Study: Sell AUROPHARMA 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 AUROPHARMA 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 AUROPHARMA 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
1-54607.4743162737.215479.4619941.72-5269.59-17071.651.040.62-0.037-1269.94
2-12716043182541.866039.5925494.22-9434.93-30496.170.640.46-0.054-2957.22
3-14026543192444.198408.8529544.63-12501.37-48971.360.670.53-0.046-3261.97
4-11806243212248.849542.3926894.25-14475.08-36790.470.660.63-0.037-2745.62
5-11087843212248.8410852.0244171.52-15398.64-49264.190.70.67-0.029-2578.55
6-22599443172639.5311463.431004.78-16187.37-59701.490.710.46-0.058-5255.67
7-29446943192444.1910565.3623923.44-20633.78-78217.020.510.41-0.068-6848.12
8-32980143202346.5112358.2831100.48-25085.5-1004840.490.43-0.062-7669.79
9-28359443202346.5116321.0997797.87-26522.42-87212.590.620.54-0.045-6595.2
10-32053743182541.8618189.195317.57-25917.62-89189.190.70.51-0.051-7454.34
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil34.69-18812570125817.1428062.9937739.55-9049.68-13915.393.10.64-0.039-2687.51
atrnil23.73-17636670175324.2918069.3125159.7-9123.48-13915.391.980.64-0.043-2519.51
atrtrail33.29-18858878205825.6412627.3837739.55-7605.78-13915.391.660.57-0.046-2417.79
atrtrail23.03-20134178205825.6411989.725159.7-7605.78-13915.391.580.54-0.054-2581.3
atrtrail-13.51-24122878205825.649995.3760260.05-7605.78-13915.391.310.45-0.061-3092.66

In the table above, row 1 shows the best exit criterion. Profit factor is 0.64. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
AUROPHARMA Performance, Profit Factor:0.642

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018111 Sep 2018 (10.62%)
2017111 Jul 2017 (-2.59%)
2015222 Jul 2015 (-6.66%), 19 Aug 2015 (12.63%)
2014906 Jan 2014 (-3.81%), 21 Jan 2014 (-4.13%), 30 Jan 2014 (-4.16%), 11 Feb 2014 (-4.42%), 13 Jun 2014 (-3.43%), 23 Jun 2014 (-3.31%), 30 Jun 2014 (-3.23%), 03 Jul 2014 (9.45%), 11 Sep 2014 (-2.74%)
2013620 Nov 2013 (-3.6%), 25 Nov 2013 (-3.25%), 27 Nov 2013 (-3.18%), 05 Dec 2013 (-2.9%), 09 Dec 2013 (-2.94%), 27 Dec 2013 (-3.83%)
2012309 Oct 2012 (-4.33%), 11 Oct 2012 (-4.2%), 01 Nov 2012 (-3.87%)
2010219 Jul 2010 (-2.57%), 22 Oct 2010 (-2.79%)
20091304 May 2009 (-6.96%), 05 May 2009 (-6.76%), 13 May 2009 (-6.28%), 19 May 2009 (-6.83%), 26 May 2009 (-6.5%), 28 May 2009 (-6.47%), 01 Jun 2009 (-5.97%), 04 Jun 2009 (-5.78%), 08 Jun 2009 (-6.05%), 15 Jun 2009 (-6.12%), 25 Jun 2009 (18.87%), 09 Oct 2009 (-4.18%), 15 Oct 2009 (-3.97%)
2006627 Jan 2006 (-4.17%), 31 Jan 2006 (-4.44%), 01 Feb 2006 (-4.4%), 06 Feb 2006 (-4.32%), 07 Feb 2006 (-4.26%), 04 Apr 2006 (-3.34%)
2005109 Dec 2005 (-4.24%)
2003820 Jan 2003 (9.46%), 12 May 2003 (-3.16%), 20 May 2003 (-3.46%), 29 May 2003 (-3.49%), 09 Jul 2003 (13.78%), 10 Oct 2003 (16.54%), 19 Dec 2003 (-4.85%), 30 Dec 2003 (-4.6%)
2001422 Nov 2001 (-4.09%), 26 Nov 2001 (-4.07%), 27 Nov 2001 (-4.16%), 07 Dec 2001 (-4.16%)
2000503 Jan 2000 (-5.95%), 04 Jan 2000 (-5.85%), 04 Jul 2000 (-5.27%), 18 Jul 2000 (-5.59%), 19 Jul 2000 (17.32%)
1999621 Jan 1999 (-4.51%), 04 Feb 1999 (-5.86%), 15 Feb 1999 (-5.93%), 07 Oct 1999 (-5.23%), 13 Oct 1999 (-5.25%), 23 Dec 1999 (15.71%)
1998305 Jan 1998 (11.52%), 01 Jun 1998 (18.78%), 08 Oct 1998 (13.7%)



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