Study: Sell ASIANPAINT when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell ASIANPAINT 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 ASIANPAINT 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
114146.37352114603071.967036.06-3597.48-15810.410.851.280.019404.18
2-3769.7735181751.434063.2113349.15-4523.98-14882.330.90.95-0.004-107.71
352539.0335201557.145433.0117338.8-3741.41-9350.281.451.940.0511501.12
462450.7435201557.145826.9317175.16-3605.86-8276.111.622.150.061784.31
511336.3835171848.576177.719403.11-5204.7-15486.091.191.120.0087323.9
612810.2735161945.716884.1319311.66-5122.94-17352.061.341.130.009366.01
723056.9835171848.577081.627882.62-5407.24-22868.611.311.240.014658.77
826771.5535201557.146736.9326153.46-7197.8-36977.60.941.250.015764.9
929211.8235191654.297412.7839953.45-6976.94-32547.641.061.260.015834.62
1011758.535181751.438060.8633294.54-7843.36-31057.341.031.090.006335.96
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
ASIANPAINT Performance, X=4, Profit Factor:2.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019202 Aug 2019 (-1.34%), 29 Aug 2019 (5.91%)
2018217 Jul 2018 (-4.14%), 31 Jul 2018 (3.72%)
2017111 Sep 2017 (-0.6%)
2016225 May 2016 (-0.26%), 04 Aug 2016 (-0.24%)
2015116 Jul 2015 (0.56%)
2014108 Dec 2014 (2.42%)
2012509 Feb 2012 (0.88%), 28 Feb 2012 (0.78%), 10 May 2012 (-2.75%), 29 May 2012 (4.12%), 20 Dec 2012 (2.2%)
2011102 Jun 2011 (-3.2%)
2010202 Aug 2010 (0.62%), 19 Aug 2010 (-1.71%)
2009325 May 2009 (-3.24%), 08 Jun 2009 (-2.87%), 26 Oct 2009 (1.51%)
2008109 Jan 2008 (8.59%)
2006224 Jan 2006 (-2.7%), 10 Feb 2006 (0.53%)
2005411 Feb 2005 (-0.36%), 28 Mar 2005 (-0.54%), 19 Jul 2005 (-0.24%), 04 Aug 2005 (1.0%)
2004121 Dec 2004 (1.14%)
2003116 May 2003 (2.26%)
2002111 Jul 2002 (6.71%)
1999121 Jun 1999 (-2.87%)
1998109 Apr 1998 (3.94%)
1997102 Jul 1997 (1.88%)
1996102 May 1996 (5.39%)
1995117 Apr 1995 (4.12%)

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
atrtrail34.3340451.2249163332.6510077.7728983.33-3660.4-8107.832.751.330.02825.54
atrtrail23.9822038.7149163332.658926.9919322.22-3660.4-8107.832.441.180.013449.77
atrnil25.9612429.7647163134.0411656.7219322.22-5615.41-8107.832.081.070.0063264.46
atrtrail-14.82-10137.6549163332.656915.9718117.93-3660.4-8107.831.890.92-0.007-206.89
atrnil38.94-30316.647103721.2817776.1328983.33-5623.73-8107.833.160.85-0.013-645.03

In the table above, row 1 shows the best exit criterion. Profit factor is 1.33. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 32.65%, which is not acceptable. Avoid this strategy. Average return per trade is 0.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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.
ASIANPAINT Performance, Profit Factor:1.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019402 Aug 2019 (-1.02%), 06 Aug 2019 (-1.83%), 19 Aug 2019 (-0.89%), 29 Aug 2019 (5.26%)
2018317 Jul 2018 (-2.05%), 20 Jul 2018 (-1.92%), 31 Jul 2018 (1.58%)
2017111 Sep 2017 (5.82%)
2016325 May 2016 (-1.98%), 04 Aug 2016 (-2.26%), 09 Aug 2016 (-0.64%)
2015116 Jul 2015 (0.1%)
2014108 Dec 2014 (8.17%)
2012609 Feb 2012 (-1.42%), 28 Feb 2012 (-1.4%), 10 May 2012 (-1.72%), 14 May 2012 (-1.93%), 29 May 2012 (-1.5%), 20 Dec 2012 (0.12%)
2011202 Jun 2011 (-3.11%), 07 Jun 2011 (8.56%)
2010302 Aug 2010 (-1.58%), 19 Aug 2010 (-2.77%), 25 Aug 2010 (-1.4%)
2009525 May 2009 (-4.05%), 27 May 2009 (-1.23%), 01 Jun 2009 (-3.52%), 15 Jun 2009 (2.81%), 26 Oct 2009 (1.0%)
2008109 Jan 2008 (14.49%)
2006224 Jan 2006 (-2.32%), 10 Feb 2006 (-0.64%)
2005511 Feb 2005 (-0.53%), 28 Mar 2005 (-0.9%), 01 Apr 2005 (7.14%), 19 Jul 2005 (-2.54%), 04 Aug 2005 (-1.3%)
2004121 Dec 2004 (-1.41%)
2003316 May 2003 (-3.04%), 19 May 2003 (-0.42%), 26 May 2003 (-0.62%)
2002111 Jul 2002 (11.19%)
1999221 Jun 1999 (-4.01%), 02 Jul 1999 (-3.75%)
1998109 Apr 1998 (0.88%)
1997202 Jul 1997 (-0.68%), 10 Jul 1997 (3.39%)
1996102 May 1996 (9.14%)
1995117 Apr 1995 (0.97%)



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