Study: Sell ALBK 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 ALBK 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 ALBK 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
1-26491.1828121642.863532.3510333.55-4304.96-9756.10.820.62-0.049-946.11
2-55738.6628111739.294974.3811898.02-6497.46-24450.190.770.5-0.062-1990.67
3-64282.4328111739.296748.6711559.14-8148.1-23027.170.830.54-0.061-2295.8
4-66665.1928111739.297646.0518443.43-8868.92-32858.990.860.56-0.054-2380.9
5-79577.212891932.147165.9831393.07-7582.69-28201.810.950.45-0.068-2842.04
6-11781328111739.295131.5917920.21-10250.63-32866.740.50.32-0.097-4207.62
7-82792.0128121642.867659.0819359.06-10918.81-38562.660.70.53-0.061-2956.86
8-12515328131546.437865.6317920.21-15160.44-35215.050.520.45-0.076-4469.76
9-19245928101835.719537.9220673.9-15991.03-46505.380.60.33-0.1-6873.55
10-22244928131546.438720.8227527.13-22387.96-63440.860.390.34-0.096-7944.6

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.62. This strategy is not profitable and we advice you not to use it.

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
atrtrail23.14-59659.6156173930.3611270.722896.53-6442.6-12468.341.750.76-0.028-1065.35
atrnil35.49-1220095394416.9825492.6334547.31-7987.34-12468.343.190.65-0.044-2302.06
nilnil-11-26491.1828121642.863532.3510333.55-4304.96-9756.10.820.62-0.049-946.11
atrnil24.34-12772053124122.6416677.823031.54-7996.44-12468.342.090.61-0.056-2409.82
atrtrail33.5-11200956164028.579204.2530495.1-6481.94-12468.341.420.57-0.055-2000.17
atrtrail-13.86-11393556164028.579083.8844854.08-6481.94-12468.341.40.56-0.054-2034.56

In the table above, row 1 shows the best exit criterion. Profit factor is 0.76. 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 30.36%, which is not acceptable. Avoid this strategy. Average return per trade is -0.53%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ALBK Performance, Profit Factor:0.763

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017309 May 2017 (-3.1%), 11 May 2017 (-3.54%), 12 May 2017 (7.07%)
2016213 Jul 2016 (-3.94%), 14 Jul 2016 (7.82%)
2014709 Apr 2014 (0.86%), 25 Apr 2014 (-3.02%), 21 May 2014 (-4.59%), 28 May 2014 (-5.39%), 02 Jun 2014 (-2.55%), 04 Jun 2014 (-5.09%), 09 Jun 2014 (9.42%)
2013301 Jan 2013 (-2.96%), 09 Jan 2013 (0.42%), 15 Jan 2013 (-0.28%)
2012510 Feb 2012 (-4.07%), 14 Feb 2012 (-3.98%), 27 Sep 2012 (-3.29%), 01 Oct 2012 (6.2%), 18 Dec 2012 (0.34%)
2010804 Aug 2010 (-2.51%), 11 Aug 2010 (-2.5%), 12 Aug 2010 (-2.74%), 17 Aug 2010 (-0.74%), 23 Aug 2010 (5.62%), 03 Sep 2010 (-0.68%), 16 Sep 2010 (-0.82%), 05 Oct 2010 (-2.51%)
2009905 May 2009 (-0.28%), 26 May 2009 (-6.23%), 28 May 2009 (-5.16%), 02 Jun 2009 (11.45%), 22 Sep 2009 (-4.15%), 23 Sep 2009 (-4.28%), 25 Sep 2009 (9.99%), 15 Oct 2009 (-4.51%), 17 Oct 2009 (-2.91%)
2006114 Sep 2006 (8.02%)
2005405 Jan 2005 (10.17%), 16 Mar 2005 (-0.11%), 21 Mar 2005 (-4.82%), 22 Mar 2005 (3.66%)
20041101 Jan 2004 (-0.05%), 21 Apr 2004 (-4.95%), 23 Apr 2004 (9.16%), 04 May 2004 (-5.53%), 11 Oct 2004 (0.22%), 19 Nov 2004 (-3.72%), 25 Nov 2004 (-3.4%), 08 Dec 2004 (-1.18%), 21 Dec 2004 (-3.65%), 29 Dec 2004 (-4.4%), 31 Dec 2004 (-4.16%)
2003316 May 2003 (1.6%), 24 Oct 2003 (3.81%), 24 Dec 2003 (-3.86%)



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