Study: Sell DRREDDY when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell DRREDDY 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 DRREDDY 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
117847.7137221559.463015.98031.14-3233.47-12322.940.931.370.022482.37
249905.0937241364.864551.810504.63-4564.47-8915.611.840.051348.79
322230.3237221559.465404.8513139.93-6445.1-19741.010.841.230.016600.82
449865.9337231462.166596.7617608.79-7275.68-18762.810.911.490.0311347.73
537393.937211656.767928.6731120.49-8069.26-21870.030.981.290.0191010.65
69962.5837152240.5411443.2944627.78-7349.4-31964.541.561.060.0041269.26
7-17478.8537152240.5411574.2848126.12-8686.05-27324.391.330.91-0.0069-472.4
8-44578.8337132435.1414465.5359989.77-9692.95-29807.451.490.81-0.015-1204.83
9-33468.0437172045.9512551.7357188.54-12342.38-40737.831.020.86-0.011-904.54
10-30918.3137152240.5415370.0854687.9-11884.98-30769.231.290.88-0.01-835.63
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
atrtrail-15.3562673.8254203437.0411405.9148698.43-4866.01-10017.422.341.380.0211160.63
atrtrail34.6922956.6254203437.049420.0529559.98-4866.01-10017.421.941.140.0099425.12
atrtrail24.313174.7854203437.048930.9619706.66-4866.01-10017.421.841.080.0065243.98
atrnil37.67-15694.475213392518221.4832269.75-6476.25-10017.422.810.94-0.0054-301.82
atrnil25.83-14218.1952173532.6912443.7321513.16-6450.33-10017.421.930.94-0.0059-273.43

In the table above, row 1 shows the best exit criterion. Profit factor is 1.38. 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 37.04%, which is not acceptable. Avoid this strategy. Average return per trade is 0.58%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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.
DRREDDY Performance, Profit Factor:1.38

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016212 Jul 2016 (-1.2%), 20 Jul 2016 (17.61%)
2015323 Jul 2015 (3.01%), 31 Jul 2015 (-2.44%), 11 Aug 2015 (-2.28%)
2014424 Jan 2014 (-0.54%), 09 Sep 2014 (0.02%), 17 Nov 2014 (-2.16%), 02 Dec 2014 (5.49%)
2013116 Jan 2013 (0.31%)
2010726 Mar 2010 (-0.81%), 25 Oct 2010 (-2.36%), 01 Nov 2010 (-1.73%), 11 Nov 2010 (-2.01%), 18 Nov 2010 (-1.51%), 24 Nov 2010 (-1.44%), 06 Dec 2010 (5.16%)
2009720 Apr 2009 (-3.01%), 23 Apr 2009 (-1.02%), 09 Jun 2009 (-5.01%), 25 Jun 2009 (-4.64%), 08 Jul 2009 (2.66%), 12 Nov 2009 (-2.54%), 01 Dec 2009 (2.47%)
2008102 Jan 2008 (15.42%)
2007131 Dec 2007 (-2.24%)
2006627 Jan 2006 (-3.09%), 03 Feb 2006 (-3.42%), 08 Feb 2006 (-1.45%), 16 Feb 2006 (-3.82%), 05 Sep 2006 (-1.78%), 14 Sep 2006 (3.23%)
2005111 Oct 2005 (9.97%)
2003501 Jan 2003 (-1.04%), 07 Jan 2003 (-2.31%), 16 Jun 2003 (-3.25%), 23 Jun 2003 (-1.71%), 30 Jun 2003 (-3.19%)
2002127 Dec 2002 (0.39%)
2001205 Jun 2001 (-3.66%), 12 Jun 2001 (2.83%)
2000108 Sep 2000 (10.15%)
1999612 Mar 1999 (-1.26%), 18 Mar 1999 (-3.4%), 24 Mar 1999 (-2.64%), 19 Aug 1999 (-4.8%), 01 Sep 1999 (1.4%), 13 Oct 1999 (24.35%)
1997327 Jun 1997 (2.08%), 04 Jul 1997 (-3.09%), 25 Jul 1997 (-1.86%)
1996320 Feb 1996 (1.95%), 26 Apr 1996 (2.72%), 14 Jun 1996 (2.82%)



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