Study: Sell CUMMINSIND when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell CUMMINSIND 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 CUMMINSIND 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
112376.6831171454.842875.546959.68-2607.68-7332.491.11.340.023399.25
225610.0531181358.064714.4815358.36-4557.74-13657.771.031.430.029826.13
347943.2931191261.296620.9817406.14-6487.94-18210.361.021.620.0411546.56
411843.531171454.846852.424020.23-7474.8-22720.550.921.110.0084382.05
526111.7131181358.067576.6630341.34-8482.17-22206.650.891.240.016842.31
6-17932.3131141745.169684.0432085.97-9029.94-27304.251.070.88-0.0089-578.46
7-22980.4731171454.847736.7324525.92-11036.07-31552.330.70.85-0.012-741.31
85460.4231151648.3911684.3928213.88-10612.84-43194.61.11.030.0024176.14
9-54028.4631171454.849296.1619574.47-15147.37-51833.520.610.75-0.022-1742.85
10-40717.5731161551.619032.1816951.08-12348.83-33160.850.730.78-0.02-1313.47
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
atrtrail24.2558871.0244192543.189375.0117311.85-4770.17-9602.551.971.490.0331337.98
atrtrail34.841289.7144182640.919151.9824768.45-4747.92-9602.551.931.330.021938.4
atrnil37.6845054.6341113026.8323161.0125967.78-6990.55-9602.553.311.210.0171098.89
atrnil26.2219362.9641152636.5913955.717311.85-7306.63-9602.551.911.10.0093472.27
atrtrail-15.27-2803.644182640.916702.3519285-4747.92-9602.551.410.98-0.0018-63.72

In the table above, row 1 shows the best exit criterion. Profit factor is 1.49. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 43.18%, which is not acceptable. Avoid this strategy. Average return per trade is 0.67%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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.
CUMMINSIND Performance, Profit Factor:1.49

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017213 Apr 2017 (4.38%), 26 Apr 2017 (-1.18%)
2015114 Aug 2015 (8.15%)
2014610 Mar 2014 (-2.43%), 20 Mar 2014 (-1.34%), 27 Mar 2014 (-3.33%), 09 Jun 2014 (0.07%), 20 Nov 2014 (0.95%), 04 Dec 2014 (6.82%)
2013120 Dec 2013 (-1.49%)
2012531 Jan 2012 (-3.32%), 02 Feb 2012 (-3.49%), 03 Feb 2012 (0.4%), 10 Feb 2012 (-4.13%), 15 Feb 2012 (-0.0%)
2010608 Apr 2010 (-1.31%), 10 Aug 2010 (-2.09%), 23 Aug 2010 (5.59%), 27 Aug 2010 (-3.09%), 30 Aug 2010 (-2.68%), 13 Sep 2010 (-0.58%)
2009108 May 2009 (-1.3%)
2008207 Aug 2008 (-4.8%), 14 Aug 2008 (-0.51%)
2006313 Feb 2006 (-3.71%), 15 Feb 2006 (0.79%), 09 Mar 2006 (8.64%)
2005114 Jun 2005 (6.72%)
2004217 Apr 2004 (8.26%), 20 Sep 2004 (1.21%)
2003627 Feb 2003 (6.21%), 13 May 2003 (-3.18%), 20 May 2003 (-2.39%), 22 May 2003 (0.72%), 30 May 2003 (1.41%), 07 Aug 2003 (-4.32%)
2000113 Dec 2000 (7.9%)
1999422 Jan 1999 (7.75%), 10 Aug 1999 (-4.34%), 24 Aug 1999 (-1.03%), 30 Aug 1999 (8.66%)
1997326 Jun 1997 (4.42%), 02 Jul 1997 (-2.51%), 14 Jul 1997 (-1.07%)



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