Study: Sell HINDUNILVR when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell HINDUNILVR 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 HINDUNILVR 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
1-35428.3642172540.482117.137770.83-2856.78-19884.450.740.5-0.041-843.53
2-47782.9842142833.333869.69022.06-3641.34-20847.381.060.53-0.043-1137.69
31896.0242192345.244732.2118474.12-3826.78-20221.471.241.020.001445.14
41369.8242202247.624657.0116529.47-4171.38-23768.261.121.010.0009732.61
5-21118.8242231954.763870.9915369.32-5797.45-30717.380.670.81-0.013-502.83
6-30371.0442222052.384652.2917081.93-6636.07-27716.260.70.77-0.019-723.12
7-8786.2142192345.245772.0818617.76-5150.25-20815.281.120.93-0.0059-209.2
816002.7242202247.626160.4219601.13-4872.98-15069.71.261.150.011381.02
928993.4241182343.97209.5917722.78-4381.7-13312.391.651.290.02707.16
1010770.8341202148.786078.413131.31-5276.06-15952.841.151.10.0073262.7
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
atrtrail24.0335903.5859233638.987386.812167.39-3722.02-6883.481.981.270.02608.54
atrnil25.7138270.9855213438.189605.2512234.2-4807.03-6892.9721.230.02695.84
atrtrail34.63-14075.5957213636.845663.8217952.38-3694.88-6883.481.530.89-0.0089-246.94
atrtrail-14.81-36683.8457213636.844587.2313736.92-3694.88-6883.481.240.72-0.028-643.58
atrnil38.94-83966.485384515.0915959.0318351.29-4703.08-6892.973.390.6-0.043-1584.27

In the table above, row 1 shows the best exit criterion. Profit factor is 1.27. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 38.98%, which is not acceptable. Avoid this strategy. Average return per trade is 0.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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.
HINDUNILVR Performance, Profit Factor:1.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019322 Aug 2019 (0.34%), 15 Oct 2019 (-2.21%), 04 Nov 2019 (3.59%)
2018525 Apr 2018 (-1.52%), 27 Apr 2018 (-1.61%), 30 Apr 2018 (3.3%), 16 May 2018 (-1.72%), 31 May 2018 (3.95%)
2017522 May 2017 (-1.9%), 06 Jun 2017 (-2.06%), 07 Jun 2017 (-0.9%), 21 Jun 2017 (3.8%), 04 Aug 2017 (4.02%)
2015121 Jan 2015 (6.07%)
2014703 Apr 2014 (-1.73%), 07 Aug 2014 (-1.67%), 13 Aug 2014 (-1.63%), 19 Aug 2014 (0.02%), 27 Aug 2014 (-1.63%), 09 Sep 2014 (-1.37%), 11 Sep 2014 (3.53%)
2013309 May 2013 (-1.54%), 31 May 2013 (-0.73%), 16 Jul 2013 (-1.78%)
2012522 Aug 2012 (-1.73%), 29 Aug 2012 (-1.68%), 05 Sep 2012 (-1.11%), 07 Sep 2012 (-0.58%), 13 Sep 2012 (3.71%)
2011109 Nov 2011 (1.91%)
2010323 Jun 2010 (-2.87%), 28 Sep 2010 (-2.31%), 01 Oct 2010 (4.66%)
2006622 Feb 2006 (-3.44%), 23 Feb 2006 (0.0%), 01 Mar 2006 (-2.25%), 16 Mar 2006 (-0.47%), 29 Mar 2006 (-2.83%), 07 Apr 2006 (0.06%)
2005104 Jul 2005 (5.71%)
2004206 Jan 2004 (-0.77%), 08 Dec 2004 (4.97%)
2003417 Jun 2003 (5.69%), 24 Jun 2003 (-3.25%), 01 Jul 2003 (2.36%), 24 Dec 2003 (-2.17%)
2002127 Feb 2002 (-2.63%)
1999510 Feb 1999 (5.98%), 16 Mar 1999 (-2.78%), 25 Mar 1999 (-1.5%), 31 Mar 1999 (4.63%), 30 Jul 1999 (-1.89%)
1997411 Jun 1997 (-2.69%), 12 Jun 1997 (-2.69%), 27 Jun 1997 (-3.0%), 30 Jun 1997 (6.08%)
1996320 Feb 1996 (4.61%), 25 Apr 1996 (-0.37%), 20 Jun 1996 (5.93%)



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