Study: Sell HINDZINC when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell HINDZINC 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 HINDZINC 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
1-41945.51251114443709.6613289.04-5910.84-11538.460.630.49-0.063-1677.82
2-86453.82251213484079.387973.42-10415.87-26603.330.390.36-0.082-3458.15
3-153242251015403152.249816.36-12317.62-41346.150.260.17-0.11-6129.67
4-21246525520208621.8720873.79-12778.72-45267.490.670.17-0.12-8498.6
5-16241225916367615.9126213.59-14434.68-45267.490.530.3-0.093-6496.47
6-143581251213488477.5724271.84-18870.18-53820.60.450.41-0.066-5743.26
7-195007259163610383.8224757.28-18028.87-60702.880.580.32-0.084-7800.3
8-225181257182814531.526243.74-18161.21-56230.030.80.31-0.098-9007.25
9-248280258173213760.6222792.94-21080.28-52396.170.650.31-0.11-9931.19
10-188465259163612600.6124962.51-18866.89-51162.790.670.38-0.081-7538.59

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.49. This strategy is not profitable and we advice you not to use it.

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
atrtrail33.74-98277.924693719.5718929.3338907.54-7260.59-16236.322.610.63-0.039-2136.48
atrtrail23.43-1203354693719.5716478.5325938.36-7260.59-16236.322.270.55-0.056-2615.98
atrnil35.3-150922406341529768.0938907.54-9692.07-16236.323.070.54-0.058-3773.05
nilnil-11-41945.51251114443709.6613289.04-5910.84-11538.460.630.49-0.063-1677.82
atrnil24.45-159798408322019105.7525938.36-9770.11-16236.321.960.49-0.074-3994.94
atrtrail-14-1550414693719.5712622.330168.01-7260.59-16236.321.740.42-0.08-3370.46

In the table above, row 1 shows the best exit criterion. Profit factor is 0.63. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDZINC Performance, Profit Factor:0.634

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017220 Jul 2017 (-1.22%), 26 Jul 2017 (1.23%)
2016326 Jul 2016 (-3.27%), 05 Aug 2016 (-2.67%), 18 Aug 2016 (-1.23%)
2014227 May 2014 (-2.91%), 03 Jun 2014 (-3.84%)
2011706 Jan 2011 (-1.55%), 23 Mar 2011 (-4.18%), 30 Mar 2011 (-2.56%), 05 Apr 2011 (-2.15%), 08 Apr 2011 (-3.66%), 20 Apr 2011 (-3.64%), 21 Apr 2011 (10.96%)
2009531 Mar 2009 (-4.56%), 08 Apr 2009 (-2.1%), 15 Apr 2009 (-4.64%), 01 Dec 2009 (-2.12%), 03 Dec 2009 (4.92%)
2008114 May 2008 (6.68%)
2006129 Nov 2006 (19.45%)
2002214 Feb 2002 (-1.87%), 25 Feb 2002 (-5.33%)
2001311 Jan 2001 (-3.91%), 19 Jan 2001 (-4.78%), 22 Jan 2001 (14.25%)
2000429 Nov 2000 (0.17%), 06 Dec 2000 (-6.52%), 15 Dec 2000 (-0.33%), 29 Dec 2000 (-3.76%)
1999127 Jul 1999 (-8.12%)
1998226 Mar 1998 (-4.02%), 01 Apr 1998 (-1.84%)
19971306 Jan 1997 (-2.99%), 08 Jan 1997 (-5.24%), 16 Jan 1997 (-4.7%), 24 Jan 1997 (-6.57%), 03 Feb 1997 (-3.24%), 11 Feb 1997 (-4.56%), 20 Feb 1997 (13.01%), 01 Mar 1997 (-4.72%), 14 Mar 1997 (-1.61%), 19 Mar 1997 (-4.08%), 26 Mar 1997 (-4.93%), 08 Aug 1997 (-4.89%), 11 Aug 1997 (14.52%)



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