Study: Sell BAJFINANCE 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 BAJFINANCE 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 BAJFINANCE 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
1-29820.4547242351.062674.659225.76-4087.48-15472.270.650.68-0.028-634.48
2-84323.7247222546.813545.8216204.07-6493.27-23381.520.550.48-0.051-1794.12
3-13606347212644.684890.9813983.74-9183.62-41264.820.530.43-0.057-2894.97
4-13623947192840.435934.1217134.42-8892.4-65454.550.670.45-0.048-2898.7
5-15877347232448.945152.8219089.43-11553.67-78735.180.450.43-0.047-3378.15
6-17622247192840.436880.6727252.03-10962.66-76284.580.630.43-0.051-3749.4
7-20241647222546.817210.335190.62-14441.71-82134.390.50.44-0.049-4306.73
8-23375047202742.559232.8933577.71-15496.6-79130.430.60.44-0.055-4973.41
9-24693547192840.4310507.2938123.17-15949.05-68853.750.660.45-0.055-5253.93
10-27966547163134.0412667.1955521.28-15559.36-61343.870.810.42-0.06-5950.32

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.68. 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
atrtrail23.81-60210.3177255232.4710799.3427953.58-6349.88-14680.611.70.82-0.017-781.95
atrnil24.92-97287.9271195226.7616129.5527953.58-7764.41-16544.482.080.76-0.025-1370.25
nilnil-11-29820.4547242351.062674.659225.76-4087.48-15472.270.650.68-0.028-634.48
atrtrail34.34-12285777235429.879203.241423.21-6195.01-14680.611.490.63-0.035-1595.55
atrtrail-14.52-15915577235429.877625.0126065.01-6195.01-14680.611.230.52-0.054-2066.95
atrnil38.09-321398707631024459.4641423.21-7819.27-16544.483.130.35-0.088-4591.39

In the table above, row 1 shows the best exit criterion. Profit factor is 0.82. 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 32.47%, which is not acceptable. Avoid this strategy. Average return per trade is -0.39%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BAJFINANCE Performance, Profit Factor:0.818

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019328 Mar 2019 (-2.36%), 03 Apr 2019 (-1.99%), 04 Jun 2019 (-0.2%)
2018916 Apr 2018 (4.74%), 22 Jun 2018 (-2.46%), 26 Jun 2018 (1.31%), 26 Jul 2018 (-2.57%), 01 Aug 2018 (-0.95%), 10 Aug 2018 (-0.53%), 14 Aug 2018 (-2.26%), 16 Aug 2018 (-1.6%), 23 Aug 2018 (-2.09%)
2017428 Mar 2017 (-0.6%), 24 Jul 2017 (-2.64%), 31 Jul 2017 (-2.36%), 08 Aug 2017 (5.01%)
2016406 Jan 2016 (-1.91%), 11 Jan 2016 (4.23%), 20 May 2016 (4.7%), 21 Jul 2016 (-2.14%)
2015423 Jan 2015 (-3.31%), 27 Jan 2015 (-3.65%), 29 Jun 2015 (-3.1%), 06 Jul 2015 (6.26%)
2014322 May 2014 (1.06%), 03 Jun 2014 (-3.84%), 08 Sep 2014 (0.64%)
2012710 Feb 2012 (0.08%), 21 Feb 2012 (6.45%), 12 Jul 2012 (-2.48%), 17 Jul 2012 (-2.6%), 26 Jul 2012 (-0.67%), 26 Oct 2012 (-2.98%), 29 Oct 2012 (1.19%)
20101104 May 2010 (-4.29%), 05 May 2010 (-1.34%), 10 May 2010 (-4.05%), 13 May 2010 (-5.42%), 19 May 2010 (11.31%), 21 Jul 2010 (0.22%), 29 Jul 2010 (-4.49%), 16 Aug 2010 (-3.71%), 06 Sep 2010 (-4.35%), 21 Sep 2010 (-4.51%), 06 Oct 2010 (2.28%)
2009708 Apr 2009 (-5.58%), 15 Apr 2009 (-7.34%), 23 Apr 2009 (-5.87%), 27 May 2009 (-6.66%), 29 May 2009 (-6.55%), 09 Jun 2009 (2.66%), 15 Oct 2009 (13.98%)
2008207 Jan 2008 (-6.61%), 08 Jan 2008 (-2.81%)
2006413 Feb 2006 (-3.57%), 20 Feb 2006 (-4.44%), 23 Feb 2006 (-1.72%), 02 Mar 2006 (8.65%)
20051111 Mar 2005 (-3.78%), 14 Mar 2005 (7.64%), 25 May 2005 (-3.28%), 06 Jun 2005 (-3.56%), 08 Jun 2005 (-3.86%), 15 Jun 2005 (6.95%), 22 Jun 2005 (-3.65%), 27 Jun 2005 (-3.43%), 08 Jul 2005 (-3.3%), 18 Jul 2005 (-0.18%), 20 Dec 2005 (7.61%)
2004308 Oct 2004 (-3.57%), 20 Oct 2004 (7.09%), 24 Nov 2004 (8.57%)
2003413 May 2003 (7.55%), 18 Nov 2003 (-1.11%), 09 Dec 2003 (-2.75%), 17 Dec 2003 (1.03%)
2002110 May 2002 (13.81%)



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