Study: Sell IGL when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell IGL 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 IGL 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
Although, strategy looks good but profit factor on day 3 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

In the table above, row 1 shows the best exit criterion. Profit factor is 0.64. 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.
IGL Performance, Profit Factor:0.639

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020231 Jan 2020 (-2.57%), 06 Feb 2020 (4.92%)
2017315 Feb 2017 (4.98%), 17 Aug 2017 (-3.18%), 05 Sep 2017 (-2.79%)
2016507 Jan 2016 (-3.37%), 29 Jun 2016 (4.96%), 18 Aug 2016 (-2.31%), 29 Aug 2016 (-2.88%), 31 Aug 2016 (5.6%)
2014131 Mar 2014 (6.11%)
2011330 Jun 2011 (-2.75%), 18 Jul 2011 (-2.35%), 22 Jul 2011 (-2.46%)
2010214 Jan 2010 (6.82%), 15 Jul 2010 (-4.24%)
2009604 May 2009 (-3.52%), 18 May 2009 (-3.86%), 21 May 2009 (-5.06%), 13 Aug 2009 (-3.71%), 16 Dec 2009 (-3.5%), 23 Dec 2009 (-3.73%)

View performance of other stocks for this trading system.

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