Study: Sell HINDALCO 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 HINDALCO 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 HINDALCO 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
1-39069.1835181751.433293.236663.3-5785.14-15145.630.570.6-0.04-1116.26
210188.7235201557.144323.3312601.78-5085.2-9921.830.851.130.011291.11
319752.3735201557.144983.7214718.78-5328.13-14139.770.941.250.016564.35
414189.7735191654.296800.2522347.27-7188.43-24381.350.951.120.0086405.42
5-311.0135181751.438677.0318576.98-9205.74-24667.790.941-0.00017-8.89
6-14921.7435181751.439097.6829474.81-10510.59-28823.140.870.92-0.0071-426.34
710822.2635191654.2911096.5328885.32-12500.74-39130.750.891.050.0043309.21
8-27817.0535152042.8613048.4425723.47-11177.18-31480.81.170.88-0.011-794.77
96142.1435171848.5712666.0531136.12-11621.15-29058.071.091.030.0024175.49
1033136.6835191654.2911463.6731886.39-11542.07-27443.370.991.180.014946.76
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
atrnil23.89-17681.6255193634.5513292.8123823.43-7506.81-14354.91.770.93-0.0063-321.48
atrtrail23.03-24271.7658193932.7610901.4323823.43-5933.31-14354.91.840.9-0.0095-418.48
atrtrail33.98-40230.1258184031.0310768.8635735.14-5851.74-14354.91.840.83-0.015-693.62
atrnil36.15-52822.7954124222.2221126.7235735.14-7293.89-14354.92.90.83-0.016-978.2
atrtrail-14.66-47218.1458184031.0310380.6425828.62-5851.74-14354.91.770.8-0.018-814.11

In the table above, row 1 shows the best exit criterion. Profit factor is 0.93. 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 34.55%, which is not acceptable. Avoid this strategy. Average return per trade is -0.16%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDALCO Performance, Profit Factor:0.935

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017302 Aug 2017 (-2.4%), 08 Aug 2017 (-2.78%), 10 Aug 2017 (5.8%)
2016404 Jul 2016 (-3.05%), 20 Jul 2016 (-2.99%), 17 Aug 2016 (-3.25%), 30 Aug 2016 (5.52%)
2014109 Apr 2014 (6.96%)
2013101 Jan 2013 (5.72%)
2010208 Jan 2010 (7.56%), 13 Oct 2010 (6.32%)
2009706 Apr 2009 (-5.59%), 15 Apr 2009 (-5.83%), 19 May 2009 (-7.18%), 29 May 2009 (-6.29%), 02 Jun 2009 (-6.19%), 04 Jun 2009 (-6.06%), 11 Jun 2009 (11.91%)
2007226 Jun 2007 (6.23%), 24 Jul 2007 (7.14%)
2006606 Feb 2006 (7.04%), 13 Apr 2006 (-4.35%), 26 Apr 2006 (-4.11%), 29 Apr 2006 (-4.21%), 03 May 2006 (-4.37%), 10 May 2006 (-4.22%)
2005109 Aug 2005 (-2.7%)
2004309 Jan 2004 (7.6%), 28 Sep 2004 (-2.45%), 06 Oct 2004 (5.12%)
2003629 May 2003 (-2.41%), 20 Jun 2003 (5.38%), 01 Sep 2003 (7.1%), 17 Oct 2003 (-3.68%), 20 Oct 2003 (7.69%), 03 Nov 2003 (-5.02%)
2002316 Dec 2002 (-2.55%), 17 Dec 2002 (-2.7%), 27 Dec 2002 (4.89%)
2001129 Nov 2001 (-4.36%)
1999207 May 1999 (-5.57%), 16 Jul 1999 (-4.85%)
1997506 Jan 1997 (-2.47%), 16 Jan 1997 (5.87%), 28 Jan 1997 (5.68%), 11 Mar 1997 (-3.31%), 12 Mar 1997 (-3.3%)
1996523 Apr 1996 (-2.49%), 25 Apr 1996 (-2.73%), 06 May 1996 (-2.54%), 09 May 1996 (-3.17%), 10 May 1996 (6.74%)
1995303 Aug 1995 (-2.0%), 11 Aug 1995 (-2.16%), 24 Aug 1995 (-1.8%)



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