Study: Sell IDFC when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell IDFC 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 IDFC 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
121565.071410471.433911.348293.02-4387.08-7636.070.892.230.0921540.36
2160.96149564.296039.8110196.84-10839.47-40936.860.5610.0002511.5
3-26645.97149564.295176.9913581.18-14647.77-54582.480.350.64-0.033-1903.28
4-11487.941410471.436912.3313130.62-20152.82-58452.140.340.86-0.012-820.57
519701.44149564.2911550.6321288.52-16850.84-42566.190.691.230.0211407.25
6-27687.47146842.8611188.524089.64-11852.3-53971.490.940.71-0.029-1977.68
7-65561.07146842.8612071.5323773.32-17248.78-46334.010.70.52-0.065-4682.93
8-1136371477508953.9814021-25187.85-41666.670.360.36-0.11-8116.94
9-87281.27148657.148466.3414823.97-25835.33-58044.810.330.44-0.085-6234.38
10-66512.6714775011279.8319488.6-20781.64-53054.990.540.54-0.065-4750.9

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.23. 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 71.43%, which is good. Average return per trade is 0.77%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.092, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
IDFC Performance, X=1, Profit Factor:2.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017108 May 2017 (-1.82%)
2016130 May 2016 (0.67%)
2014219 Mar 2014 (1.98%), 01 Apr 2014 (-3.82%)
2012206 Feb 2012 (2.62%), 03 Oct 2012 (-0.71%)
2010124 Sep 2010 (0.29%)
2009321 Apr 2009 (0.99%), 14 May 2009 (3.46%), 11 Jun 2009 (4.15%)
2007305 Feb 2007 (-2.43%), 03 Jul 2007 (1.44%), 04 Oct 2007 (3.68%)
2006117 Oct 2006 (0.28%)

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
nilnil-1121565.071410471.433911.348293.02-4387.08-7636.070.892.230.0921540.36
atrtrail33.615750.323101343.489888.7530364.53-7164.4-13981.461.381.060.0062250.01
atrtrail23.39-1427.823101343.489170.9426514.93-7164.4-13981.461.280.98-0.0016-62.08
atrnil25.09-17533.712271531.8217946.6127340.77-9544-15487.051.880.88-0.016-796.99
atrtrail-14.26-20733.9623101343.487240.3317622.31-7164.4-13981.461.010.78-0.028-901.48
atrnil37.18-62221.252241818.1826953.4841011.15-9446.4-15487.052.850.63-0.052-2828.24

In the table above, row 1 shows the best exit criterion. Profit factor is 2.23. 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 71.43%, which is good. Average return per trade is 0.77%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.092, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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