Study: Sell CONCOR 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 CONCOR 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 CONCOR 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
1-12501.1731151648.393447.677538.65-4013.51-18169.30.860.81-0.018-403.26
2-4497.1431141745.166132.7918374.61-5315.07-11813.921.150.95-0.0048-145.07
3-42390.2331141745.166148.3420439.03-7556.88-18007.370.810.67-0.035-1367.43
4-31389.5531131841.948203.6225899.28-7668.7-19274.691.070.77-0.023-1012.57
5-66900.8431141745.167794.8329072.13-10354.61-27501.850.750.62-0.04-2158.09
6-52963.7631141745.167933.3632761.48-9648.87-26343.540.820.68-0.033-1708.51
7-36027.0331151648.397933.1728481.83-9689.04-24524.740.820.77-0.023-1162.16
8-36818.8731131841.9411410.4526305.11-10286.37-31084.021.110.8-0.02-1187.71
9-87857.5331121938.711325331062.18-12994.4-33951.071.020.64-0.041-2834.11
10-88222.9931121938.7114402.6431088.41-13739.72-30483.91.050.66-0.039-2845.9
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
atrtrail23.34-57869.9753173632.089173.0418801.02-5939.21-14191.791.540.73-0.03-1091.89
atrtrail33.72-71487.9653163730.198960.8828201.53-5807.08-14191.791.540.67-0.034-1348.83
atrnil25.06-1164035213392514275.6818801.02-7743.25-14191.791.840.61-0.052-2238.51
atrnil36.25-1348315194217.6520952.9828201.53-7700.19-14191.792.720.58-0.053-2643.75
atrtrail-14.32-90378.5453163730.197780.2229763.31-5807.08-14191.791.340.58-0.046-1705.26

In the table above, row 1 shows the best exit criterion. Profit factor is 0.73. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CONCOR Performance, Profit Factor:0.729

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019205 Jul 2019 (4.37%), 03 Oct 2019 (8.51%)
2017320 Apr 2017 (-3.05%), 25 Apr 2017 (0.71%), 01 Sep 2017 (-1.61%)
2014512 Mar 2014 (-1.1%), 01 Apr 2014 (7.5%), 12 May 2014 (-4.33%), 13 May 2014 (-4.3%), 26 May 2014 (-0.5%)
2013107 Mar 2013 (-2.91%)
2012218 Oct 2012 (-0.46%), 22 Oct 2012 (-0.04%)
2010213 Apr 2010 (0.78%), 21 Apr 2010 (6.5%)
2009323 Apr 2009 (-3.25%), 04 May 2009 (-2.79%), 15 May 2009 (-3.77%)
2006708 May 2006 (-5.42%), 10 May 2006 (-4.14%), 23 Oct 2006 (-2.93%), 26 Oct 2006 (-2.91%), 01 Nov 2006 (-2.7%), 09 Nov 2006 (-3.13%), 13 Nov 2006 (5.9%)
2005626 Jul 2005 (-2.83%), 27 Jul 2005 (-3.22%), 01 Aug 2005 (-3.76%), 10 Aug 2005 (-3.41%), 22 Aug 2005 (7.68%), 05 Sep 2005 (-3.84%)
2004215 Sep 2004 (-1.69%), 31 Dec 2004 (6.86%)
20031119 May 2003 (-3.24%), 21 May 2003 (-3.22%), 23 May 2003 (-3.02%), 26 May 2003 (6.25%), 30 May 2003 (1.85%), 26 Jun 2003 (0.46%), 28 Aug 2003 (-2.66%), 02 Sep 2003 (-3.09%), 09 Sep 2003 (-4.43%), 11 Sep 2003 (-0.72%), 09 Oct 2003 (8.48%)
2002408 Feb 2002 (-7.1%), 11 Feb 2002 (-5.17%), 13 Feb 2002 (0.49%), 13 Dec 2002 (9.4%)
2001105 Dec 2001 (-1.05%)
1999422 Jul 1999 (0.79%), 19 Aug 1999 (-4.15%), 24 Aug 1999 (-0.98%), 26 Aug 1999 (1.46%)



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