Study: Sell BALRAMCHIN 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 BALRAMCHIN 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 BALRAMCHIN 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
19945.5826151157.693736.8811238.85-4191.6-16685.330.891.220.014382.52
2-1583.1226161061.544103.1110761.59-6723.29-12362.910.610.98-0.0021-60.89
3-38177.6426151157.695735.3211136.31-11291.59-37283.620.510.69-0.029-1468.37
4-98452.5926101638.465294.29160.19-9462.16-46338.220.560.35-0.066-3786.64
5-64872.9226141253.856424.4520943.71-12901.27-46071.90.50.58-0.038-2495.11
6-24178.54261313509769.2626550.43-11629.15-56724.370.840.84-0.012-929.94
7-5843.426151157.699748.8434354.3-13825.09-60008.880.710.96-0.0028-224.75
8-62746.61261313509632.6730380.79-14459.33-66311.580.670.67-0.028-2413.33
9-35137.7226161061.549316.4528311.26-18420.09-78739.460.510.81-0.014-1351.45
10-3495.2826141253.8511980.8134105.96-14268.88-63382.160.840.98-0.0015-134.43

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.22. 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 57.69%, which is not acceptable. Avoid this strategy. Average return per trade is 0.19%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.014, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-119945.5826151157.693736.8811238.85-4191.6-16685.330.891.220.014382.52
atrnil37.29-1419743452914.7125866.4934048.23-9355.4-13754.972.760.48-0.069-4175.71
atrtrail23.91-77481.0435102528.575410.5422698.82-5263.46-12134.971.030.41-0.07-2213.74
atrtrail34.29-85621.0535102528.574596.5418323.42-5263.46-12134.970.870.35-0.086-2446.32
atrtrail-14.29-85621.0535102528.574596.5418323.42-5263.46-12134.970.870.35-0.086-2446.32
atrnil25.94-1850853452914.7117244.3322698.82-9355.4-13754.971.840.32-0.12-5443.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.22. 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 57.69%, which is not acceptable. Avoid this strategy. Average return per trade is 0.19%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.014, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BALRAMCHIN Performance, X=1, Profit Factor:1.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017217 Jan 2017 (2.3%), 17 Feb 2017 (0.63%)
2015104 Aug 2015 (-7.28%)
2014314 Mar 2014 (-0.19%), 27 May 2014 (3.92%), 11 Jun 2014 (-0.91%)
2012213 Feb 2012 (-0.7%), 13 Jul 2012 (-1.81%)
2009120 Apr 2009 (-0.0%)
2006225 Jan 2006 (-0.71%), 20 Apr 2006 (1.34%)
2005311 Feb 2005 (0.13%), 29 Jul 2005 (1.06%), 21 Dec 2005 (2.49%)
2004423 Apr 2004 (5.62%), 11 Aug 2004 (2.07%), 16 Dec 2004 (2.52%), 31 Dec 2004 (-8.34%)
2003213 Jun 2003 (1.46%), 23 Dec 2003 (-1.92%)
2002112 Mar 2002 (-1.05%)
2001128 May 2001 (-0.15%)
1999122 Oct 1999 (0.08%)
1997214 May 1997 (0.14%), 20 Jun 1997 (1.36%)
1996126 Feb 1996 (2.91%)



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