Study: Sell BAJAJFINSV 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 BAJAJFINSV 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 BAJAJFINSV 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
17889.31251114443348.589979.84-2067.5-9385.471.621.270.025315.57
29804.29251510603677.5719455.65-4535.92-10671.930.811.220.02392.17
3-3039.13251411563395.4110383.06-4597.71-16418.340.740.94-0.0067-121.57
427767.82251510605214.8219203.63-5045.45-12672.661.031.550.0481110.71
557643.88251510607280.7425907.26-5156.72-17676.811.412.120.0762305.76
643225.92251213488855.132963.71-4848.87-13792.481.831.690.0521729.04
752342.83251312529154.5638760.08-5555.54-16677.871.651.790.0552093.71
89876.24251114449768.2230695.56-6969.59-22883.951.41.10.01395.05
9-895.24251411568597.9331300.4-11024.2-34060.780.780.99-0.0008-35.81
10-47806.16251213488836.2126159.27-11833.9-45767.90.750.69-0.04-1912.25
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
BAJAJFINSV Performance, X=5, Profit Factor:2.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019420 Mar 2019 (0.01%), 09 Apr 2019 (-2.71%), 25 Apr 2019 (0.02%), 01 Oct 2019 (3.03%)
2018131 Jul 2018 (-0.24%)
2017310 Feb 2017 (-1.5%), 24 Mar 2017 (0.75%), 31 Jul 2017 (-8.84%)
2016402 May 2016 (3.13%), 08 Jul 2016 (-5.38%), 27 Jul 2016 (-1.2%), 22 Sep 2016 (4.56%)
2015107 Aug 2015 (1.88%)
2014409 May 2014 (1.96%), 05 Jun 2014 (1.9%), 09 Sep 2014 (6.37%), 11 Dec 2014 (2.62%)
2013125 Nov 2013 (-2.73%)
2012205 Mar 2012 (-0.65%), 17 Aug 2012 (11.54%)
2010206 Sep 2010 (-0.86%), 22 Sep 2010 (-1.67%)
2009315 Jan 2009 (12.95%), 08 May 2009 (3.75%), 05 Jun 2009 (0.14%)

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
atrnil25.74-52524.1243123127.9113149.7220694.15-6784.54-10943.941.940.75-0.039-1221.49
atrtrail23.6-61473.8247113623.410429.120694.15-4894.27-9972.132.130.65-0.053-1307.95
atrnil36.76-85433.844273516.6721216.7931041.23-6684.33-10943.943.170.63-0.056-2034.14
atrtrail33.8-83147.94693719.5710489.3422871.32-4798.7-9972.132.190.53-0.073-1807.56
atrtrail-14-87994.534693719.579950.8327523.45-4798.7-9972.132.070.5-0.078-1912.92

In the table above, row 1 shows the best exit criterion. Profit factor is 0.75. 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 27.91%, which is not acceptable. Avoid this strategy. Average return per trade is -0.61%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BAJAJFINSV Performance, Profit Factor:0.75

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019520 Mar 2019 (-1.99%), 09 Apr 2019 (-1.84%), 11 Apr 2019 (-1.82%), 25 Apr 2019 (3.37%), 01 Oct 2019 (6.13%)
2018231 Jul 2018 (-2.6%), 01 Aug 2018 (-2.65%)
2017610 Feb 2017 (-3.28%), 22 Feb 2017 (-2.79%), 24 Mar 2017 (-2.7%), 31 Jul 2017 (-2.49%), 03 Aug 2017 (-2.45%), 08 Aug 2017 (5.23%)
20161102 May 2016 (5.79%), 08 Jul 2016 (-3.42%), 11 Jul 2016 (-3.38%), 12 Jul 2016 (-3.44%), 20 Jul 2016 (-3.16%), 27 Jul 2016 (-3.67%), 28 Jul 2016 (-3.66%), 29 Jul 2016 (-3.67%), 01 Aug 2016 (-3.66%), 22 Sep 2016 (-3.3%), 23 Sep 2016 (6.79%)
2015107 Aug 2015 (7.62%)
2014609 May 2014 (5.15%), 12 May 2014 (5.76%), 21 May 2014 (-3.46%), 05 Jun 2014 (-3.9%), 09 Sep 2014 (5.57%), 11 Dec 2014 (-3.79%)
2013125 Nov 2013 (-2.73%)
2012305 Mar 2012 (9.53%), 17 Aug 2012 (-3.76%), 21 Aug 2012 (7.61%)
2010206 Sep 2010 (-3.24%), 22 Sep 2010 (-3.1%)
2009615 Jan 2009 (10.35%), 08 May 2009 (-5.47%), 13 May 2009 (-5.38%), 21 May 2009 (-4.99%), 22 May 2009 (-4.75%), 05 Jun 2009 (-4.6%)



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