Study: Buy BAJFINANCE 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 BAJFINANCE 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 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. 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
1-14523.941688508220.5520709.63-10036.04-28501.650.820.82-0.015-907.75
2-13552.8167943.759902.636322.19-9207.89-23333.331.080.84-0.013-847.05
3-45494.96169756.257786.1932237.84-16510.09-30046.950.470.61-0.039-2843.44
4-5761816885011212.3518503.04-18414.6-32629.110.610.61-0.044-3601.13
5-21487.2116885017240.250066.23-19926.1-33500.930.870.87-0.012-1342.95
658571.141610662.518745.0248741.72-21479.84-38262.910.871.450.0313660.7
739302.38169756.2521254.5355844.16-21712.63-53021.290.981.260.0182456.4
842179.371610662.520055.6659523.81-26396.21-53136.390.761.270.0192636.21
91351.05169756.2519969.9954481.24-25482.7-63073.090.781.010.000684.44
10-9780.4716885022693.255364.24-23915.75-70592.750.950.95-0.0041-611.28
Although, strategy looks good but profit factor on day 3 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
atrtrail36.05-53974.532171433.3321715.3834819.7-14713.01-31572.761.480.74-0.027-2570.22
atrtrail-16.48-62288.912171433.3320527.6148055.59-14713.01-31572.761.40.7-0.031-2966.14
atrtrail25.19-65815.072171433.3320023.8739212.05-14713.01-31572.761.360.68-0.034-3134.05
atrnil313.05-989291951426.3233872.8940785.17-19163.82-33075.311.770.63-0.043-5206.79
atrnil28.89-96565.731961331.5825353.6139212.05-19129.8-33075.311.330.61-0.047-5082.41

In the table above, row 1 shows the best exit criterion. Profit factor is 0.74. 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.
BAJFINANCE Performance, Profit Factor:0.738

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018204 Oct 2018 (-5.78%), 09 Oct 2018 (3.03%)
2016121 Nov 2016 (4.58%)
2013108 Aug 2013 (17.08%)
2010107 Dec 2010 (-5.13%)
20081029 May 2008 (-5.43%), 17 Jun 2008 (-6.79%), 24 Jun 2008 (-1.22%), 30 Jun 2008 (-6.28%), 15 Jul 2008 (-9.82%), 17 Jul 2008 (-10.48%), 25 Jul 2008 (12.41%), 13 Oct 2008 (-12.94%), 16 Oct 2008 (-15.79%), 27 Oct 2008 (-6.13%)
2006107 Jun 2006 (-11.76%)
2000112 Oct 2000 (-0.98%)
1997110 Jun 1997 (4.85%)
1996121 Aug 1996 (16.63%)
1995213 Nov 1995 (-4.45%), 22 Nov 1995 (17.41%)



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