Study: Sell HCLTECH when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell HCLTECH 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 HCLTECH 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
1-5989.362491537.54266.2515607.63-2959.04-12794.231.440.87-0.011-249.56
223642.4624111345.836279.5617311.91-3494.83-13059.981.81.520.033985.1
336124.0124131154.176010.515488.48-3819.32-15421.691.571.860.0511505.17
439886.052416866.675340.3314609.2-5694.91-10639.620.941.880.0551661.92
534235.6524131154.176793.1914535.35-4915.99-12148.821.381.630.0461426.49
641595.872415962.55597.7715850.99-4707.86-11343.411.191.980.061733.16
740276.7324141058.336659.1215806.78-5295.09-14755.611.261.760.0521678.2
826047.772415962.56067.1726968.94-7217.76-25346.970.841.40.0261085.32
911346524111345.8318591.27105119-7003.01-21402.482.652.250.0464727.7
1065857.5224101441.6718257.79105094-8337.17-22325.252.191.560.0262744.06
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
HCLTECH Performance, X=9, Profit Factor:2.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018125 Sep 2018 (4.3%)
2016110 Aug 2016 (3.4%)
2015211 Feb 2015 (-1.41%), 05 Mar 2015 (52.56%)
2014402 Jan 2014 (-6.34%), 23 Jan 2014 (1.28%), 12 Feb 2014 (-3.9%), 01 Oct 2014 (14.01%)
2013222 Jul 2013 (-5.13%), 10 Sep 2013 (-2.67%)
2012307 Mar 2012 (0.62%), 24 Aug 2012 (-2.0%), 08 Sep 2012 (0.77%)
2009320 Apr 2009 (-10.7%), 28 Jul 2009 (-1.53%), 25 Aug 2009 (-1.12%)
2006225 Jan 2006 (-0.67%), 26 Oct 2006 (2.36%)
2005116 Aug 2005 (5.6%)
2004222 Sep 2004 (-4.14%), 19 Oct 2004 (8.94%)
2003212 Nov 2003 (-5.16%), 25 Nov 2003 (-0.74%)
2001105 Dec 2001 (8.43%)

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
atrtrail23.73-14860.5133112233.338990.3227389.66-5170.64-12497.241.740.87-0.012-450.32
atrnil24.35-21960.423182325.8115223.1727642.88-6249.82-13028.682.440.85-0.015-708.4
atrtrail-14.76-50184.8933112233.335779.0118632.1-5170.64-12497.241.120.56-0.055-1520.75
atrtrail34.27-51815.8833112233.335630.7417121.1-5170.64-12497.241.090.54-0.058-1570.18
atrnil35.52-1345383142712.913143.9217121.1-6930.12-13821.441.90.28-0.13-4339.92

In the table above, row 1 shows the best exit criterion. Profit factor is 0.87. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is -0.23%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HCLTECH Performance, Profit Factor:0.869

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018125 Sep 2018 (3.64%)
2016110 Aug 2016 (4.42%)
2015311 Feb 2015 (-3.1%), 18 Feb 2015 (0.36%), 05 Mar 2015 (-1.36%)
2014702 Jan 2014 (-1.8%), 09 Jan 2014 (-2.22%), 14 Jan 2014 (-2.39%), 23 Jan 2014 (-2.51%), 12 Feb 2014 (-1.15%), 25 Feb 2014 (-2.31%), 01 Oct 2014 (-2.05%)
2013322 Jul 2013 (-2.53%), 25 Jul 2013 (-1.69%), 10 Sep 2013 (6.48%)
2012507 Mar 2012 (-2.57%), 24 Aug 2012 (0.6%), 06 Sep 2012 (-1.97%), 08 Sep 2012 (-1.77%), 14 Sep 2012 (0.58%)
2009420 Apr 2009 (13.69%), 28 Jul 2009 (-4.06%), 03 Aug 2009 (-2.15%), 25 Aug 2009 (-2.36%)
2006225 Jan 2006 (-3.67%), 26 Oct 2006 (-3.56%)
2005116 Aug 2005 (-0.68%)
2004222 Sep 2004 (1.53%), 19 Oct 2004 (5.71%)
2003212 Nov 2003 (9.37%), 25 Nov 2003 (-4.75%)
2001205 Dec 2001 (-6.25%), 10 Dec 2001 (3.06%)



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