Study: Sell INDUSINDBK when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell INDUSINDBK 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 INDUSINDBK 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
1-17337.8627141351.853715.836694.56-5335.34-20155.040.70.75-0.023-642.14
2-76189.2627171062.962596.7911854.95-12033.47-54263.570.220.37-0.053-2821.82
3-91899.3127131448.154215.6315760.11-10478.75-34883.720.40.37-0.068-3403.68
4-10739427121544.444099.0315760.11-10438.84-30225.990.390.31-0.081-3977.56
5-90139.0327101737.045987.5913668.06-8824.41-30225.990.680.4-0.074-3338.48
6-1011482781929.636548.3413116.88-8080.8-46511.630.810.34-0.077-3746.24
7-84284.832791833.337939.4624476.99-8652.22-53488.370.920.46-0.054-3121.66
8-65797.5227111640.7411430.231589.96-11970.61-61240.310.950.66-0.031-2436.95
9-59371.2127101737.0416990.7447176.68-13486.98-52713.181.260.74-0.024-2198.93
10-75393.0327101737.0411642.1940437.16-11283.23-27401.131.030.61-0.041-2792.33

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.75. 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 51.85%, which is not acceptable. Avoid this strategy. Average return per trade is -0.32%, we advise you not to use this strategy.

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
atrnil25.34-66827.1947123525.5318554.4333632.82-8270.87-14958.892.240.77-0.025-1421.86
nilnil-11-17337.8627141351.853715.836694.56-5335.34-20155.040.70.75-0.023-642.14
atrtrail23.63-70028.8752143826.9211748.1427338.37-6171.13-13426.091.90.7-0.031-1346.71
atrtrail33.87-95586.75213392510911.4740141.57-6088.1-13426.091.790.6-0.042-1838.21
atrtrail-14-144026521339257185.3424812.5-6088.1-13426.091.180.39-0.085-2769.74
atrnil37.64-2325774764112.7721028.7537810.06-8749.99-16816.412.40.35-0.099-4948.44

In the table above, row 1 shows the best exit criterion. Profit factor is 0.77. 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 25.53%, which is not acceptable. Avoid this strategy. Average return per trade is -0.71%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
INDUSINDBK Performance, Profit Factor:0.769

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019226 Mar 2019 (-2.13%), 27 Mar 2019 (4.54%)
2017327 Jan 2017 (-2.11%), 03 Feb 2017 (-2.32%), 28 Jul 2017 (-1.62%)
2016204 May 2016 (-2.05%), 26 May 2016 (-2.08%)
2015321 Jul 2015 (-2.29%), 23 Jul 2015 (-2.29%), 30 Jul 2015 (4.52%)
2014919 Mar 2014 (-2.97%), 25 Mar 2014 (-2.78%), 01 Apr 2014 (-2.64%), 09 Apr 2014 (5.23%), 23 May 2014 (-3.59%), 11 Sep 2014 (-2.3%), 22 Sep 2014 (4.68%), 03 Nov 2014 (-2.47%), 05 Nov 2014 (-2.46%)
2012209 Oct 2012 (-2.41%), 19 Dec 2012 (5.58%)
2010128 Sep 2010 (-3.5%)
2009403 Jun 2009 (-7.45%), 10 Jun 2009 (-7.48%), 23 Jun 2009 (16.82%), 25 Sep 2009 (-4.44%)
2007124 Sep 2007 (12.6%)
2005202 Jun 2005 (-4.5%), 15 Jun 2005 (8.54%)
2004712 Jan 2004 (-5.2%), 04 May 2004 (-5.41%), 06 May 2004 (-5.19%), 07 May 2004 (10.48%), 06 Dec 2004 (-4.35%), 28 Dec 2004 (-6.22%), 30 Dec 2004 (12.36%)
2003327 Nov 2003 (-5.43%), 05 Dec 2003 (-5.82%), 10 Dec 2003 (-6.16%)
2002514 Feb 2002 (-4.03%), 19 Feb 2002 (-5.8%), 22 Feb 2002 (-6.1%), 25 Feb 2002 (-6.1%), 26 Feb 2002 (12.3%)
1999326 Aug 1999 (-6.71%), 27 Aug 1999 (-6.31%), 01 Sep 1999 (13.67%)



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