Study: Buy ENGINERSIN when there is bullish divergence in RSI and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy ENGINERSIN when there is bullish 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: buy 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. sell 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
112260.8321111052.384018.6210512.75-3194.4-9754.911.261.380.028583.85
2-21086.622191242.866739.8222801.49-6812.08-20167.740.990.74-0.025-1004.12
3-25748.32191242.8613588.2338327.13-12336.86-35576.361.10.83-0.016-1226.11
4-5171.882181338.118022.1833948.34-11488.41-25863.391.570.97-0.0032-246.28
535112.52191242.8619914.3840590.41-12009.74-25111.111.661.240.021672.02
668272.1221101147.6221264.7143782.38-13125-25396.831.621.470.0333251.05
721097.252181338.121806.7837759.07-11796.69-53825.41.851.140.011004.63
8155.9221111052.3817283.2638092.9-18996-64174.60.9116.7e-057.42
961866.492113861.915570.1936470.88-17568.24-370000.891.440.0322946.02
1088866.312113861.918572.8283804.37-19072.55-41271.70.971.580.0354231.73
Although, strategy looks good but profit factor on day 2 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
atrnil312.3412934029101934.4838080.1156603.5-13234.79-23568.142.881.510.0394460
atrnil2768507.929111837.9327085.0144067.72-12745.96-23568.142.121.30.0262362.34
atrtrail24.9751388.1531112035.4822374.1144067.72-9736.36-22807.362.31.260.021657.68
atrtrail35.4545610.9331112035.4821848.9149412.05-9736.36-22807.362.241.230.0181471.32
atrtrail-15.7444172.9331112035.4821718.1951562.74-9736.36-22807.362.231.230.0171424.93

In the table above, row 1 shows the best exit criterion. Profit factor is 1.51. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 34.48%, which is not acceptable. Avoid this strategy. Average return per trade is 2.23%, which is very good. Sharpe Ratio is 0.039, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ENGINERSIN Performance, Profit Factor:1.51

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018230 May 2018 (-3.55%), 01 Jun 2018 (-3.82%)
2016118 Feb 2016 (19.63%)
2014125 Aug 2014 (14.13%)
2013618 Feb 2013 (-2.9%), 25 Feb 2013 (-3.03%), 26 Mar 2013 (13.89%), 21 Jun 2013 (-3.23%), 02 Jul 2013 (-3.1%), 12 Jul 2013 (8.25%)
2011124 Jan 2011 (-3.19%)
2008128 Oct 2008 (-11.02%)
2006229 May 2006 (-9.48%), 02 Jun 2006 (-9.84%)
2004224 May 2004 (-9.86%), 31 May 2004 (28.3%)
2002307 Nov 2002 (-4.52%), 18 Nov 2002 (-6.87%), 20 Nov 2002 (21.95%)
2001528 Mar 2001 (-6.66%), 02 Apr 2001 (-6.86%), 12 Apr 2001 (19.55%), 20 Sep 2001 (-6.77%), 21 Sep 2001 (21.8%)
2000507 Mar 2000 (-11.4%), 22 Mar 2000 (-11.78%), 17 May 2000 (-7.84%), 24 May 2000 (24.71%), 18 Oct 2000 (18.2%)



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