Study: Sell ARVIND when there is bearish divergence in RSI

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell ARVIND 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
1-29629.0532151746.883844.098342.95-5134.73-16124.030.750.66-0.032-925.91
232396.8432141843.758447.7718019.36-4770.67-17054.261.771.380.0251012.4
3515.2732151746.887314.2617182.13-6423.45-20909.091.1410.0003816.1
436360.9132191359.388063.6327353.95-8988.31-29090.910.91.310.0211136.28
569843.6532181456.2510164.4828594.51-8079.78-20909.091.261.620.0382182.61
611572832211165.6210593.1937964.46-9702.63-22222.221.092.080.0593616.5
791052.8132191359.3810566.3826171.24-8439.1-32391.711.251.830.0462845.4
832631.1232171553.1213144.9439689.28-12722.19-56497.181.031.170.0121019.72
9-26855.443216165013142.9936970.51-14821.45-62523.540.890.89-0.0089-839.23
10-97688.363216165012525.0332673.87-18630.55-52730.70.670.67-0.033-3052.76
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
ARVIND Performance, X=6, Profit Factor:2.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016205 Jan 2016 (6.83%), 02 Nov 2016 (5.7%)
2015120 Jul 2015 (4.07%)
2014310 Jan 2014 (5.28%), 09 Apr 2014 (-7.23%), 12 Sep 2014 (5.66%)
2013415 Oct 2013 (-5.17%), 30 Oct 2013 (1.72%), 14 Nov 2013 (-2.41%), 29 Nov 2013 (2.15%)
2011115 Apr 2011 (-4.55%)
2010219 Aug 2010 (2.24%), 27 Oct 2010 (-2.11%)
2009302 Jun 2009 (2.17%), 11 Sep 2009 (-8.08%), 30 Sep 2009 (9.14%)
2007115 Oct 2007 (3.92%)
2004505 Jan 2004 (5.97%), 22 Apr 2004 (13.54%), 07 May 2004 (18.98%), 03 Dec 2004 (1.63%), 31 Dec 2004 (8.36%)
2003305 May 2003 (-11.11%), 23 May 2003 (3.96%), 05 Dec 2003 (-0.41%)
2002331 Jan 2002 (-7.73%), 19 Feb 2002 (-0.34%), 24 Jun 2002 (2.78%)
2000108 Dec 2000 (-4.23%)
1999107 Jan 1999 (4.7%)
1997110 Jan 1997 (1.88%)
1996130 Apr 1996 (0.54%)

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
atrtrail23.06-1433.2447153231.9114424.8529268.2-6806.44-15659.822.120.99-0.00055-30.49
atrnil36.02-20846.2844103422.7328392.6643902.3-8963.91-15659.823.170.93-0.0059-473.78
atrnil24.07-19575.6144143031.8218087.629268.2-9093.4-15659.821.990.93-0.0069-444.9
atrtrail33.6-81369.0147143329.799975.328050.4-6697.67-15659.821.490.63-0.038-1731.26
atrtrail-13.81-11084547143329.797869.8826812.94-6697.67-15659.821.180.5-0.059-2358.4

In the table above, row 1 shows the best exit criterion. Profit factor is 0.99. 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 31.91%, which is not acceptable. Avoid this strategy. Average return per trade is -0.015%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ARVIND Performance, Profit Factor:0.993

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016205 Jan 2016 (5.76%), 02 Nov 2016 (6.51%)
2015120 Jul 2015 (0.7%)
2014510 Jan 2014 (7.58%), 09 Apr 2014 (-3.35%), 11 Apr 2014 (-1.65%), 23 Apr 2014 (7.11%), 12 Sep 2014 (7.07%)
2013915 Oct 2013 (-3.83%), 17 Oct 2013 (-4.01%), 25 Oct 2013 (-3.11%), 29 Oct 2013 (-2.9%), 12 Nov 2013 (-3.99%), 14 Nov 2013 (-4.0%), 22 Nov 2013 (0.36%), 29 Nov 2013 (-3.77%), 02 Dec 2013 (7.54%)
2011115 Apr 2011 (-2.78%)
2010519 Aug 2010 (-3.93%), 24 Aug 2010 (-0.25%), 27 Oct 2010 (-4.45%), 28 Oct 2010 (-2.57%), 03 Nov 2010 (-4.53%)
2009402 Jun 2009 (-7.83%), 04 Jun 2009 (14.63%), 11 Sep 2009 (-2.93%), 30 Sep 2009 (-3.11%)
2007115 Oct 2007 (13.57%)
2004605 Jan 2004 (0.4%), 22 Apr 2004 (9.35%), 07 May 2004 (10.17%), 03 Dec 2004 (-1.17%), 16 Dec 2004 (-1.87%), 31 Dec 2004 (7.69%)
2003305 May 2003 (-3.04%), 23 May 2003 (-2.39%), 05 Dec 2003 (-2.44%)
2002531 Jan 2002 (-2.02%), 05 Feb 2002 (-4.81%), 07 Feb 2002 (-2.75%), 19 Feb 2002 (-6.65%), 24 Jun 2002 (-0.08%)
2000108 Dec 2000 (-6.08%)
1999207 Jan 1999 (-4.98%), 13 Jan 1999 (9.73%)
1997110 Jan 1997 (-3.16%)
1996130 Apr 1996 (-4.46%)



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