Study: Sell HINDZINC 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 HINDZINC 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 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
1-92495.5270294141.433448.2913533.83-4695.02-34513.630.730.52-0.044-1321.36
2-17003370274338.575517.2515789.47-7418.58-36103.150.740.47-0.054-2429.05
3-20821070294141.435157.4915384.62-8726.28-49283.670.590.42-0.059-2974.43
4-15685270363451.435195.9316053.51-10114.86-33538.490.510.54-0.045-2240.74
5-19814770294141.437474.0326755.85-10119.36-44262.30.740.52-0.049-2830.67
6-17640670294141.438800.1228229.67-10527.05-46073.30.840.59-0.041-2520.08
7-207734702842409786.5828708.13-11470.43-62827.230.850.57-0.043-2967.63
8-15069770304042.8610680.2631318.1-11777.63-59685.860.910.68-0.03-2152.82
9-22145970323845.7110346.0127996.49-14540.3-61654.140.710.6-0.04-3163.7
10-21656270304042.8612275.7641437.63-14620.86-80451.130.840.63-0.036-3093.74
Although, strategy looks good but profit factor on day 3 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
atrtrail-14.8-22358489276230.349654.6459008.77-7810.63-17665.271.240.54-0.05-2512.18
atrtrail23.93-22963090286231.119258.2528895.37-7884.85-17665.271.170.53-0.059-2551.44
atrtrail34.36-23762190286231.118972.8536323.6-7884.85-17665.271.140.51-0.059-2640.23
atrnil37.58-41513390137714.4424525.7543343.06-9532.04-20892.462.570.43-0.079-4612.58
atrnil26.07-39281890197121.1115699.2228895.37-9733.84-20892.461.610.43-0.086-4364.64

In the table above, row 1 shows the best exit criterion. Profit factor is 0.54. 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:0.538

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019226 Mar 2019 (-1.61%), 11 Apr 2019 (-1.77%)
2018108 Mar 2018 (-3.08%)
2017427 Jul 2017 (-2.23%), 22 Aug 2017 (-1.61%), 15 Sep 2017 (1.17%), 24 Oct 2017 (-2.55%)
2016819 Feb 2016 (-1.25%), 16 Mar 2016 (-2.16%), 25 Aug 2016 (-3.13%), 17 Oct 2016 (-3.5%), 27 Oct 2016 (-3.25%), 08 Nov 2016 (-2.31%), 14 Dec 2016 (-3.48%), 15 Dec 2016 (9.3%)
2015224 Feb 2015 (-2.82%), 02 Nov 2015 (6.03%)
2014303 Jan 2014 (0.91%), 23 Apr 2014 (3.11%), 13 Jun 2014 (-4.8%)
2013318 Sep 2013 (-4.46%), 24 Sep 2013 (-0.8%), 07 Nov 2013 (1.11%)
2012717 Feb 2012 (1.86%), 30 Aug 2012 (-2.98%), 24 Sep 2012 (-2.51%), 08 Oct 2012 (-3.76%), 16 Nov 2012 (0.19%), 12 Dec 2012 (-2.16%), 19 Dec 2012 (-0.86%)
2011314 Jan 2011 (-2.76%), 28 Mar 2011 (-3.84%), 29 Mar 2011 (0.37%)
2010719 Jan 2010 (3.42%), 25 Mar 2010 (-1.51%), 18 Aug 2010 (-3.18%), 23 Aug 2010 (3.75%), 28 Oct 2010 (-2.77%), 09 Nov 2010 (-2.97%), 10 Nov 2010 (10.77%)
20091114 Jan 2009 (3.73%), 22 Apr 2009 (-4.69%), 14 May 2009 (-6.8%), 21 May 2009 (-4.3%), 09 Jun 2009 (-5.51%), 12 Aug 2009 (-5.6%), 13 Aug 2009 (1.6%), 23 Sep 2009 (-3.57%), 29 Oct 2009 (-3.62%), 30 Oct 2009 (1.24%), 10 Dec 2009 (1.1%)
2008313 May 2008 (-5.72%), 26 May 2008 (-3.55%), 08 Sep 2008 (29.5%)
2007527 Apr 2007 (-4.7%), 15 May 2007 (3.17%), 10 Jul 2007 (-3.33%), 11 Jul 2007 (-3.56%), 22 Oct 2007 (-5.02%)
2002624 Jan 2002 (-5.36%), 20 Feb 2002 (-5.89%), 05 Mar 2002 (-6.1%), 09 Apr 2002 (-1.9%), 10 Jun 2002 (8.98%), 13 Dec 2002 (-2.73%)
2001423 Jan 2001 (0.54%), 26 Feb 2001 (0.02%), 08 Mar 2001 (17.66%), 02 Nov 2001 (-5.48%)
2000305 Jul 2000 (-5.43%), 20 Sep 2000 (1.12%), 20 Dec 2000 (-1.12%)
1999728 May 1999 (-5.41%), 23 Jul 1999 (-8.83%), 26 Jul 1999 (-8.58%), 02 Aug 1999 (-5.17%), 27 Aug 1999 (-2.33%), 28 Sep 1999 (-7.79%), 29 Sep 1999 (7.51%)
1998120 Apr 1998 (-7.0%)
1997817 Jan 1997 (-4.16%), 07 Feb 1997 (-4.22%), 21 Feb 1997 (1.77%), 25 Mar 1997 (-5.14%), 26 Mar 1997 (-4.93%), 01 Apr 1997 (-5.94%), 26 May 1997 (2.57%), 19 Aug 1997 (7.84%)
1996109 May 1996 (-4.52%)



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