Study: Sell ENGINERSIN 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 ENGINERSIN 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 ENGINERSIN 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
1-80380.7520911453794.458457.94-10411.89-31349.420.360.3-0.083-4019.04
2-93602.3220119556771.8920857.88-18677.01-68896.320.360.44-0.048-4680.12
3-39280.0120128609163.325534.34-18654.95-70963.820.490.74-0.02-1964
4-16425.1820146707878.4723304.64-21120.63-52791.880.370.87-0.011-821.26
5-22197.2920137659943.5526551.88-21637.63-59940.780.460.85-0.013-1109.86
6-52094.51201286010722.3827291.95-22595.38-67893.40.470.71-0.027-2604.73
7-61171.72201195512577.7622741.52-22169.68-76649.750.570.69-0.028-3058.59
8-14383120119559406.6927187.23-27478.32-71404.40.340.42-0.066-7191.56
9-41903.7201195520454.34129839-29655.72-62013.540.690.84-0.012-2095.19
1010241.24201195521436.11124226-25061.77-64593.910.861.050.0031512.06
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
atrtrail23.4864289.5831131841.9417232.634525.5-8874.12-14306.281.941.40.0322073.86
atrnil24.5862238.3531121938.7120942.0334525.5-9950.84-14306.282.11.330.0292007.69
atrnil39.2411095.22982127.5927837.8341413.25-10076.55-15337.112.761.050.0049382.59
atrtrail34.763524.7429121741.3812637.141413.25-8712.97-14306.281.451.020.0021121.54
atrtrail-14.83-3478.629121741.3812053.4939101.49-8712.97-14306.281.380.98-0.0022-119.95

In the table above, row 1 shows the best exit criterion. Profit factor is 1.4. 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 41.94%, which is not acceptable. Avoid this strategy. Average return per trade is 1.04%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, 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.
ENGINERSIN Performance, Profit Factor:1.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017206 Nov 2017 (-3.49%), 07 Nov 2017 (2.22%)
2016312 Jul 2016 (1.17%), 27 Jul 2016 (1.68%), 06 Sep 2016 (6.48%)
20141020 Mar 2014 (-2.52%), 26 Mar 2014 (-4.32%), 27 Mar 2014 (-4.38%), 02 Apr 2014 (-4.57%), 04 Apr 2014 (-5.2%), 10 Apr 2014 (-4.75%), 17 Apr 2014 (-2.95%), 09 May 2014 (-4.12%), 06 Jun 2014 (-5.01%), 09 Jun 2014 (9.96%)
2013117 Sep 2013 (-4.92%)
2010122 Jan 2010 (9.7%)
2009203 Jun 2009 (-6.49%), 05 Jun 2009 (-1.87%)
2006124 Jan 2006 (3.62%)
2005111 Oct 2005 (11.36%)
2004127 Sep 2004 (-1.34%)
2002519 Feb 2002 (-6.17%), 22 Feb 2002 (13.8%), 25 Feb 2002 (17.26%), 27 Mar 2002 (-7.15%), 09 Apr 2002 (15.34%)
2001108 Feb 2001 (9.84%)
1999322 Oct 1999 (-4.8%), 23 Oct 1999 (9.57%), 26 Oct 1999 (-5.81%)



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