Study: Sell JSWSTEEL when there is bearish divergence in RSI

home > technical-strategy > jswsteel > 41

In this study, we evaluate the performance of strategy "Sell JSWSTEEL 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 JSWSTEEL 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
1-72231.2729131644.832271.977267.06-6360.43-22089.650.360.29-0.1-2490.73
2-43108.4529111837.934284.8214854.6-5013.42-27432.460.850.52-0.055-1486.5
3-53196.972982127.597005.0427206.4-5201.77-26752.311.350.51-0.056-1834.38
4-51747.1829101934.486613.6625281.18-6204.41-33553.751.070.56-0.05-1784.39
5-14211.552992031.0312177.2523264.77-6190.34-28868.321.970.89-0.012-490.05
6-41224.1929131644.837343.2814401.78-8542.93-40392.970.860.7-0.034-1421.52
7-52272.9729121741.389100.8221521.02-9498.99-38201.40.960.68-0.039-1802.52
8-15991.7729131644.8310506.2237577.19-9535.79-40544.111.10.9-0.01-551.44
9-28181.1929141548.289705.6732535.32-10937.37-44662.760.890.83-0.018-971.77
10-31423.9529171258.629415.9933262.84-15957.98-71792.930.590.84-0.015-1083.58
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
atrnil36.7611377045153033.3323430.5844277.46-7922.96-18193.322.961.480.0422528.22
atrtrail-15.1235383.1249183136.7313443.4347800.02-6664.47-18193.322.021.170.015722.1
atrtrail34.3732798.4649183136.7313299.8334259.68-6664.47-18193.3221.160.015669.36
atrnil25.0219013.8545162935.5615577.3229518.31-7938.73-18193.321.961.080.0092422.53
atrtrail24843.1249183136.7311524.5429518.31-6664.47-18193.321.7310.0004317.21

In the table above, row 1 shows the best exit criterion. Profit factor is 1.48. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 1.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.042, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
JSWSTEEL Performance, Profit Factor:1.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018107 Sep 2018 (-3.07%)
2017419 Jan 2017 (-2.98%), 25 Jan 2017 (9.23%), 07 Sep 2017 (-2.89%), 15 Sep 2017 (8.42%)
2016606 Apr 2016 (-2.49%), 27 Apr 2016 (6.24%), 20 Jul 2016 (-2.1%), 28 Jul 2016 (-2.4%), 16 Aug 2016 (-2.18%), 06 Sep 2016 (6.14%)
2014302 Jan 2014 (-2.19%), 06 Jan 2014 (6.98%), 05 Jun 2014 (10.81%)
2013803 Oct 2013 (-4.26%), 18 Oct 2013 (-3.58%), 30 Oct 2013 (-3.06%), 01 Nov 2013 (-3.06%), 20 Nov 2013 (-2.72%), 29 Nov 2013 (-2.56%), 09 Dec 2013 (-2.39%), 23 Dec 2013 (-2.23%)
2012117 Feb 2012 (12.13%)
2010114 Jan 2010 (11.09%)
2009619 May 2009 (-8.77%), 21 May 2009 (-9.1%), 11 Jun 2009 (-7.8%), 12 Jun 2009 (22.14%), 07 Oct 2009 (-3.74%), 14 Oct 2009 (10.87%)
2008129 May 2008 (14.64%)
2007809 Jan 2007 (-4.26%), 31 Jan 2007 (-4.69%), 26 Apr 2007 (-3.86%), 03 May 2007 (11.51%), 20 Jul 2007 (-3.54%), 24 Jul 2007 (10.9%), 15 Oct 2007 (-5.39%), 16 Oct 2007 (17.13%)
2006624 Mar 2006 (-4.34%), 04 Apr 2006 (-5.63%), 13 Apr 2006 (-5.67%), 19 Apr 2006 (17.51%), 19 Oct 2006 (-4.13%), 31 Oct 2006 (-3.73%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play