Study: Sell HCC when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell HCC 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 HCC 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
Although, strategy looks good but profit factor on day 1 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

In the table above, row 1 shows the best exit criterion. Profit factor is 0.8. 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 20%, which is not acceptable. Avoid this strategy. Average return per trade is -0.9%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HCC Performance, Profit Factor:0.802

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016314 Jul 2016 (12.29%), 12 Sep 2016 (-6.05%), 14 Sep 2016 (17.58%)
2015214 Oct 2015 (-5.16%), 29 Oct 2015 (-5.2%)
2014603 Apr 2014 (-4.18%), 10 Apr 2014 (-4.36%), 21 Apr 2014 (-4.8%), 26 May 2014 (-7.37%), 12 Jun 2014 (-7.35%), 02 Jul 2014 (20.21%)
2010103 Aug 2010 (-3.41%)
2009427 May 2009 (-8.05%), 02 Jun 2009 (-7.35%), 05 Jun 2009 (23.12%), 30 Sep 2009 (-4.5%)
2007304 Jul 2007 (-4.44%), 08 Oct 2007 (-6.19%), 24 Oct 2007 (-8.49%)
2006114 Nov 2006 (-4.33%)

View performance of other stocks for this trading system.

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