Study: Sell CENTURYTEX 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 CENTURYTEX 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 CENTURYTEX 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
1-81381.8232112134.386083.1315992.65-7061.73-25166.540.860.45-0.059-2543.18
2-86920.15321616505790.720754.72-11223.21-36567.450.520.52-0.046-2716.25
3-59238.9432131940.629615.5127022.06-9696.87-33397.760.990.68-0.029-1851.22
4-50041.232141843.7511199.6136397.06-11490.87-37804.410.970.76-0.022-1563.79
556958.8432151746.8814726.343750-9643.27-32624.661.531.350.0221779.96
633809.4232171553.1211589.8831250-10881.24-47519.651.071.210.0141056.54
791501.8732201262.513631.8140073.53-15094.53-46746.550.91.510.032859.43
885885.2232171553.1217119.4843811.39-13676.39-46540.391.251.420.0272683.91
911639432191359.3814350.639092.87-12020.55-31533.31.191.740.0433637.32
1057188.6832141843.7520019.2849030.64-12393.4-36262.261.621.260.0181787.15
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
atrnil35.5749574.4156154126.7928104.8644638.91-9073.13-16125.673.11.130.01885.26
atrtrail22.9-2951.8458213736.2113886.7124148.25-7961.42-16125.671.740.99-0.00089-50.89
atrnil23.26-11150.8557193833.3317750.1829759.27-9168.53-16125.671.940.97-0.003-195.63
atrtrail33.55-38897.858203834.4812898.0336222.38-7812.06-16125.671.650.87-0.012-670.65
atrtrail-13.74-82328.3158203834.4810726.531107.28-7812.06-16125.671.370.72-0.028-1419.45

In the table above, row 1 shows the best exit criterion. Profit factor is 1.13. 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 26.79%, which is not acceptable. Avoid this strategy. Average return per trade is 0.44%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.01, 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.
CENTURYTEX Performance, Profit Factor:1.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017406 Apr 2017 (-2.1%), 07 Apr 2017 (-2.19%), 12 Apr 2017 (-2.24%), 20 Apr 2017 (-2.5%)
2016725 Apr 2016 (-3.33%), 02 May 2016 (-3.11%), 16 Sep 2016 (-3.38%), 20 Sep 2016 (-3.37%), 21 Sep 2016 (-3.43%), 30 Sep 2016 (-3.48%), 07 Oct 2016 (9.42%)
2015116 Apr 2015 (13.7%)
2014207 Apr 2014 (-3.15%), 12 Jun 2014 (-4.08%)
2012117 Feb 2012 (13.44%)
2010115 Jan 2010 (10.44%)
2009426 May 2009 (-8.06%), 27 May 2009 (-7.53%), 28 May 2009 (-7.16%), 05 Jun 2009 (22.32%)
2006709 Mar 2006 (-4.94%), 12 Apr 2006 (-5.06%), 18 Apr 2006 (-5.13%), 20 Apr 2006 (-4.85%), 25 Apr 2006 (-5.08%), 27 Apr 2006 (-4.77%), 03 May 2006 (16.53%)
2005115 Feb 2005 (-4.37%)
2004405 May 2004 (-4.97%), 07 May 2004 (14.82%), 08 Sep 2004 (-4.29%), 13 Sep 2004 (-4.32%)
2003810 Jan 2003 (-4.35%), 13 Jan 2003 (-4.42%), 21 May 2003 (-4.5%), 26 May 2003 (-4.45%), 28 May 2003 (-4.58%), 01 Jul 2003 (-4.72%), 11 Aug 2003 (-5.39%), 13 Aug 2003 (15.85%)
2002318 Jun 2002 (-7.43%), 04 Jul 2002 (-6.13%), 10 Jul 2002 (19.24%)
2001405 Feb 2001 (-5.48%), 12 Feb 2001 (-5.83%), 15 Feb 2001 (18.11%), 07 Dec 2001 (-6.49%)
2000123 Nov 2000 (-4.9%)
1999312 Jan 1999 (-5.54%), 21 May 1999 (16.69%), 19 Jul 1999 (16.91%)
1997209 Jul 1997 (-2.73%), 10 Jul 1997 (8.28%)
1996229 Feb 1996 (-2.17%), 01 Mar 1996 (6.74%)
1995128 Jul 1995 (8.31%)



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