Study: Buy CANBK when there is bullish divergence in RSI and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy CANBK when there is bullish 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: buy CANBK 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
1-2787.7723131056.524726.4812978.85-6423.2-31118.730.740.96-0.0034-121.21
224113.7223131056.526412.9115301.85-5925.41-18484.371.081.410.031048.42
3-19683.1223121152.175560.7817438.54-7855.68-29147.020.710.77-0.022-855.79
4-4118.3423131056.527497.6419382.5-10158.77-29918.560.740.96-0.0037-179.06
530203.9523131056.529752.0621841.05-9657.28-35662.241.011.310.0251313.22
68172.1323131056.527087.8318366.41-8396.97-30175.740.841.10.0081355.31
7-59685.32371630.439423.4114954.72-7853.07-34976.431.20.52-0.055-2595.01
8-60316.523101343.4815864.3289741.48-16843.05-69524.220.940.72-0.024-2622.46
9-61249.0423101343.4816514.8679334.76-17415.2-62151.740.950.73-0.025-2663
10-20509.3123101343.4820362.466194.63-17241.02-56579.511.180.91-0.0084-891.71
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
atrnil311.6254680.533292328.1234961.4980224.81-11303.17-20596.83.091.210.0181708.77
atrnil28.3130757.832112134.3823976.6753483.21-11094.55-20596.82.161.130.013961.18
atrtrail-15.68-2641934112332.351562170657.35-8619.56-18930.821.810.87-0.011-777.03
atrtrail24.79-55663.8634112332.3512962.3730991.48-8619.56-18930.821.50.72-0.032-1637.17
atrtrail35.41-68402.3534112332.3511804.3346487.22-8619.56-18930.821.370.65-0.039-2011.83

In the table above, row 1 shows the best exit criterion. Profit factor is 1.21. 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 28.12%, which is not acceptable. Avoid this strategy. Average return per trade is 0.85%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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.
CANBK Performance, Profit Factor:1.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020612 Feb 2020 (-3.92%), 19 Feb 2020 (-3.96%), 11 Mar 2020 (-6.87%), 13 Mar 2020 (-9.47%), 18 Mar 2020 (-10.3%), 24 Mar 2020 (40.11%)
2019305 Feb 2019 (-4.28%), 07 Aug 2019 (-4.48%), 22 Aug 2019 (-4.83%)
2018108 Oct 2018 (17.59%)
2017112 Oct 2017 (8.15%)
2016121 Jan 2016 (13.88%)
2015229 Jun 2015 (-3.65%), 17 Dec 2015 (-2.71%)
2013305 Aug 2013 (-7.87%), 20 Aug 2013 (-8.33%), 03 Sep 2013 (23.24%)
2012321 May 2012 (-4.13%), 09 Aug 2012 (-3.4%), 03 Sep 2012 (10.1%)
2011517 May 2011 (-4.6%), 20 May 2011 (-4.49%), 09 Aug 2011 (-4.57%), 22 Aug 2011 (14.94%), 28 Dec 2011 (15.18%)
2008414 Mar 2008 (-8.53%), 19 Mar 2008 (-8.66%), 25 Jun 2008 (-5.59%), 04 Jul 2008 (-6.24%)
2007221 Feb 2007 (-4.34%), 28 Feb 2007 (-4.78%)
2005128 Oct 2005 (14.12%)



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