Study: Sell BPCL 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 BPCL 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 BPCL 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
1-13066.0632122037.53875.229610.85-2978.44-9942.691.30.78-0.019-408.31
2-6238.0932171553.123935.9311465.97-4876.6-16925.390.810.91-0.0069-194.94
3-20961.9732171553.124747.2916753.93-6777.73-21782.670.70.79-0.017-655.06
440608.5632171553.127098.8317040.09-5338.11-13470.211.331.510.0341269.02
5-11463.4432151746.886720.312333.69-6604-17855.981.020.9-0.0092-358.23
6-95180.232122037.55548.0313168.24-8087.83-22634.950.690.41-0.068-2974.38
7-68730.2232141843.758517.7920821.47-10443.29-35821.230.820.63-0.036-2147.82
8-43645.9321616509263.1625923.74-11991.02-28701.340.770.77-0.021-1363.93
9-40795.9432171553.128369.5524602.37-12205.21-27208.40.690.78-0.02-1274.87
10-34567.8632141843.759911.8730490.69-9629.67-29125.771.030.8-0.017-1080.25
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
atrtrail34.5769506.3949232646.949327.7233445.26-5578.12-12625.71.671.480.0281418.5
atrtrail24.2247442.0549232646.948368.422296.84-5578.12-12625.71.51.330.023968.21
atrtrail-15.17098.5549222744.97148.5724084.71-5561.86-12625.71.291.050.0036144.87
atrnil24.64778.1247173036.1713742.0622296.84-7627.89-12625.71.81.020.0019101.66
atrnil37.83-74117.084793819.1522620.9333445.26-7308.04-12625.73.10.73-0.026-1576.96

In the table above, row 1 shows the best exit criterion. Profit factor is 1.48. 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 46.94%, which is not acceptable. Avoid this strategy. Average return per trade is 0.71%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, 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.
BPCL Performance, Profit Factor:1.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019423 Sep 2019 (-5.17%), 27 Sep 2019 (-4.84%), 04 Oct 2019 (1.18%), 18 Oct 2019 (0.1%)
2016911 Apr 2016 (-2.61%), 27 Apr 2016 (7.32%), 15 Jun 2016 (-2.91%), 27 Jun 2016 (-3.06%), 12 Jul 2016 (-0.1%), 19 Jul 2016 (-2.58%), 28 Jul 2016 (-2.63%), 01 Aug 2016 (1.57%), 08 Aug 2016 (1.38%)
2014727 Mar 2014 (-3.05%), 31 Mar 2014 (1.36%), 23 May 2014 (-3.89%), 26 May 2014 (2.28%), 09 Jun 2014 (3.01%), 28 Aug 2014 (-3.08%), 03 Sep 2014 (8.94%)
2012202 Mar 2012 (-2.69%), 21 Mar 2012 (1.16%)
2010306 Jul 2010 (-2.95%), 13 Jul 2010 (10.6%), 01 Sep 2010 (0.21%)
2007104 Oct 2007 (14.98%)
2004302 Jan 2004 (-4.17%), 05 Jan 2004 (-4.28%), 12 Jan 2004 (-0.21%)
2003307 Jul 2003 (9.04%), 02 Sep 2003 (11.25%), 29 Dec 2003 (-2.22%)
2002113 Feb 2002 (-6.31%)
2001307 Feb 2001 (-1.11%), 20 Feb 2001 (16.72%), 05 Dec 2001 (-3.96%)
2000228 Nov 2000 (-0.32%), 14 Dec 2000 (0.01%)
1999107 Dec 1999 (0.06%)
1997529 Jan 1997 (3.28%), 12 Feb 1997 (3.15%), 25 Jun 1997 (-0.68%), 30 Jun 1997 (-2.29%), 02 Jul 1997 (0.48%)
1996526 Feb 1996 (3.93%), 23 Apr 1996 (-3.56%), 26 Apr 1996 (-2.91%), 02 May 1996 (-0.94%), 08 May 1996 (5.25%)



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