Study: Buy HINDZINC 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 HINDZINC 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 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. 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
188224.1559293049.155985.2828689.26-2844.96-11818.182.12.030.0491495.32
258250.359233638.989608.8257553.96-4520.91-17258.882.131.360.021987.29
31.13765e+0759263344.074448771.12997e+07-5766.76-18181.8277.1560.780.029192822
41.20095e+0759293049.154215711.20053e+07-7202.92-21495.3358.5356.580.029203550
51.18987e+0759293049.154177071.18871e+07-7160.83-27221.7758.3356.390.029201672
61.19466e+0759293049.154206281.19531e+07-8388.94-25398.0150.1448.470.029202484
71.26549e+0759312852.544168951.26119e+07-9601.52-27338.1343.4248.070.029214490
81.21125e+0759312852.544006431.20409e+07-10978.86-39090.9136.4940.40.029205297
91.22405e+0759302950.854193021.21241e+07-11672.74-48920.8635.9237.160.029207467
101.26739e+0759322754.244058301.23399e+07-11581.16-48920.8635.0441.530.03214811
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
HINDZINC Performance, X=3, Profit Factor:60.8

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019320 Feb 2019 (3.29%), 26 Jun 2019 (1.52%), 09 Aug 2019 (-2.5%)
2018530 May 2018 (-2.95%), 10 Jul 2018 (-2.62%), 24 Jul 2018 (0.46%), 23 Oct 2018 (-0.45%), 15 Nov 2018 (-1.18%)
2017315 May 2017 (-4.71%), 30 May 2017 (-2.14%), 18 Dec 2017 (1.98%)
2015307 Apr 2015 (5.54%), 16 Jul 2015 (1.0%), 03 Sep 2015 (-2.14%)
2013520 Feb 2013 (-5.02%), 06 Mar 2013 (-0.54%), 26 Mar 2013 (3.17%), 05 Jul 2013 (-0.54%), 09 Dec 2013 (3.39%)
2012319 Apr 2012 (-0.4%), 29 May 2012 (-2.01%), 01 Aug 2012 (0.08%)
2011318 Feb 2011 (0.38%), 13 Oct 2011 (-0.75%), 29 Nov 2011 (8.86%)
2010418 Feb 2010 (-0.86%), 03 Jun 2010 (-5.1%), 09 Jul 2010 (0.63%), 08 Dec 2010 (-0.98%)
2008415 Feb 2008 (2.02%), 09 Jul 2008 (12.12%), 28 Oct 2008 (14.63%), 04 Dec 2008 (-3.05%)
2007326 Feb 2007 (-6.92%), 12 Mar 2007 (-1.8%), 29 Aug 2007 (3.29%)
2003127 Mar 2003 (5649.83%)
2002205 Aug 2002 (-0.25%), 29 Oct 2002 (-2.84%)
2001120 Apr 2001 (5.09%)
2000301 Mar 2000 (-9.09%), 15 Mar 2000 (-5.58%), 25 May 2000 (32.37%)
1999126 Nov 1999 (-5.15%)
1998425 Feb 1998 (8.76%), 25 Jun 1998 (-7.94%), 09 Dec 1998 (0.0%), 29 Dec 1998 (6.02%)
1997213 Nov 1997 (-1.56%), 17 Dec 1997 (8.36%)
1996512 Feb 1996 (1.42%), 08 Apr 1996 (6.4%), 14 Jun 1996 (1.0%), 05 Aug 1996 (-2.88%), 26 Aug 1996 (-6.09%)
1995405 Apr 1995 (-1.52%), 12 May 1995 (-3.58%), 12 Sep 1995 (1.79%), 19 Dec 1995 (-2.0%)

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-16.831.1863e+0766224433.335546701.18628e+07-7720.47-25383.3671.8435.920.027179743
atrnil39.5214333966214531.8228994.7772233.39-10345.57-25383.362.81.310.0242171.81
atrnil27.1988810.5468274139.7119037.1448155.59-10370.54-25383.361.841.210.0181306.04
atrtrail25.18-4783.9368244435.2913984.1348155.59-7736.43-25383.361.810.99-0.0012-70.35
atrtrail35.94-26472.3166224433.3314237.6643829.14-7720.47-25383.361.840.92-0.0068-401.1

In the table above, row 1 shows the best exit criterion. Profit factor is 35.92. Strategy is very good and impressively bullish. Percentage of profitable trades is 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 89.87%, which is very good. Sharpe Ratio is 0.027, 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.
HINDZINC Performance, Profit Factor:35.9

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019420 Feb 2019 (6.68%), 26 Jun 2019 (-0.83%), 09 Aug 2019 (-3.23%), 16 Aug 2019 (-2.16%)
2018630 May 2018 (-2.01%), 10 Jul 2018 (-2.8%), 13 Jul 2018 (-2.87%), 24 Jul 2018 (0.26%), 23 Oct 2018 (-0.79%), 15 Nov 2018 (-0.03%)
2017415 May 2017 (-2.95%), 22 May 2017 (-2.92%), 30 May 2017 (-3.42%), 18 Dec 2017 (6.76%)
2015307 Apr 2015 (2.1%), 16 Jul 2015 (-1.09%), 03 Sep 2015 (-3.42%)
2013520 Feb 2013 (-2.8%), 06 Mar 2013 (-2.95%), 26 Mar 2013 (0.17%), 05 Jul 2013 (1.12%), 09 Dec 2013 (3.3%)
2012319 Apr 2012 (-1.77%), 29 May 2012 (-3.27%), 01 Aug 2012 (3.23%)
2011318 Feb 2011 (-2.93%), 13 Oct 2011 (-1.6%), 29 Nov 2011 (6.1%)
2010518 Feb 2010 (6.08%), 03 Jun 2010 (-4.33%), 09 Jul 2010 (15.91%), 08 Dec 2010 (-3.44%), 09 Dec 2010 (15.64%)
2008415 Feb 2008 (6.91%), 09 Jul 2008 (5.09%), 28 Oct 2008 (2.31%), 04 Dec 2008 (-3.91%)
2007426 Feb 2007 (-5.36%), 09 Mar 2007 (-6.54%), 20 Mar 2007 (18.06%), 29 Aug 2007 (-1.28%)
2003127 Mar 2003 (5931.42%)
2002205 Aug 2002 (-4.13%), 29 Oct 2002 (-3.96%)
2001120 Apr 2001 (-0.61%)
2000401 Mar 2000 (-11.24%), 09 Mar 2000 (-12.69%), 15 Mar 2000 (-11.41%), 25 May 2000 (23.49%)
1999126 Nov 1999 (-8.27%)
1998425 Feb 1998 (1.57%), 25 Jun 1998 (-6.48%), 09 Dec 1998 (-3.27%), 29 Dec 1998 (1.12%)
1997213 Nov 1997 (-3.47%), 17 Dec 1997 (7.84%)
1996612 Feb 1996 (-5.31%), 13 Feb 1996 (-1.6%), 08 Apr 1996 (36.21%), 14 Jun 1996 (-3.01%), 05 Aug 1996 (-5.87%), 26 Aug 1996 (-6.53%)
1995405 Apr 1995 (-2.63%), 12 May 1995 (-4.92%), 12 Sep 1995 (-1.33%), 19 Dec 1995 (-4.45%)



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