Study: Sell GODFRYPHLP when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell GODFRYPHLP 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 GODFRYPHLP 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
138540.1235231265.715505.1317541.76-7339.83-38352.940.751.440.0241101.15
246071.3235251071.436690.3119062.15-12118.64-29468.810.551.380.0251316.32
3979.0335241168.576368.323309.58-13805.46-41426.20.461.010.0004627.97
4-20921.0335221362.869253.8528373.72-17269.68-52099.820.540.91-0.0072-597.74
54432.6335251071.438591.7832478.94-21036.19-51729.060.411.020.0016126.65
6-17088.1535221362.8610353.2130704.03-18835.29-53204.990.550.93-0.0055-488.23
7-30190.4835201557.1412510.5937703.77-18693.49-53133.690.670.89-0.0087-862.59
8-25287.3435201557.1414230.9658608.27-20660.44-53588.160.690.92-0.0065-722.5
99973.2335191654.2916505.4365004.54-18976.87-47949.610.871.030.0025284.95
1027043.1935221362.8614960.4663599.84-23237.45-59399.240.641.090.0066772.66

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.44. 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 65.71%, which is good. Average return per trade is 0.55%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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
atrtrail23.6313728252232944.2313824.9526919.94-6230.74-12334.612.221.760.0472640.05
atrnil38.1420058949173234.6927511.2740379.9-8346.97-12334.613.31.750.0484093.65
atrtrail34.2513344252232944.2313657.9940379.9-6230.74-12334.612.191.740.0422566.2
atrnil25.5111360649202940.8217886.8726919.94-8418.32-12334.612.121.470.0362318.49
nilnil-1138540.1235231265.715505.1317541.76-7339.83-38352.940.751.440.0241101.15
atrtrail-14.9667090.7152232944.2310773.1449445.35-6230.74-12334.611.731.370.0231290.21

In the table above, row 1 shows the best exit criterion. Profit factor is 1.76. 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 44.23%, which is not acceptable. Avoid this strategy. Average return per trade is 1.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.047, 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.
GODFRYPHLP Performance, Profit Factor:1.76

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019325 Mar 2019 (-3.44%), 29 Mar 2019 (1.76%), 15 Apr 2019 (6.31%)
2018110 Sep 2018 (-0.91%)
2016221 Jul 2016 (-4.51%), 22 Jul 2016 (8.79%)
2015423 Jul 2015 (1.8%), 27 Oct 2015 (-1.05%), 26 Nov 2015 (-2.6%), 04 Dec 2015 (12.04%)
2014317 Feb 2014 (-3.46%), 24 Feb 2014 (7.79%), 24 Nov 2014 (5.42%)
2013117 May 2013 (2.03%)
2012229 Mar 2012 (-2.8%), 04 Apr 2012 (-4.07%)
2011528 Jun 2011 (-4.05%), 04 Jul 2011 (-4.31%), 08 Jul 2011 (-3.9%), 11 Jul 2011 (7.83%), 18 Jul 2011 (-0.46%)
2010112 Nov 2010 (-3.99%)
2009427 Jul 2009 (-3.91%), 30 Jul 2009 (-4.98%), 05 Aug 2009 (10.33%), 30 Sep 2009 (-0.47%)
2008109 Jan 2008 (13.46%)
2007424 Apr 2007 (-3.01%), 09 May 2007 (-3.66%), 20 Sep 2007 (-2.28%), 01 Oct 2007 (7.35%)
2006216 Jan 2006 (0.39%), 07 Dec 2006 (9.84%)
2005911 Jan 2005 (-1.7%), 14 Jan 2005 (-1.28%), 01 Feb 2005 (7.88%), 18 Mar 2005 (-6.17%), 21 Mar 2005 (12.12%), 15 Sep 2005 (-0.52%), 18 Nov 2005 (1.74%), 26 Nov 2005 (-2.12%), 09 Dec 2005 (7.35%)
2004214 Sep 2004 (-1.85%), 07 Dec 2004 (5.92%)
2000128 Dec 2000 (0.38%)
1999419 Feb 1999 (-5.31%), 26 Feb 1999 (-5.99%), 27 Feb 1999 (-6.15%), 03 Mar 1999 (12.54%)
1998124 Sep 1998 (9.08%)
1997223 Jul 1997 (-1.4%), 13 Aug 1997 (6.85%)



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