Study: Sell GSFC 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 GSFC 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 GSFC 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
1-24890.7331141745.166285.7418376.57-6640.65-23270.440.950.78-0.019-802.93
215900.7131171454.848490.6222761.51-9174.28-41570.440.931.120.0083512.93
375338.2731181358.0611923.2731759.26-10713.9-65127.021.111.540.032430.27
41855543122970.9712575.0434662.05-10121.83-41108.551.243.040.0865985.63
518510131201164.5214882.1537088.39-10231.13-44341.81.452.640.0765970.99
622342831201164.5215419.5754838.71-7723.94-36027.7123.630.0917207.36
720124231201164.5215095.6957643.76-9151.97-42494.231.6530.0776491.68
816265731211067.7413642.5439831.7-12383.65-42956.121.12.310.0645246.99
912175731201164.5214112.3642634.32-14589.98-48637.320.971.760.0443927.66
1011929231191261.2916287.2644714.04-15847.19-51270.211.031.630.0393848.12
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
GSFC Performance, X=6, Profit Factor:3.63

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017219 Jan 2017 (8.16%), 03 Nov 2017 (13.36%)
2016202 May 2016 (-0.96%), 19 Oct 2016 (0.47%)
2014303 Jun 2014 (-0.66%), 19 Sep 2014 (-9.35%), 09 Oct 2014 (5.45%)
2012228 Sep 2012 (7.07%), 17 Oct 2012 (-0.27%)
2011202 Aug 2011 (4.5%), 19 Sep 2011 (2.2%)
2010419 Jan 2010 (7.25%), 19 Apr 2010 (-2.46%), 13 Jul 2010 (3.34%), 09 Nov 2010 (8.25%)
2009216 Apr 2009 (-2.28%), 05 Jun 2009 (3.74%)
2007224 Jul 2007 (-0.59%), 20 Nov 2007 (16.33%)
2006127 Jan 2006 (0.56%)
2005108 Feb 2005 (-1.53%)
2004213 Jan 2004 (27.42%), 21 Dec 2004 (3.27%)
2003309 Jun 2003 (2.63%), 04 Jul 2003 (6.4%), 19 Dec 2003 (-5.97%)
2002209 Apr 2002 (17.33%), 11 Dec 2002 (-18.01%)
1998109 Apr 1998 (-0.39%)
1997116 Jan 1997 (6.48%)
1996102 May 1996 (9.98%)

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
atrtrail34.0620453.9647163134.0416731.0748951.56-7975.58-14198.672.11.080.0061435.19
atrtrail23.1719519.5747163134.0416672.6733797.55-7975.58-14198.672.091.080.0065415.31
atrnil23.718057.4344152934.0920285.1733797.55-9869.66-14198.672.061.060.0057410.4
atrnil36.613130.7443113225.5830010.0950696.33-9905.63-14198.673.031.040.0034305.37
atrtrail-15.13-12113.8247163134.0414695.5840309.25-7975.58-14198.671.840.95-0.004-257.74

In the table above, row 1 shows the best exit criterion. Profit factor is 1.08. 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 34.04%, which is not acceptable. Avoid this strategy. Average return per trade is 0.22%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0061, 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.
GSFC Performance, Profit Factor:1.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017219 Jan 2017 (10.99%), 03 Nov 2017 (-3.47%)
2016402 May 2016 (-2.44%), 11 May 2016 (-3.28%), 19 Oct 2016 (-4.29%), 01 Nov 2016 (13.19%)
2014703 Jun 2014 (-4.5%), 04 Jun 2014 (-2.79%), 09 Jun 2014 (2.5%), 19 Sep 2014 (-6.55%), 22 Sep 2014 (-0.3%), 29 Sep 2014 (-6.58%), 09 Oct 2014 (2.49%)
2012228 Sep 2012 (1.84%), 17 Oct 2012 (-0.82%)
2011202 Aug 2011 (1.66%), 19 Sep 2011 (-3.39%)
2010519 Jan 2010 (-5.11%), 19 Apr 2010 (-3.98%), 21 Apr 2010 (2.11%), 13 Jul 2010 (2.29%), 09 Nov 2010 (13.85%)
2009516 Apr 2009 (-5.4%), 22 Apr 2009 (-4.76%), 27 Apr 2009 (-2.77%), 05 Jun 2009 (1.45%), 16 Jun 2009 (-3.21%)
2007424 Jul 2007 (-4.23%), 26 Jul 2007 (-3.52%), 30 Jul 2007 (-5.01%), 20 Nov 2007 (15.65%)
2006127 Jan 2006 (-4.21%)
2005208 Feb 2005 (-5.03%), 10 Feb 2005 (0.26%)
2004213 Jan 2004 (24.48%), 21 Dec 2004 (-0.5%)
2003409 Jun 2003 (-5.02%), 04 Jul 2003 (-7.1%), 19 Dec 2003 (-5.55%), 24 Dec 2003 (-1.64%)
2002309 Apr 2002 (16.53%), 11 Dec 2002 (-5.58%), 17 Dec 2002 (-4.28%)
1998209 Apr 1998 (-4.9%), 10 Apr 1998 (-3.41%)
1997116 Jan 1997 (12.49%)
1996102 May 1996 (12.07%)



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