Study: Sell BEML when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell BEML when there is bearish divergence in RSI" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell BEML 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
1-10458251193237.253437.7211692.73-5309.33-20970.270.650.38-0.068-2050.62
2-12024651262550.984768.1820024.27-9768.74-48399.490.490.51-0.044-2357.76
3-11162251252649.026687.0324093.21-10723-74775.930.620.6-0.032-2188.67
4-22833751213041.187527.7320395.45-12880.65-55057.620.580.41-0.068-4477.2
5-24343251213041.187757.6123290.2-13544.74-48750.370.570.4-0.067-4773.19
6-26674851193237.2510229.1926658.58-14409.45-52295.130.710.42-0.065-5230.35
7-36101451183335.2910210.9434668.28-16509.42-64788.730.620.34-0.078-7078.7
8-54861951173433.3310233.3823462.78-21252.55-1167730.480.24-0.089-10757.24
9-56425351203139.229344.0327710.36-24230.13-80665.810.390.25-0.095-11063.79
10-59524151213041.1810924.7126092.23-27488.67-79385.40.40.28-0.09-11671.39
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
atrnil25.14-17611379215826.5819864.0231594.42-10228.58-17272.431.940.7-0.033-2229.28
atrtrail23.57-27796490216923.3313429.1831594.42-8115.6-17272.431.650.5-0.06-3088.49
atrnil36.8-32389776126415.7927350.6947391.62-10189.15-17159.892.680.5-0.062-4261.81
atrtrail-14.29-34350389197021.3511295.5735951.97-7973.13-17272.431.420.38-0.08-3859.59
atrtrail33.94-34947489197021.3510981.2947391.62-7973.13-17272.431.380.37-0.082-3926.68

In the table above, row 1 shows the best exit criterion. Profit factor is 0.7. 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.
BEML Performance, Profit Factor:0.703

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019129 Mar 2019 (6.84%)
2018128 Dec 2018 (8.38%)
2017217 Jan 2017 (-3.48%), 23 Jan 2017 (-3.53%)
2016105 Aug 2016 (-3.0%)
2015622 Jan 2015 (-4.32%), 06 Apr 2015 (9.14%), 15 Jun 2015 (-4.9%), 02 Jul 2015 (-3.94%), 07 Jul 2015 (-3.71%), 03 Aug 2015 (6.92%)
20141122 Mar 2014 (-4.25%), 25 Mar 2014 (-4.6%), 02 Apr 2014 (-4.13%), 15 Apr 2014 (-5.89%), 16 Apr 2014 (-6.01%), 27 May 2014 (-6.98%), 29 May 2014 (-6.55%), 30 May 2014 (-6.42%), 12 Jun 2014 (10.86%), 13 Jun 2014 (-6.14%), 19 Jun 2014 (-5.39%)
2013123 Dec 2013 (-4.9%)
2012414 Feb 2012 (-3.99%), 16 Feb 2012 (-3.8%), 29 Feb 2012 (-3.86%), 13 Mar 2012 (7.02%)
2010111 Jan 2010 (-2.96%)
2009420 Apr 2009 (-5.6%), 26 May 2009 (-6.75%), 04 Jun 2009 (-6.04%), 11 Jun 2009 (-6.31%)
2007316 Jan 2007 (7.55%), 06 Jul 2007 (8.71%), 16 Oct 2007 (10.88%)
2006618 Jan 2006 (-4.55%), 24 Jan 2006 (-4.16%), 15 Feb 2006 (-4.95%), 24 Feb 2006 (-4.22%), 09 Mar 2006 (-4.11%), 10 Mar 2006 (7.95%)
2005612 Apr 2005 (-5.73%), 15 Apr 2005 (-6.1%), 19 Apr 2005 (-5.86%), 27 Apr 2005 (-5.56%), 26 May 2005 (-3.77%), 19 Aug 2005 (-3.89%)
20041104 Aug 2004 (9.11%), 14 Sep 2004 (-3.44%), 15 Sep 2004 (-3.55%), 17 Sep 2004 (-3.59%), 23 Sep 2004 (-3.62%), 24 Sep 2004 (7.5%), 17 Nov 2004 (-3.23%), 25 Nov 2004 (-3.73%), 06 Dec 2004 (-4.11%), 07 Dec 2004 (-4.06%), 22 Dec 2004 (7.56%)
2003418 Sep 2003 (-7.23%), 19 Sep 2003 (-7.17%), 09 Oct 2003 (12.1%), 12 Nov 2003 (10.7%)
20021023 Jan 2002 (14.24%), 04 Feb 2002 (-7.27%), 12 Feb 2002 (-8.58%), 15 Feb 2002 (14.88%), 21 Feb 2002 (-8.64%), 22 Feb 2002 (15.8%), 16 May 2002 (-7.12%), 17 May 2002 (-7.0%), 31 May 2002 (-7.75%), 04 Jun 2002 (14.58%)
1999115 Jul 1999 (-6.39%)
1997424 Jan 1997 (-5.08%), 31 Jan 1997 (-5.55%), 18 Feb 1997 (-4.38%), 21 Feb 1997 (8.35%)
1996203 Jul 1996 (-4.83%), 09 Jul 1996 (9.5%)



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