Study: Buy BAJAJFINSV 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 BAJAJFINSV 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 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. 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
1-45757.011055505499.219994.74-14650.61-51724.280.380.38-0.079-4575.7
2-37724.761055507561.9920515.52-15106.95-55680.610.50.5-0.057-3772.48
3-28775.0810555012192.9830089.43-17947.99-45010.070.680.68-0.043-2877.51
4-20116.910555013512.1326617.57-17535.51-36645.160.770.77-0.029-2011.69
5-59660.9410464016475.6728933.39-20927.27-52967.740.790.52-0.069-5966.09
6-37034.7110555018622.0129832.45-26028.96-50437.590.720.72-0.039-3703.47
7-86149.8410555015531.0523865.96-32761.02-53032.260.470.47-0.087-8614.98
8-13670810464011922.2418123.54-30732.84-55547.440.390.26-0.15-13670.81
9-1580991055507854.6222093.63-39474.44-74428.170.20.2-0.15-15809.91
10-16728010464011050.7433245.66-35247.16-99537.390.310.21-0.14-16728
Although, strategy looks good but profit factor on day 1 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
atrtrail25.43-89953.811441028.5711724.819169.04-13685.3-38162.350.860.34-0.12-6425.27
atrnil29-1260151221016.6729903.7640638.47-18582.2-38162.351.610.32-0.14-10501.21
atrnil39.58-134449121118.3360957.760957.7-17764.23-38162.353.430.31-0.13-11204.07
atrtrail35.5-99855.031441028.579249.4914390.14-13685.3-38162.350.680.27-0.15-7132.5
atrtrail-15.5-99855.031441028.579249.4914390.14-13685.3-38162.350.680.27-0.15-7132.5

In the table above, row 1 shows the best exit criterion. Profit factor is 0.34. 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.
BAJAJFINSV Performance, Profit Factor:0.343

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020320 Mar 2020 (-8.18%), 25 Mar 2020 (-6.36%), 31 Mar 2020 (-1.32%)
2013110 Jun 2013 (-2.81%)
2011301 Dec 2011 (-0.82%), 12 Dec 2011 (-4.27%), 19 Dec 2011 (9.58%)
2009124 Aug 2009 (0.88%)
2008624 Sep 2008 (-6.1%), 01 Oct 2008 (-8.22%), 20 Oct 2008 (-19.08%), 31 Oct 2008 (7.2%), 18 Nov 2008 (-11.27%), 04 Dec 2008 (5.79%)



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