Study: Buy JINDALSTEL when there is bullish divergence in RSI

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In this study, we evaluate the performance of strategy "Buy JINDALSTEL 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 JINDALSTEL 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
19927.53125741.6710095.7730729.38-5793.04-15487.091.741.240.017827.29
218206.06124833.3320539.7964867.57-7994.14-149262.571.280.0171517.17
37514.28124833.3322813.0469897.23-10467.23-29518.452.181.090.0061626.19
4-2117.92124833.3326476.5178435.96-13503-27016.891.960.98-0.0015-176.49
5-74164.5612392522740.3655209.29-15820.62-48753.911.440.48-0.059-6180.38
6-96678.4512392518515.5539201.27-16913.9-50865.031.090.36-0.085-8056.54
7-12841412392519751.1145551.01-20851.89-55597.90.950.32-0.099-10701.14
8-84019.52124833.3326271.3282730.39-23638.1-64263.391.110.56-0.048-7001.63
9-62059.38124833.3323963.3264650.35-19739.08-62403.781.210.61-0.041-5171.62
10-82758.5312392523526.1160138.69-17037.43-66953.741.380.46-0.057-6896.54
Although, strategy looks good but profit factor on day 1 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
atrnil36.86-70549.212231913.6455260.24106378-12438.42-16700.224.440.7-0.027-3206.78
atrnil24.27-75876.432241818.1835952.2970918.68-12204.76-16700.222.950.65-0.037-3448.93
atrtrail22.96-65482.242451920.8322325.8870918.68-9321.66-15708.782.40.63-0.035-2728.43
atrtrail-13.38-79077.442451920.8319606.8443820.53-9321.66-15708.782.10.55-0.052-3294.89
atrtrail33.17-82968.042451920.8318828.7243820.53-9321.66-15708.782.020.53-0.056-3457

In the table above, row 1 shows the best exit criterion. Profit factor is 0.7. 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.
JINDALSTEL Performance, Profit Factor:0.701

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016202 Feb 2016 (-7.74%), 04 Feb 2016 (-8.09%)
2015717 Jun 2015 (-6.72%), 22 Jun 2015 (-6.57%), 01 Jul 2015 (-5.98%), 06 Jul 2015 (-6.3%), 08 Jul 2015 (-6.29%), 29 Jul 2015 (15.28%), 13 Aug 2015 (-6.64%)
2014208 Oct 2014 (-7.68%), 21 Oct 2014 (-8.32%)
2013427 Feb 2013 (-3.29%), 04 Mar 2013 (-3.96%), 18 Jun 2013 (-5.67%), 20 Jun 2013 (-6.75%)
2011412 Aug 2011 (-3.62%), 18 Aug 2011 (-4.05%), 19 Aug 2011 (-4.3%), 26 Aug 2011 (14.42%)
2008326 Sep 2008 (-7.85%), 30 Sep 2008 (-8.35%), 28 Oct 2008 (53.19%)



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