Study: Sell AXISBANK when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell AXISBANK 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 AXISBANK 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
1-26134.4629151451.724809.2115914.49-7019.47-30261.140.690.73-0.023-901.19
2-55137.1429161355.175642.7930641.33-11186.3-33264.890.50.62-0.035-1901.28
3-10639429121741.387017.4819002.38-11212-31770.140.630.44-0.065-3668.77
4-93807.2529141548.287058.919517.39-12842.13-27720.710.550.51-0.058-3234.73
5-12778229101934.488434.2826128.27-11164.47-30414.750.760.4-0.075-4406.28
6-10769829111837.9310782.132479.66-12572.28-32903.230.860.52-0.053-3713.72
7-1102702992031.0314002.2439667.46-11814.5-32580.651.190.53-0.052-3802.41
8-12500829111837.9311878.3935866.98-14203.91-39677.420.840.51-0.055-4310.63
9-18911229101934.4811388.7230430.85-15947.35-49032.260.710.38-0.082-6521.12
10-2901902982127.5912148.9827237.12-18446.74-68064.520.660.25-0.11-10006.54

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.73. 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
nilnil-11-26134.4629151451.724809.2115914.49-7019.47-30261.140.690.73-0.023-901.19
atrtrail23.15-13047046103621.7412756.5227635.69-7167.65-13757.041.780.49-0.062-2836.31
atrtrail33.48-14528546103621.7411275.0141453.54-7167.65-13757.041.570.44-0.07-3158.38
atrnil24.44-2002874383518.616253.1627635.69-9437.49-13877.831.720.39-0.094-4657.83
atrnil36.21-2214064353811.6326087.7741453.54-9259.08-13877.832.820.37-0.091-5148.98
atrtrail-13.65-16902946103621.748900.6626175.83-7167.65-13757.041.240.34-0.097-3674.54

In the table above, row 1 shows the best exit criterion. Profit factor is 0.73. 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.
AXISBANK Performance, X=1, Profit Factor:0.734

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016126 May 2016 (1.27%)
2014513 Mar 2014 (1.9%), 10 Apr 2014 (0.53%), 26 May 2014 (1.28%), 10 Jun 2014 (-0.43%), 13 Nov 2014 (-0.7%)
2013115 Jan 2013 (1.04%)
2012108 Feb 2012 (-0.65%)
2010226 Jul 2010 (0.82%), 30 Sep 2010 (-2.49%)
2009327 Apr 2009 (4.81%), 13 May 2009 (5.08%), 27 May 2009 (1.97%)
2007201 Oct 2007 (-0.81%), 18 Oct 2007 (3.18%)
2006516 Jan 2006 (-0.28%), 13 Oct 2006 (-2.27%), 30 Oct 2006 (-1.88%), 13 Nov 2006 (-4.75%), 27 Nov 2006 (0.98%)
2004122 Jan 2004 (3.71%)
2003411 Jul 2003 (-15.13%), 31 Jul 2003 (0.37%), 10 Dec 2003 (1.17%), 31 Dec 2003 (-1.36%)
2002204 Feb 2002 (-2.42%), 20 Feb 2002 (-7.96%)
2000111 Feb 2000 (7.96%)
1999116 Dec 1999 (-8.01%)



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