Study: Buy CESC when there is bullish divergence in RSI

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In this study, we evaluate the performance of strategy "Buy CESC when there is bullish divergence in RSI" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy CESC 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
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

In the table above, row 1 shows the best exit criterion. Profit factor is 3.22. Strategy is very good and impressively bullish. Percentage of profitable trades is 38.1%, which is not acceptable. Avoid this strategy. Average return per trade is 7.19%, which is very good. Sharpe Ratio is 0.055, 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.
CESC Performance, Profit Factor:3.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020220 Mar 2020 (-7.19%), 27 Mar 2020 (59.48%)
2018204 Jul 2018 (2.49%), 09 Nov 2018 (-0.23%)
2016125 Jan 2016 (0.75%)
2011228 Jan 2011 (-3.37%), 02 Feb 2011 (-3.33%)
2008117 Oct 2008 (-11.1%)
2001121 Sep 2001 (4.53%)
2000108 Feb 2000 (5.59%)
1999117 Nov 1999 (-6.32%)
1997110 Dec 1997 (13.41%)
1996725 Sep 1996 (-5.25%), 01 Oct 1996 (-1.33%), 14 Oct 1996 (-5.25%), 31 Oct 1996 (-5.77%), 04 Nov 1996 (-5.91%), 21 Nov 1996 (-5.34%), 05 Dec 1996 (103.53%)
1995210 Nov 1995 (-7.52%), 20 Nov 1995 (29.01%)

View performance of other stocks for this trading system.

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