Study: Sell COLPAL when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell COLPAL 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 COLPAL 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
1-1617.67167943.753231.658776.16-2693.25-7240.161.20.93-0.0078-101.1
2961.741688503361.5210923.42-3241.3-10025.41.041.040.003860.11
313763.861661037.56231.8610371.83-2362.73-10160.882.641.580.05860.24
4-6428169756.254371.7811376.51-6539.14-12509.980.670.86-0.019-401.75
5-5403.67169756.256181.3214087.63-8719.36-31324.380.710.91-0.0096-337.73
6-5698.81610662.55796.4614857.59-10610.57-30944.140.550.91-0.01-356.18
7-17177.15169756.255557.6615712.37-9599.45-26160.690.580.74-0.032-1073.57
8-49343.3516412259140.7712351.96-7158.87-30001.141.280.43-0.087-3083.96
9-79988.571651131.256208.6613267.67-10093.8-34967.110.620.28-0.13-4999.29
10-61967.71651131.256465.5715513.42-8572.32-28746.340.750.34-0.12-3872.98
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
atrnil27.14-3812.422171433.339992.712404.89-5268.66-10478.341.90.95-0.0071-181.54
atrtrail34.95-16116.042171433.335661.9115105.57-3982.1-8617.541.420.71-0.04-767.43
atrnil38.9-30028.262141719.0514757.6516438.63-5238.76-10478.342.820.66-0.052-1429.92
atrtrail-15.48-21183.242171433.334938.0311183.24-3982.1-8617.541.240.62-0.058-1008.73
atrtrail24.43-22134.872171433.334802.0810070.38-3982.1-8617.541.210.6-0.064-1054.04

In the table above, row 1 shows the best exit criterion. Profit factor is 0.95. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is -0.091%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
COLPAL Performance, Profit Factor:0.948

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019216 Sep 2019 (-2.24%), 30 Sep 2019 (-3.0%)
2018128 May 2018 (5.11%)
2017424 Mar 2017 (-1.61%), 05 Apr 2017 (-1.68%), 07 Apr 2017 (-1.63%), 10 Apr 2017 (-1.74%)
2016320 Jul 2016 (-1.7%), 26 Jul 2016 (3.41%), 08 Aug 2016 (5.04%)
2014203 Jul 2014 (-2.57%), 18 Nov 2014 (5.48%)
2013113 May 2013 (4.06%)
2012221 Mar 2012 (6.2%), 20 Dec 2012 (-2.25%)
2010215 Jun 2010 (-3.17%), 25 Jun 2010 (5.69%)
2009415 Jun 2009 (-5.24%), 29 Jun 2009 (-4.31%), 17 Oct 2009 (-2.79%), 23 Oct 2009 (-2.96%)



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