Study: Sell BANKINDIA 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 BANKINDIA 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 BANKINDIA 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
1-53474.9533112233.333377.157692.31-4119.25-15081.970.820.41-0.067-1620.45
2-66030.2833141942.424742.4311764.71-6969.7-13819.950.680.5-0.063-2000.92
3-34031.733191457.585826.1119607.84-10337.7-29508.20.560.76-0.021-1031.26
4-45616.2533171651.527076.9523921.57-10370.28-400000.680.73-0.024-1382.31
5-306733181554.557800.6926666.67-9565.29-21639.340.820.98-0.0019-92.94
623787.933191457.588674.9229411.76-10073.97-20287.660.861.170.014720.85
710082.9233171651.5210354.4823753.98-10371.45-33913.711.060.0051305.54
810665633201360.6111885.6540402.97-10081.31-28614.691.181.810.0483231.99
912589833211263.6412695.6241699.87-11725.79-39035.821.081.890.0483815.11
1076426.8933181554.5516082.1733469.39-14203.48-50150.651.131.360.0262315.97
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
atrnil35.0877748.853153828.324298.6531573.78-7545.55-12508.743.221.270.0211466.96
atrtrail33.7950096.3353183533.9615020.9731573.78-6293.75-9976.542.391.230.017945.21
atrtrail23.1745086.4854183633.3314811.0521049.19-6153.13-9976.542.411.20.017834.93
atrtrail-14.2634039.7753183533.9614128.9435692.27-6293.75-9976.542.241.150.012642.26
atrnil23.5234860.6754193535.1915872.5121049.19-7620.49-12508.742.081.130.012645.57

In the table above, row 1 shows the best exit criterion. Profit factor is 1.27. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 28.3%, which is not acceptable. Avoid this strategy. Average return per trade is 0.73%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BANKINDIA Performance, Profit Factor:1.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019108 Jan 2019 (10.59%)
2017710 Feb 2017 (-3.24%), 13 Apr 2017 (-2.93%), 20 Apr 2017 (-3.03%), 05 May 2017 (14.11%), 02 Nov 2017 (-4.34%), 03 Nov 2017 (-4.27%), 16 Nov 2017 (-4.37%)
2016213 Jul 2016 (-3.47%), 14 Jul 2016 (10.29%)
2014109 Apr 2014 (10.94%)
2013310 Jan 2013 (-2.69%), 14 Jan 2013 (-2.86%), 18 Jan 2013 (8.26%)
2012308 Feb 2012 (-4.21%), 27 Dec 2012 (-3.06%), 31 Dec 2012 (-2.97%)
2010614 Jul 2010 (-2.65%), 23 Jul 2010 (-2.55%), 30 Jul 2010 (-2.57%), 11 Aug 2010 (-2.37%), 23 Aug 2010 (-2.64%), 08 Oct 2010 (9.5%)
2009427 May 2009 (-6.25%), 25 Sep 2009 (-3.51%), 14 Oct 2009 (-3.81%), 16 Oct 2009 (11.77%)
2006421 Aug 2006 (-4.63%), 29 Aug 2006 (-4.37%), 29 Nov 2006 (-3.87%), 04 Dec 2006 (10.98%)
2005304 Jan 2005 (13.57%), 15 Mar 2005 (13.96%), 04 Aug 2005 (15.79%)
2004809 Jan 2004 (-3.61%), 13 Jan 2004 (-3.67%), 15 Jan 2004 (11.79%), 16 Nov 2004 (-3.91%), 24 Nov 2004 (-4.54%), 30 Nov 2004 (-4.62%), 02 Dec 2004 (-4.4%), 31 Dec 2004 (-4.74%)
2003223 May 2003 (-4.99%), 30 May 2003 (14.9%)
2002714 Feb 2002 (-4.47%), 15 Feb 2002 (13.25%), 17 Jun 2002 (-4.41%), 26 Nov 2002 (-2.72%), 09 Dec 2002 (-3.21%), 19 Dec 2002 (-4.55%), 20 Dec 2002 (-4.42%)
2001108 Jun 2001 (-4.45%)
1999111 Jan 1999 (12.55%)



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