Study: Sell BHEL when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell BHEL 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 BHEL 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
1-31543.5941192246.343050.996370.3-4068.74-14244.940.750.65-0.035-769.36
2-11799.2141212051.225790.2619212.84-6669.74-33437.540.870.91-0.0069-287.79
3-5666.8541231856.16451.3721957.53-8558.25-28680.170.750.96-0.0029-138.22
428366.3341221953.668801.8323303.99-8698.62-22960.61.011.170.013691.86
516208.3841212051.229730.6827085.22-9406.79-28136.471.031.090.0067395.33
6-34366.0441192246.349828.2126280.4-10050.09-33482.110.980.84-0.014-838.2
7-21950.7941231856.18171.0622939.17-11660.29-26803.20.70.9-0.0088-535.39
8-89949.3541192246.3410039.723400-12759.26-33081.620.790.68-0.032-2193.89
9-92198.5541152636.5912516.4125789.75-10767.11-31827.061.160.67-0.033-2248.75
10-15062241142734.1511991.7324300-11796.52-30365.151.020.53-0.053-3673.7
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
atrtrail-14.63-6664562164625.8112919.3439408.48-5942.49-10613.192.170.76-0.022-1074.92
atrtrail23.37-69336.6362174527.4211788.6319601.11-5994.3-10613.191.970.74-0.026-1118.33
atrnil24.18-83265.6361174427.8713996.2919601.11-7300.06-10888.631.920.74-0.029-1365.01
atrtrail33.98-73566.6962164625.8112486.7329401.66-5942.49-10613.192.10.73-0.026-1186.56
atrnil36.15-12280461115018.0321638.6729401.66-7216.58-10888.6330.66-0.036-2013.18

In the table above, row 1 shows the best exit criterion. Profit factor is 0.76. 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 25.81%, which is not acceptable. Avoid this strategy. Average return per trade is -0.54%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BHEL Performance, Profit Factor:0.756

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019112 Apr 2019 (19.7%)
2018112 Jan 2018 (2.08%)
2017328 Feb 2017 (-0.4%), 15 Mar 2017 (-2.91%), 03 Nov 2017 (9.63%)
2016213 Jul 2016 (-2.0%), 28 Jul 2016 (7.47%)
2014118 Mar 2014 (-1.32%)
2009229 May 2009 (-2.5%), 16 Oct 2009 (11.56%)
20071101 Jun 2007 (-0.07%), 04 Jul 2007 (-3.05%), 10 Jul 2007 (-2.85%), 23 Jul 2007 (-3.24%), 25 Jul 2007 (3.9%), 03 Oct 2007 (-2.97%), 04 Oct 2007 (-3.0%), 16 Oct 2007 (9.54%), 29 Oct 2007 (-5.01%), 06 Nov 2007 (-5.09%), 14 Nov 2007 (8.73%)
2006708 Feb 2006 (-3.33%), 14 Feb 2006 (-3.23%), 15 Feb 2006 (-0.2%), 22 Feb 2006 (-1.97%), 08 Mar 2006 (-2.67%), 21 Mar 2006 (0.58%), 03 Apr 2006 (-3.01%)
2005504 Jan 2005 (8.9%), 24 Feb 2005 (-1.38%), 01 Aug 2005 (-3.76%), 08 Aug 2005 (-3.61%), 16 Aug 2005 (4.22%)
2004512 Jan 2004 (-4.52%), 14 Dec 2004 (-2.94%), 17 Dec 2004 (-3.0%), 23 Dec 2004 (-2.33%), 29 Dec 2004 (-2.91%)
2003906 Feb 2003 (-1.42%), 17 Feb 2003 (-3.59%), 27 Feb 2003 (5.02%), 16 May 2003 (-1.99%), 26 Aug 2003 (-5.31%), 03 Oct 2003 (-3.86%), 13 Oct 2003 (-2.46%), 20 Oct 2003 (-1.81%), 30 Oct 2003 (-4.6%)
2002115 Feb 2002 (6.57%)
1998201 Apr 1998 (-3.34%), 07 Apr 1998 (0.39%)
1997511 Mar 1997 (-3.77%), 12 Mar 1997 (-2.54%), 03 Apr 1997 (-4.36%), 07 Apr 1997 (-2.98%), 13 May 1997 (0.78%)
1996716 Apr 1996 (-3.68%), 25 Apr 1996 (-4.3%), 29 Apr 1996 (-4.09%), 01 May 1996 (-3.98%), 06 May 1996 (-3.93%), 08 May 1996 (-1.39%), 17 Dec 1996 (4.29%)



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