Study: Buy BEML when there is bullish divergence in RSI

home > technical-strategy > beml > 45

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
133075.222718966.674463.411896.82-5251.78-13595.510.851.70.0441225.01
289298.8927151255.5610923.6645824.41-6213-15730.341.762.20.0553307.37
311389627161159.2614496.8260599.57-10732.11-28314.611.351.960.0484218.37
477862.5827111640.7419884.1359957.17-8803.92-25842.72.261.550.0312883.8
511578527151255.5616991.5446252.68-11590.69-26003.821.471.830.0484288.33
612146027141351.8521855.3658886.51-14193.47-38217.021.541.660.0414498.52
788612.8427131448.1522498.2948179.87-14561.78-37428.31.551.430.0313281.96
846547.7627151255.5620216.7339153.44-21391.93-45626.20.951.180.0151723.99
957717.2127141351.8522403.4973019.27-19687.05-61352.771.141.230.0162137.67
1012186727131448.1526560.669379.01-15958.61-61281.071.661.550.0354513.6

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.2. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 1.65%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.055, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
BEML Performance, X=2, Profit Factor:2.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018221 Feb 2018 (2.32%), 03 Oct 2018 (-5.55%)
2016101 Feb 2016 (-4.27%)
2013220 Feb 2013 (2.83%), 28 Mar 2013 (12.76%)
2012514 May 2012 (0.56%), 12 Jun 2012 (-3.57%), 28 Jun 2012 (5.08%), 01 Aug 2012 (-1.31%), 22 Aug 2012 (-2.73%)
2011211 Feb 2011 (7.53%), 22 Aug 2011 (1.82%)
2008512 Feb 2008 (2.16%), 04 Jul 2008 (1.6%), 27 Oct 2008 (-0.33%), 11 Nov 2008 (-4.52%), 05 Dec 2008 (6.55%)
2006116 Jun 2006 (8.48%)
2003128 Mar 2003 (-2.58%)
2002218 Sep 2002 (-0.29%), 03 Oct 2002 (22.91%)
2000128 Aug 2000 (1.74%)
1998230 Jun 1998 (2.82%), 11 Aug 1998 (2.77%)
1997106 Nov 1997 (-7.87%)
1995230 Jun 1995 (-3.85%), 27 Nov 1995 (-0.41%)

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
atrnil311.4936406535152042.8639224.879034.57-11215.36-19466.953.52.620.0810401.85
atrnil26.5724180835171848.5725970.1752689.71-11093.6-19298.722.342.210.0716908.8
nilnil-1289298.8927151255.5610923.6645824.41-6213-15730.341.762.20.0553307.37
atrtrail24.715020937152240.5423278.4252689.71-9043.95-18162.692.571.750.0464059.71
atrtrail35.1614898237152240.5423196.5856265.99-9043.95-18162.692.561.750.0444026.54
atrtrail-15.755851.7337152240.5416987.9141944.95-9043.95-18162.691.881.280.0211509.51

In the table above, row 1 shows the best exit criterion. Profit factor is 2.62. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 42.86%, which is not acceptable. Avoid this strategy. Average return per trade is 5.2%, which is very good. Sharpe Ratio is 0.08, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BEML Performance, Profit Factor:2.62

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018321 Feb 2018 (15.42%), 03 Oct 2018 (-5.83%), 09 Oct 2018 (20.3%)
2016301 Feb 2016 (-4.43%), 11 Feb 2016 (-4.92%), 12 Feb 2016 (17.44%)
2013320 Feb 2013 (-2.58%), 27 Feb 2013 (-3.49%), 28 Mar 2013 (18.95%)
2012614 May 2012 (-4.04%), 18 May 2012 (-4.93%), 12 Jun 2012 (-5.18%), 01 Aug 2012 (-3.81%), 07 Aug 2012 (-3.74%), 22 Aug 2012 (11.45%)
2011211 Feb 2011 (21.65%), 22 Aug 2011 (14.73%)
2008412 Feb 2008 (-9.65%), 04 Jul 2008 (-8.16%), 27 Oct 2008 (-9.64%), 05 Dec 2008 (28.13%)
2006116 Jun 2006 (39.52%)
2003128 Mar 2003 (15.26%)
2002218 Sep 2002 (-9.55%), 03 Oct 2002 (24.9%)
2000128 Aug 2000 (17.03%)
1998230 Jun 1998 (-9.73%), 11 Aug 1998 (20.26%)
1997406 Nov 1997 (-4.76%), 07 Nov 1997 (-5.29%), 18 Nov 1997 (-5.22%), 19 Nov 1997 (16.19%)
1995330 Jun 1995 (-3.39%), 03 Jul 1995 (-3.8%), 27 Nov 1995 (12.95%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play