Study: Sell CANFINHOME 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 CANFINHOME 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 CANFINHOME 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
143585.4133221166.673728.4912830.19-3494.68-19991.921.072.130.0531320.77
254564.0933221166.675509.7519245.28-6059.12-21900.830.911.820.0461653.46
3-16067.6233181554.555027.5811132.08-7104.27-21635.460.710.85-0.013-486.9
4-22395.7633191457.585614.8320662.25-9219.82-27832.410.610.83-0.014-678.66
5-34086.533181554.557814.426446.28-11649.71-27861.450.670.8-0.017-1032.92
61098.2833171651.5210648.7529668.87-11245.66-40361.450.951.010.0004833.28
7-43691.9833191457.5810382.7929139.07-17211.79-76204.820.60.82-0.014-1324
86075.9133171651.5211313.7127549.67-11641.07-57530.120.971.030.0024184.12
915873.8333171651.5212303.4428301.89-12080.29-52560.241.021.080.0061481.03
1017730.6133161748.4814626.6630943.4-12723.29-48042.171.151.080.0064537.29

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.13. 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 66.67%, which is good. Average return per trade is 0.66%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.053, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
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.
CANFINHOME Performance, X=1, Profit Factor:2.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019225 Mar 2019 (-2.18%), 08 Apr 2019 (2.07%)
2017409 Feb 2017 (0.64%), 17 Apr 2017 (2.78%), 09 May 2017 (-0.41%), 23 Jun 2017 (3.65%)
2016406 Apr 2016 (1.28%), 09 Aug 2016 (2.91%), 16 Sep 2016 (1.15%), 21 Oct 2016 (-0.96%)
2015315 Jan 2015 (-0.84%), 13 Oct 2015 (0.83%), 30 Dec 2015 (0.57%)
2014325 Apr 2014 (1.14%), 02 Jun 2014 (0.72%), 26 Jun 2014 (-10.0%)
2013301 Mar 2013 (3.33%), 06 Nov 2013 (1.52%), 26 Dec 2013 (0.35%)
2012124 Jan 2012 (-0.05%)
2010430 Apr 2010 (3.08%), 06 Jul 2010 (-0.68%), 22 Jul 2010 (1.94%), 17 Aug 2010 (1.27%)
2009220 May 2009 (0.38%), 04 Jun 2009 (0.52%)
2007108 Nov 2007 (-0.0%)
2005104 Jan 2005 (6.42%)
2004109 Dec 2004 (0.47%)
2003215 May 2003 (-0.6%), 05 Jun 2003 (-0.0%)
2002119 Feb 2002 (4.01%)
1999125 Oct 1999 (-3.51%)

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
nilnil-1143585.4133221166.673728.4912830.19-3494.68-19991.921.072.130.0531320.77
atrtrail-14.46-39050.954163829.6312216.2954813.66-6171.35-12197.341.980.83-0.013-723.16
atrtrail33.83-55580.2254163829.6311183.227493.07-6171.35-12197.341.810.76-0.022-1029.26
atrtrail23.57-79066.1854163829.639715.3319575.49-6171.35-12197.341.570.66-0.035-1464.19
atrnil38.63-1305764994018.3723667.0229363.24-8589.48-16364.82.760.62-0.044-2664.82
atrnil27.18-13197149123724.4915700.5119575.49-8658.84-16364.81.810.59-0.053-2693.29

In the table above, row 1 shows the best exit criterion. Profit factor is 2.13. 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 66.67%, which is good. Average return per trade is 0.66%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.053, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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