Study: Sell AJANTPHARM when there is bearish divergence in RSI and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell AJANTPHARM when there is bearish divergence in RSI and ADX is Trending" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell AJANTPHARM 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
15556.2831201164.523472.5813278.01-5808.66-17453.880.61.090.0068179.23
2-13060.0631181358.064736.7420879.12-7563.18-28243.40.630.87-0.012-421.29
31759.0431171454.846677.9119821.26-7983.24-24885.190.841.020.001556.74
4-21981.2431151648.398598.0820741.76-9434.53-22187.140.910.85-0.015-709.07
5-39571.7831141745.1610410.5826098.9-10901.17-24081.520.950.79-0.023-1276.51
6-73580.5431131841.9410066.0624764.25-11357.74-36561.390.890.64-0.041-2373.57
7-38957.9731151648.3911078.432144.32-12820.88-36294.880.860.81-0.019-1256.71
8-17856.8731151648.3913767.8841895.6-14023.44-33586.630.980.92-0.0078-576.03
9-35147.9331171454.8412531.0848076.92-17726.88-36854.190.710.86-0.014-1133.8
10-22370.231161551.6113122.2746840.66-15488.43-37256.030.850.9-0.0092-721.62

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.09. 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 64.52%, which is good. Average return per trade is 0.09%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0068, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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
nilnil-115556.2831201164.523472.5813278.01-5808.66-17453.880.61.090.0068179.23
atrtrail23.62-55701.1947143329.7912572.2627804.72-7021.6-15137.811.790.76-0.027-1185.13
atrtrail34.26-57234.5247143329.7912462.7441707.07-7021.6-15137.811.770.75-0.026-1217.76
atrtrail-14.47-71942.5247143329.7911412.1733397.58-7021.6-15137.811.630.69-0.035-1530.69
atrnil24.33-147184459362018594.9428870.41-8737.18-15643.992.130.53-0.067-3270.75
atrnil37.33-2317984554011.1124962.6341707.07-8915.28-15643.992.80.35-0.11-5151.07

In the table above, row 1 shows the best exit criterion. Profit factor is 1.09. 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 64.52%, which is good. Average return per trade is 0.09%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0068, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
AJANTPHARM Performance, X=1, Profit Factor:1.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018130 Aug 2018 (-1.69%)
2016210 Aug 2016 (-3.33%), 25 Aug 2016 (0.23%)
2015111 Mar 2015 (-8.73%)
2014420 Jun 2014 (-4.0%), 04 Jul 2014 (-0.09%), 21 Nov 2014 (0.3%), 05 Dec 2014 (0.35%)
2013431 Jan 2013 (2.42%), 16 May 2013 (1.23%), 08 Nov 2013 (1.65%), 26 Nov 2013 (0.28%)
2012502 Feb 2012 (-7.03%), 17 Feb 2012 (-2.02%), 13 Mar 2012 (-2.38%), 02 Apr 2012 (0.22%), 18 Apr 2012 (-0.39%)
2011421 Apr 2011 (-0.0%), 06 May 2011 (2.19%), 31 May 2011 (0.86%), 17 Jun 2011 (6.64%)
2010301 Feb 2010 (2.0%), 16 Feb 2010 (-2.29%), 05 Apr 2010 (2.54%)
2009228 May 2009 (1.11%), 18 Dec 2009 (0.13%)
2007126 Jun 2007 (0.22%)
2005223 May 2005 (1.6%), 08 Jun 2005 (3.25%)
2003108 Sep 2003 (6.32%)
2001128 Feb 2001 (1.19%)



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