Study: Buy AUROPHARMA when there is bullish divergence in RSI and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy AUROPHARMA when there is bullish 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: buy 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. sell 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
141536.31913668.426278.5332010.18-6680.77-16816.820.942.040.0482186.12
293278.11913668.4211676.6763867.68-9753.1-40315.321.22.590.0564909.37
389344.531910952.6317456.3581119.59-9468.78-29879.881.842.050.0434702.34
477732.091910952.6316601.2760407.12-9808.96-39644.081.691.880.0434091.16
576343.631911857.8916165.2251735.02-12684.23-39644.081.271.750.044018.09
692656.361910952.6319702.554078.41-11596.51-37015.741.71.890.0464876.65
779240.281911857.8919570.6663452.01-17004.63-52814.571.151.580.0354170.54
850996.811911857.8918149.3861198.74-18580.79-61258.280.981.340.0232684.04
928061.881911857.8918670.4561649.39-22164.13-55573.950.841.160.0121476.94
10-10604.151911857.8917462.1457503.38-25335.97-52980.130.690.95-0.0045-558.11

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.59. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 68.42%, which is good. Average return per trade is 2.45%, which is very good. Sharpe Ratio is 0.056, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
AUROPHARMA Performance, X=2, Profit Factor:2.59

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019223 May 2019 (1.42%), 24 Jun 2019 (5.95%)
2016124 Feb 2016 (-0.17%)
2011224 Aug 2011 (-5.06%), 22 Nov 2011 (1.34%)
2008525 Jan 2008 (3.72%), 13 Feb 2008 (0.45%), 20 Oct 2008 (2.81%), 04 Nov 2008 (-20.16%), 03 Dec 2008 (4.64%)
2007206 Aug 2007 (0.77%), 24 Aug 2007 (4.59%)
2006108 Jun 2006 (6.15%)
2001319 Mar 2001 (-0.49%), 17 Apr 2001 (31.93%), 03 Jul 2001 (1.65%)
2000123 Mar 2000 (10.46%)
1998111 Nov 1998 (-2.69%)
1997124 Sep 1997 (-0.68%)

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-1293278.11913668.4211676.6763867.68-9753.1-40315.321.22.590.0564909.37
atrtrail-16.547290.952891932.1427657.2296387.34-10611.79-27366.082.611.230.0141688.96
atrtrail35.534157.552891932.1426197.9666099-10611.79-27366.082.471.170.0111219.91
atrtrail25.07-14776.132891932.1420760.8844066-10611.79-27366.081.960.93-0.0062-527.72
atrnil312.92-54987.81255202055685.03102564-16670.65-33788.033.340.84-0.014-2199.51
atrnil29.8-79677.32257182833004.1968376.3-17261.48-33788.031.910.74-0.026-3187.09

In the table above, row 1 shows the best exit criterion. Profit factor is 2.59. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 68.42%, which is good. Average return per trade is 2.45%, which is very good. Sharpe Ratio is 0.056, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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