Study: Sell JISLJALEQS when there is bearish divergence in RSI and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell JISLJALEQS when there is bearish divergence in RSI and ADX is Trending" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell JISLJALEQS 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
1-4665.491811761.113148.929731.09-5614.8-10585.450.560.88-0.012-259.19
2-40765.541810855.565308.8110118.01-11731.71-23176.550.450.57-0.053-2264.75
3-1110621871138.898210.7816811.96-15321.63-44506.730.540.34-0.095-6170.13
4-91080.561881044.449068.9621390.6-16363.23-43946.190.550.44-0.074-5060.03
5-71777.918995011395.4321431.49-19370.75-47869.960.590.59-0.049-3987.66
6-89141.7418995010954.1321758.69-20858.77-75336.320.530.53-0.051-4952.32
7-1526051881044.4411140.2425439.67-24172.7-61995.520.460.37-0.093-8478.06
8-1619731861233.3313494.923803.68-20245.17-57511.210.670.33-0.1-8998.48
9-1422421810855.5610651.139563.4-31094.1-61995.520.340.43-0.077-7902.32
10-1618911881044.4411745.6325685.07-25585.64-46076.230.460.37-0.1-8993.96

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.88. 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 61.11%, which is good. Average return per trade is -0.13%, 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
nilnil-11-4665.491811761.113148.929731.09-5614.8-10585.450.560.88-0.012-259.19
atrtrail23.28-71899.443292328.1212379.4823158.66-7970.21-14816.241.550.61-0.052-2246.86
atrnil25.03-1097683272521.8821751.4930430.26-10481.14-15028.012.080.58-0.061-3430.25
atrtrail33.75-1208183292328.126944.111185.57-7970.21-14816.240.870.34-0.12-3775.56
atrtrail-13.75-1208183292328.126944.111185.57-7970.21-14816.240.870.34-0.12-3775.56
atrnil310.13-209129313289.6829480.2134167.32-10627.5-15215.132.770.3-0.13-6746.11

In the table above, row 1 shows the best exit criterion. Profit factor is 0.88. 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 61.11%, which is good. Average return per trade is -0.13%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
JISLJALEQS Performance, X=1, Profit Factor:0.881

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016101 Sep 2016 (-1.38%)
2014323 Apr 2014 (1.57%), 15 May 2014 (-4.6%), 04 Jun 2014 (0.57%)
2012110 Jul 2012 (1.08%)
2010117 Mar 2010 (0.95%)
2009320 Apr 2009 (1.44%), 07 May 2009 (4.87%), 21 May 2009 (1.67%)
2007106 Dec 2007 (1.62%)
2006202 Feb 2006 (2.97%), 21 Nov 2006 (0.36%)
2005323 Feb 2005 (0.23%), 01 Aug 2005 (-2.91%), 16 Aug 2005 (-5.29%)
2003221 May 2003 (-0.64%), 07 Jul 2003 (-1.02%)
2002120 Dec 2002 (-3.81%)



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