Study: Buy HINDALCO when there is bullish divergence in RSI and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy HINDALCO when there is bullish 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: buy 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. sell 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
112025.3131161551.615289.3327657.57-4840.26-17093.021.091.170.01387.91
228912.2831151648.399699.4338758.23-7286.2-30073.611.331.250.015932.65
380676.1531161551.6111232.0341015.99-6602.43-17078.371.71.810.0452602.46
438883.1331171454.8410295.1130856.07-9723.83-26736.411.061.290.021254.29
5-17533.1331181358.069108.5426412.01-13960.52-33964.250.650.9-0.0079-565.58
6-15176.1931161551.6112984.341854.39-14861.66-55205.050.870.93-0.0053-489.55
7-2207.2631161551.6116430.2351740.36-17672.73-65825.450.930.99-0.00062-71.2
8-12138.3631171454.8414435.1341593.21-18395.4-62145.110.780.95-0.0037-391.56
910748.7931171454.8415271.8435234.47-17776.6-64879.070.861.040.0032346.74
1017459.7431181358.0615548.9238899.77-20186.22-72870.660.771.070.005563.22
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
atrnil29.122031414016244027488.18116955-9861.26-21643.422.791.860.0425078.52
atrnil327.1512504.294012283029317.548643.75-12118.06-58477.252.421.040.0029312.61
atrtrail25.11550.7444182640.9112816.431200.95-8851.71-24000.161.4510.000212.52
atrtrail-16.11-21350.8244172738.6412368.6442932.13-8578.43-24000.161.440.91-0.0076-485.25
atrtrail35.86-39461.3344172738.6411303.3226937.63-8578.43-24000.161.320.83-0.016-896.85

In the table above, row 1 shows the best exit criterion. Profit factor is 1.86. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 40%, which is not acceptable. Avoid this strategy. Average return per trade is 2.54%, which is very good. Sharpe Ratio is 0.042, 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.
HINDALCO Performance, Profit Factor:1.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018221 Mar 2018 (-3.83%), 23 Mar 2018 (8.17%)
2015616 Jun 2015 (6.43%), 30 Jun 2015 (-3.25%), 21 Aug 2015 (-4.86%), 27 Aug 2015 (-5.65%), 01 Sep 2015 (-5.86%), 08 Sep 2015 (-5.6%)
2013119 Mar 2013 (-3.66%)
2012106 Sep 2012 (7.0%)
2011217 Aug 2011 (-5.22%), 19 Aug 2011 (11.23%)
2010108 Jun 2010 (11.65%)
2008507 Oct 2008 (-5.39%), 13 Oct 2008 (-7.11%), 15 Oct 2008 (-8.44%), 20 Oct 2008 (-10.82%), 29 Oct 2008 (29.3%)
2005122 Sep 2005 (58.48%)
2004310 May 2004 (-5.69%), 11 May 2004 (-5.98%), 18 May 2004 (16.21%)
2001101 Oct 2001 (12.21%)
2000214 Mar 2000 (15.6%), 22 Nov 2000 (7.86%)
1998320 Aug 1998 (-3.79%), 25 Aug 1998 (-4.28%), 04 Sep 1998 (9.81%)
1997226 Nov 1997 (-3.49%), 17 Dec 1997 (8.43%)
1996709 Jul 1996 (-3.15%), 18 Jul 1996 (-2.57%), 31 Jul 1996 (-3.88%), 20 Aug 1996 (5.8%), 12 Sep 1996 (-5.25%), 11 Oct 1996 (-4.08%), 16 Oct 1996 (-4.15%)
1995304 May 1995 (7.0%), 22 Nov 1995 (-2.34%), 23 Nov 1995 (4.72%)



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