-2.09%), 04 May 2016 (-3.41%), 24 Jun 2016 (-1.93%)
2015709 Jan 2015 (5.93%), 25 Feb 2015 (-3.98%), 27 Apr 2015 (-3.49%), 26 May 2015 (0.37%), 02 Jul 2015 (5.31%), 28 Jul 2015 (-2.67%), 11 Dec 2015 (-3.17%)
2014702 Jan 2014 (-0.27%), 27 Jan 2014 (-0.47%), 25 Jul 2014 (-1.4%), 16 Sep 2014 (-3.33%), 11 Nov 2014 (-1.87%), 28 Nov 2014 (-1.84%), 12 Dec 2014 (0.47%)
2013810 Jan 2013 (5.76%), 22 Feb 2013 (-1.29%), 21 Mar 2013 (-2.92%), 15 Apr 2013 (0.73%), 14 May 2013 (-3.0%), 21 May 2013 (0.56%), 30 Jul 2013 (-3.51%), 31 Jul 2013 (-1.08%)
2012713 Apr 2012 (-3.17%), 08 May 2012 (5.97%), 12 Jul 2012 (-2.2%), 29 Aug 2012 (-3.45%), 15 Nov 2012 (-2.62%), 13 Dec 2012 (-2.72%), 20 Dec 2012 (-1.45%)
2011817 Jun 2011 (-2.16%), 11 Jul 2011 (-2.09%), 03 Aug 2011 (-3.65%), 04 Aug 2011 (7.54%), 23 Sep 2011 (8.14%), 11 Nov 2011 (7.06%), 15 Dec 2011 (-4.08%), 29 Dec 2011 (-1.73%)
2010426 Mar 2010 (-3.21%), 05 Jul 2010 (-3.02%), 30 Sep 2010 (-3.27%), 10 Dec 2010 (-3.76%)
2008709 Jan 2008 (9.17%), 13 Feb 2008 (-9.56%), 10 Mar 2008 (-6.24%), 27 May 2008 (-5.91%), 13 Aug 2008 (-2.52%), 09 Sep 2008 (9.56%), 02 Dec 2008 (-6.02%)
2007205 Mar 2007 (-6.81%), 20 Dec 2007 (-5.35%)
2003105 Feb 2003 (1.86%)
2002225 Oct 2002 (-4.64%), 28 Oct 2002 (-4.94%)
2001827 Feb 2001 (-5.56%), 09 Mar 2001 (13.41%), 06 Apr 2001 (-0.19%), 15 May 2001 (-5.43%), 05 Jun 2001 (-0.16%), 19 Jul 2001 (1.61%), 27 Aug 2001 (-4.55%), 12 Nov 2001 (-8.3%)
2000512 Jan 2000 (-3.85%), 13 Mar 2000 (-13.5%), 03 May 2000 (15.16%), 16 Jun 2000 (-7.71%), 04 Jul 2000 (-6.67%)
1999318 Jan 1999 (-5.92%), 09 Mar 1999 (-9.84%), 25 May 1999 (-11.62%)
1998813 Jan 1998 (12.49%), 04 Aug 1998 (12.48%), 31 Aug 1998 (-6.22%), 01 Sep 1998 (-5.53%), 28 Sep 1998 (-0.38%), 02 Nov 1998 (-0.73%), 30 Nov 1998 (-2.48%), 24 Dec 1998 (-3.61%)
1997427 May 1997 (-4.43%), 26 Jun 1997 (1.75%), 14 Jul 1997 (-4.4%), 08 Dec 1997 (4.82%)
1996509 Jan 1996 (2.26%), 11 Mar 1996 (-0.71%), 02 Jul 1996 (9.12%), 13 Aug 1996 (14.93%), 17 Oct 1996 (-6.95%)
1995625 Apr 1995 (-4.29%), 26 Apr 1995 (3.55%), 22 Jun 1995 (-0.49%), 01 Aug 1995 (-5.35%), 30 Oct 1995 (-3.88%), 31 Oct 1995 (7.8%)



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