Study: Buy INDIACEM when there is bullish divergence in RSI

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In this study, we evaluate the performance of strategy "Buy INDIACEM when there is bullish divergence in RSI" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy INDIACEM 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
1-16281.0226151157.692865.5312513.72-5387.63-13513.510.530.73-0.024-626.19
2-39590.772691734.624927.528017.82-4937.55-18066.7410.53-0.05-1522.72
3-42304.9826121446.155672.9913552.94-7884.35-18561.480.720.62-0.041-1627.11
4-60582.08261313506566.1719758.51-11226.33-25487.010.580.58-0.043-2330.08
5-70746.3261313507870.7326203.63-13312.75-39783.780.590.59-0.042-2721.01
6-10791226101638.4613781.436937.65-15357.9-49189.190.90.56-0.048-4150.47
7-10152626111542.3112997.7233780.58-16300.09-34810.810.80.58-0.046-3904.86
8-11103726111542.3112856.1629202.84-16830.31-40411.230.760.56-0.049-4270.65
9-88650.3926121446.1511424.6536621.94-16124.73-41043.890.710.61-0.04-3409.63
10-14213226101638.4610225.1326045.78-15273.93-46184.260.670.42-0.071-5466.6

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.73. 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
atrtrail24-49041.1339122730.7716552.8848894.74-9173.17-20681.471.80.8-0.018-1257.46
nilnil-11-16281.0226151157.692865.5312513.72-5387.63-13513.510.530.73-0.024-626.19
atrnil25.68-1010283792824.3222684.1448894.74-10899.46-22237.752.080.67-0.036-2730.48
atrtrail34.77-89467.0739122730.7713184.0529487.94-9173.17-20681.471.440.64-0.038-2294.03
atrnil39.89-1446653753213.5139389.7973342.12-10675.44-22237.753.690.58-0.043-3909.87
atrtrail-14.97-12282339122730.7710404.4326096.95-9173.17-20681.471.130.5-0.06-3149.3

In the table above, row 1 shows the best exit criterion. Profit factor is 0.8. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 30.77%, which is not acceptable. Avoid this strategy. Average return per trade is -0.63%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
INDIACEM Performance, Profit Factor:0.802

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018404 Jun 2018 (-4.98%), 19 Jun 2018 (-0.74%), 28 Jun 2018 (9.59%), 24 Oct 2018 (12.87%)
2013603 Jun 2013 (-5.31%), 07 Jun 2013 (-5.45%), 13 Jun 2013 (-3.2%), 20 Jun 2013 (-4.82%), 28 Jun 2013 (0.1%), 13 Aug 2013 (-0.9%)
2011129 Jun 2011 (2.61%)
2010101 Jun 2010 (7.96%)
2008401 Feb 2008 (-6.91%), 17 Oct 2008 (-10.08%), 23 Oct 2008 (-10.34%), 24 Oct 2008 (24.45%)
2007101 Mar 2007 (-7.52%)
2003410 Feb 2003 (-2.98%), 22 Mar 2003 (-3.71%), 27 Mar 2003 (-3.77%), 01 Apr 2003 (8.16%)
2002214 Aug 2002 (-2.96%), 11 Oct 2002 (-3.29%)
2000117 May 2000 (-8.68%)
1998218 Aug 1998 (-4.12%), 28 Oct 1998 (-4.12%)
1997525 Nov 1997 (-4.76%), 10 Dec 1997 (-4.16%), 12 Dec 1997 (-4.5%), 19 Dec 1997 (-4.68%), 23 Dec 1997 (9.83%)
1996816 Aug 1996 (-2.8%), 19 Aug 1996 (6.0%), 24 Sep 1996 (-2.59%), 10 Oct 1996 (0.55%), 18 Oct 1996 (8.15%), 20 Nov 1996 (-3.71%), 05 Dec 1996 (-2.75%), 09 Dec 1996 (9.04%)



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