Study: Buy GRASIM when there is bullish divergence in RSI

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In this study, we evaluate the performance of strategy "Buy GRASIM when there is bullish divergence in RSI" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy GRASIM 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
139209.2128131546.435028.8911116.97-1744.43-5593.312.882.50.0631400.33
227466.3728171160.714923.1119320.94-5111.51-11447.990.961.490.03980.94
3-19302.2281414506750.1714759.93-8128.9-50074.40.830.83-0.012-689.36
4-17019.71281414507670.0820570.31-8885.78-473430.860.86-0.0098-607.85
5-39690.6628161257.147655.4621446.75-13514.83-49352.820.570.76-0.019-1417.52
6-12088.672814145010537.6327689.93-11401.11-51362.640.920.92-0.0053-431.74
7-16578.7728131546.4312831.7831278.54-12226.13-54403.881.050.91-0.0067-592.1
8-11010.7428161257.1410771.8830936.07-15280.06-551540.70.94-0.0045-393.24
96280.7728171160.7112293.2531221.46-18427.68-54089.970.671.030.0024224.31
1068327.8328181064.2913506.9240693.92-17479.68-55480.140.771.390.0252440.28

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.5. 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 46.43%, which is not acceptable. Avoid this strategy. Average return per trade is 0.7%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.063, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
GRASIM Performance, X=1, Profit Factor:2.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019107 Aug 2019 (-0.07%)
2018117 Oct 2018 (-0.82%)
2013309 Apr 2013 (-0.29%), 13 Aug 2013 (-1.19%), 30 Aug 2013 (0.87%)
2010321 May 2010 (-2.37%), 09 Jun 2010 (-0.38%), 23 Jun 2010 (0.39%)
2009130 Oct 2009 (-0.24%)
2008426 May 2008 (-0.35%), 08 Jul 2008 (4.63%), 28 Oct 2008 (-1.57%), 24 Nov 2008 (-1.61%)
2007105 Mar 2007 (0.99%)
2006101 Jun 2006 (5.56%)
2005127 Oct 2005 (0.26%)
2001117 Sep 2001 (4.99%)
2000116 Oct 2000 (3.14%)
1998413 Feb 1998 (5.47%), 05 Aug 1998 (-0.05%), 20 Aug 1998 (-2.8%), 04 Sep 1998 (3.52%)
1997129 Sep 1997 (-0.62%)
1996416 Jul 1996 (0.04%), 01 Aug 1996 (-0.48%), 21 Aug 1996 (2.02%), 08 Oct 1996 (0.82%)
1995128 Nov 1995 (-0.25%)

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-17.7417538134142041.1820806.5554608.4-5795.53-11965.543.592.510.0595158.26
nilnil-1139209.2128131546.435028.8911116.97-1744.43-5593.312.882.50.0631400.33
atrtrail36.0915565934142041.1819397.8159877.73-5795.53-11965.543.352.340.0574578.2
atrtrail25.0612979834142041.1817550.6139918.49-5795.53-11965.543.032.120.0593817.58
atrnil27.6914304932151746.8819488.5939918.49-8781.16-23939.172.221.960.0584470.28
atrnil310.0916555232112134.3831431.5659877.73-8580.72-23939.173.661.920.0515173.5

In the table above, row 1 shows the best exit criterion. Profit factor is 2.51. 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 41.18%, which is not acceptable. Avoid this strategy. Average return per trade is 2.58%, which is very good. Sharpe Ratio is 0.059, 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.
GRASIM Performance, Profit Factor:2.51

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019207 Aug 2019 (-2.92%), 22 Aug 2019 (2.28%)
2018117 Oct 2018 (-3.77%)
2013509 Apr 2013 (-2.04%), 13 Aug 2013 (-3.13%), 16 Aug 2013 (-3.38%), 30 Aug 2013 (-2.88%), 03 Sep 2013 (13.21%)
2010221 May 2010 (-3.27%), 03 Jun 2010 (-1.57%)
2009130 Oct 2009 (5.01%)
2008526 May 2008 (-2.64%), 08 Jul 2008 (-0.98%), 15 Jul 2008 (17.14%), 28 Oct 2008 (-1.0%), 24 Nov 2008 (27.3%)
2007205 Mar 2007 (-4.64%), 09 Mar 2007 (10.55%)
2006101 Jun 2006 (-3.28%)
2005127 Oct 2005 (25.64%)
2001117 Sep 2001 (4.55%)
2000116 Oct 2000 (23.87%)
1998513 Feb 1998 (4.76%), 05 Aug 1998 (-5.98%), 20 Aug 1998 (-4.76%), 04 Sep 1998 (-2.1%), 11 Sep 1998 (6.07%)
1997229 Sep 1997 (-1.93%), 01 Oct 1997 (1.16%)
1996416 Jul 1996 (-1.91%), 01 Aug 1996 (-2.71%), 21 Aug 1996 (3.12%), 08 Oct 1996 (-3.09%)
1995128 Nov 1995 (0.99%)



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