Study: Sell CIPLA when there is bearish divergence in RSI and ADX is Trending

home > technical-strategy > cipla > 43

In this study, we evaluate the performance of strategy "Sell CIPLA 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 CIPLA 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
1-33075.1629131644.833753.0312408.15-5116.53-16002.50.730.6-0.037-1140.52
2-62477.7329151451.724957.715089.24-9774.52-24654.570.510.54-0.044-2154.4
3-88670.7329121741.386796.0621572.16-10013.14-24917.970.680.48-0.059-3057.61
4-1190312992031.0310067.7121849.44-10482.04-32487.540.960.43-0.069-4104.53
5-71436.8729121741.389726.8221664.38-11068.16-28549.960.880.62-0.039-2463.34
6-24907.3229121741.3812566.428055.71-10335.54-30824.341.220.86-0.013-858.87
7-57927.5629121741.3813101.5125473.23-12655.63-33105.921.040.73-0.026-1997.5
8-82063.0629121741.3811464.2128962.05-12919.62-39267.50.890.63-0.037-2829.76
9-14444029131644.8310306.6533305.9-17401.68-58326.750.590.48-0.051-4980.7
10-21044729111837.9310765.0727667.1-18270.18-68852.180.590.36-0.067-7256.81
Although, strategy looks good but profit factor on day 4 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
atrnil34.813278.1245133228.8918576.7341645.99-7131.85-10418.52.61.060.0048295.07
atrtrail33.74539.415018323610196.7522624.68-5593.81-10781.721.821.030.00290.79
atrnil23.933544.4946163034.7813460.227763.99-7060.62-10781.721.911.020.001577.05
atrtrail23.3-5502.45501931389088.2120723.52-5747.69-10781.721.580.97-0.0027-110.05
atrtrail-14.24-19985.23501832368834.2733692.04-5593.81-10781.721.580.89-0.0092-399.7

In the table above, row 1 shows the best exit criterion. Profit factor is 1.06. 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 28.89%, 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 0.0048, 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.
CIPLA Performance, Profit Factor:1.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016122 Sep 2016 (6.07%)
2015114 Aug 2015 (7.03%)
2014310 Sep 2014 (-2.46%), 16 Sep 2014 (-2.79%), 19 Sep 2014 (8.41%)
2012204 Sep 2012 (-2.07%), 08 Sep 2012 (6.34%)
2009408 Apr 2009 (-3.42%), 16 Apr 2009 (11.31%), 02 Dec 2009 (-3.3%), 08 Dec 2009 (-3.43%)
2006414 Feb 2006 (-4.67%), 23 Feb 2006 (-3.87%), 09 Mar 2006 (-3.63%), 02 May 2006 (20.82%)
2005308 Jun 2005 (-2.47%), 30 Jun 2005 (-2.69%), 18 Jul 2005 (-2.56%)
2004427 Sep 2004 (-2.9%), 30 Sep 2004 (8.43%), 28 Dec 2004 (-2.23%), 31 Dec 2004 (6.64%)
2003214 Jul 2003 (8.65%), 11 Sep 2003 (-5.08%)
2000203 Nov 2000 (-3.86%), 13 Dec 2000 (11.0%)
19991410 Feb 1999 (-3.41%), 19 Feb 1999 (-3.33%), 15 Mar 1999 (10.52%), 19 Jul 1999 (-3.86%), 20 Jul 1999 (-3.85%), 26 Jul 1999 (-4.26%), 13 Aug 1999 (-4.14%), 16 Aug 1999 (-4.11%), 17 Aug 1999 (-4.06%), 27 Aug 1999 (-4.33%), 07 Sep 1999 (-4.66%), 16 Sep 1999 (-4.36%), 28 Sep 1999 (-5.21%), 29 Sep 1999 (-5.18%)
1998202 Apr 1998 (-2.62%), 03 Apr 1998 (-2.8%)
1997219 Mar 1997 (7.0%), 20 May 1997 (-2.52%)
1996117 Dec 1996 (8.52%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play