Study: Sell HDFCBANK 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 HDFCBANK 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 HDFCBANK 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
1-17746.443082226.671391.243205.93-1312.56-3825.141.060.39-0.075-591.55
2-15917.8430141646.671986.066305.73-2732.67-15473.440.730.64-0.029-530.59
3-10677.2301515502869.5212739.21-3581.34-13163.970.80.8-0.016-355.91
4-24601301812603305.5112819.28-7008.35-25987.260.470.71-0.022-820.03
5-57156.03301515503169.9710741.79-6980.38-33630.570.450.45-0.044-1905.2
6-24665.8730141646.674344.6815484.39-5343.21-25095.540.810.71-0.023-822.2
7-24139.230131743.334784.9215453.6-5079.01-24840.760.940.72-0.023-804.64
8-8702.57301218405738.3415037.23-4309.04-23630.571.330.89-0.0086-290.09
9-24215.0730131743.334916.9718640.4-5184.45-14788.630.950.73-0.024-807.17
10-20048.9930131743.336255.8720595.65-5963.26-16188.061.050.8-0.017-668.3
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
atrnil27.12-26542.3140112927.512168.9322095.98-5531.05-11259.282.20.83-0.016-663.56
atrnil311-59773.66406341520944.533143.98-5454.14-11259.283.840.68-0.03-1494.34
atrtrail24.52-44753.9344123227.277504.1422095.98-4212.61-11259.281.780.67-0.03-1017.13
atrtrail34.91-59574.844123227.276269.0731367.23-4212.61-11259.281.490.56-0.04-1353.97
atrtrail-15.02-75489.544123227.274942.8425018.29-4212.61-11259.281.170.44-0.061-1715.67

In the table above, row 1 shows the best exit criterion. Profit factor is 0.83. 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 27.5%, which is not acceptable. Avoid this strategy. Average return per trade is -0.33%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HDFCBANK Performance, Profit Factor:0.835

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019127 Mar 2019 (-1.55%)
20171003 Feb 2017 (-1.34%), 28 Feb 2017 (-1.82%), 22 Mar 2017 (-1.26%), 02 May 2017 (-1.67%), 02 Jun 2017 (-1.38%), 08 Jun 2017 (-1.26%), 15 Jun 2017 (-1.27%), 19 Jun 2017 (-1.26%), 22 Jun 2017 (2.49%), 03 Aug 2017 (-1.43%)
2015130 Jan 2015 (4.25%)
2014318 Mar 2014 (-2.33%), 24 Mar 2014 (4.07%), 20 May 2014 (5.37%)
2012121 Feb 2012 (4.92%)
2010231 Mar 2010 (-3.35%), 30 Sep 2010 (4.2%)
2009628 May 2009 (-5.43%), 10 Jun 2009 (-4.8%), 12 Jun 2009 (9.31%), 06 Oct 2009 (-2.5%), 09 Oct 2009 (-2.47%), 17 Oct 2009 (4.96%)
2007324 Jul 2007 (5.86%), 01 Oct 2007 (-3.26%), 29 Oct 2007 (-4.68%)
2005106 Jul 2005 (-3.8%)
2004218 Nov 2004 (-2.29%), 19 Nov 2004 (-2.31%)
2003207 Feb 2003 (-3.2%), 15 Dec 2003 (-3.33%)
2002126 Dec 2002 (-2.53%)
2000207 Feb 2000 (-5.63%), 09 Feb 2000 (11.05%)
1999210 Dec 1999 (-5.42%), 17 Dec 1999 (10.46%)
1997308 Jan 1997 (-3.03%), 22 Jul 1997 (-2.83%), 24 Jul 1997 (-2.76%)



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