Study: Sell CHOLAFIN when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell CHOLAFIN when there is bearish divergence in RSI" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell CHOLAFIN 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
14224.5239201951.284076.615730.34-4068.81-12950.4511.050.004108.32
232519.9939211853.855976.430423.51-5165.8-15009.151.161.350.021833.85
327863.5339221756.417076.9536992.22-7519.37-20927.220.941.220.015714.45
411431.2939211853.857169.8323854.8-7729.73-19732.230.931.080.0065293.11
5-5634.2339211853.857457.6119852.01-9013.56-24086.590.830.97-0.0029-144.47
6-78524.0439162341.038259.5727792.82-9159.88-293750.90.63-0.036-2013.44
7-10495739182146.157913.2520212.96-11780.74-262500.670.58-0.047-2691.21
8-15408039192048.729813.9427312.01-17027.25-51372.790.580.55-0.047-3950.77
9-16935639192048.729371.7835782.2-17370.98-66137.890.540.51-0.048-4342.46
10-17425639172243.5911229.6131460.67-16598.17-61683.950.680.52-0.048-4468.11
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
atrtrail23.8919013.2262233937.110933.0523982.19-5960.18-11614.871.831.080.0065306.66
atrtrail34.5214657.216021393511770.8935973.28-5962.34-11614.871.971.060.0045244.29
atrnil26.5615227.8157193833.3317788.7129783.69-8493.62-12505.942.091.050.0043267.15
atrnil39.13-52739.0255124321.8226396.0744675.53-8592.84-12505.943.070.86-0.013-958.89
atrtrail-14.93-52944.1359203933.98915.1243048.92-5929.4-11614.871.50.77-0.019-897.36

In the table above, row 1 shows the best exit criterion. Profit factor is 1.08. 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 37.1%, which is not acceptable. Avoid this strategy. Average return per trade is 0.15%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0065, 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.
CHOLAFIN Performance, Profit Factor:1.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019427 Mar 2019 (-2.93%), 29 Mar 2019 (-2.82%), 02 Apr 2019 (-0.68%), 27 Jun 2019 (10.66%)
2018102 May 2018 (6.31%)
2016529 Apr 2016 (-3.17%), 12 May 2016 (-1.07%), 07 Jun 2016 (6.9%), 03 Aug 2016 (-3.15%), 08 Aug 2016 (2.59%)
2014511 Apr 2014 (-2.43%), 27 May 2014 (10.77%), 10 Jun 2014 (11.25%), 16 Sep 2014 (-4.98%), 17 Sep 2014 (2.0%)
2013103 Jan 2013 (-1.56%)
2012515 Feb 2012 (-4.22%), 21 Feb 2012 (0.86%), 01 Aug 2012 (-1.91%), 13 Aug 2012 (-0.15%), 26 Dec 2012 (-0.82%)
2010216 Mar 2010 (2.53%), 13 May 2010 (0.97%)
2009219 Jun 2009 (1.31%), 29 Jun 2009 (2.7%)
2007911 Jun 2007 (-4.05%), 22 Jun 2007 (-2.81%), 05 Jul 2007 (-3.73%), 12 Jul 2007 (-4.66%), 17 Jul 2007 (-0.14%), 17 Dec 2007 (-5.81%), 18 Dec 2007 (-0.02%), 28 Dec 2007 (-5.49%), 31 Dec 2007 (-5.36%)
2006116 Jan 2006 (0.81%)
2005624 May 2005 (-4.98%), 25 May 2005 (0.72%), 03 Jun 2005 (-5.22%), 07 Dec 2005 (-3.47%), 20 Dec 2005 (-4.03%), 21 Dec 2005 (-2.11%)
20031224 Feb 2003 (-2.1%), 09 Jun 2003 (-1.65%), 20 Jun 2003 (-2.69%), 23 Jun 2003 (5.61%), 25 Jun 2003 (-3.45%), 07 Jul 2003 (6.51%), 08 Jul 2003 (7.4%), 21 Oct 2003 (8.12%), 23 Oct 2003 (-3.96%), 11 Nov 2003 (-4.55%), 15 Nov 2003 (-4.76%), 17 Nov 2003 (9.84%)
2002125 Jun 2002 (-1.9%)
1999123 Dec 1999 (11.99%)
1998203 Apr 1998 (-2.86%), 17 Apr 1998 (7.01%)
1997110 Sep 1997 (8.22%)
1996407 May 1996 (0.66%), 15 May 1996 (-3.76%), 22 May 1996 (-1.11%), 24 May 1996 (-1.67%)



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