Study: Sell GLENMARK when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell GLENMARK 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 GLENMARK 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
14663.1630171356.672460.167272.73-2858.42-11788.620.861.130.0096155.44
26588.36301812605429.9324713.87-7595.86-21428.570.711.070.0056219.61
3-11572.6530191163.335639.8627895.25-10793.64-39309.070.520.9-0.0077-385.75
4-59215.87301515506406.0122308.44-10353.73-59765.580.620.62-0.032-1973.86
5-63626.2930131743.338467.4523627.55-10217.83-63368.290.830.63-0.031-2120.88
6-92144.6930161453.338254.9928089.23-16016.04-59554.650.520.59-0.038-3071.49
7-65864.2301812609591.5229408.34-19875.96-69396.050.480.72-0.025-2195.47
8-63966.0730171356.6710926.1228942.77-19208.47-60801.970.570.74-0.023-2132.2
9-78954.943015155013832.6436236.66-19096.31-67365.820.720.72-0.028-2631.83
10-90731.673015155012596.1842677.01-18644.96-51326.340.680.68-0.035-3024.39

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.13. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 56.67%, which is not acceptable. Avoid this strategy. Average return per trade is 0.078%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0096, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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
nilnil-114663.1630171356.672460.167272.73-2858.42-11788.620.861.130.0096155.44
atrnil27.07-2554.0643133030.2318895.4529123.18-8273.17-13833.622.280.99-0.001-59.4
atrnil38.79-16103.1642103223.8125799.7143684.77-8565.63-14006.833.010.94-0.0056-383.41
atrtrail23.98-67579.3748163233.338241.6729123.18-6232.69-13216.781.320.66-0.037-1407.9
atrtrail34.34-73405.4547153231.918417.0543684.77-6239.41-13216.781.350.63-0.038-1561.82
atrtrail-14.77-76082.0147153231.918238.6131834.96-6239.41-13216.781.320.62-0.042-1618.77

In the table above, row 1 shows the best exit criterion. Profit factor is 1.13. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 56.67%, which is not acceptable. Avoid this strategy. Average return per trade is 0.078%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0096, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GLENMARK Performance, X=1, Profit Factor:1.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018318 Jan 2018 (0.23%), 30 Aug 2018 (-0.91%), 14 Sep 2018 (1.7%)
2015101 Jul 2015 (-0.13%)
2014306 Aug 2014 (-0.35%), 21 Aug 2014 (-0.88%), 20 Nov 2014 (1.26%)
2013202 Jan 2013 (-0.43%), 23 May 2013 (3.64%)
2009104 Jun 2009 (1.96%)
2007518 Sep 2007 (-2.81%), 03 Oct 2007 (0.37%), 17 Oct 2007 (-1.68%), 02 Nov 2007 (2.65%), 31 Dec 2007 (-0.38%)
2006325 Aug 2006 (0.18%), 07 Nov 2006 (1.09%), 21 Nov 2006 (0.27%)
2005111 Mar 2005 (2.25%)
2004403 Sep 2004 (0.23%), 04 Oct 2004 (-0.7%), 17 Nov 2004 (0.06%), 28 Dec 2004 (1.12%)
2003413 Jan 2003 (-1.17%), 26 May 2003 (-0.38%), 07 Jul 2003 (2.75%), 09 Sep 2003 (0.54%)
2002106 Feb 2002 (0.61%)
2001222 Oct 2001 (-2.87%), 14 Nov 2001 (-5.89%)



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