Study: Sell JUBLFOOD when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell JUBLFOOD 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 JUBLFOOD 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
17719.26118372.733574.7812164.81-6959.65-10373.940.511.370.036701.75
2-6861.72114736.366884.3314347.91-4914.15-10373.941.40.8-0.029-623.79
3-3177114736.3610577.624178.18-6498.2-9996.981.630.93-0.0095-288.82
4-13402.07115645.456581.0422260.08-7717.88-16170.590.850.71-0.041-1218.37
5-19952.21114736.3610552.3930184.87-8880.25-22466.831.190.68-0.046-1813.84
6-12039.67116554.557900.4323585.08-11888.45-25201.130.660.8-0.029-1094.52
7-25405.02114736.3611468.0727913.43-10182.47-44260.621.130.64-0.045-2309.55
8-27528.49114736.3612889.7124367.47-11298.19-46368.271.140.65-0.047-2502.59
9-5368.91114736.3614805.2321111.74-9227.12-40815.861.60.92-0.0098-488.08
10-30649.5115645.459349.1119281.97-12899.18-35059.490.720.6-0.062-2786.32

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.37. 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 72.73%, which is good. Average return per trade is 0.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.036, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid 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-117719.26118372.733574.7812164.81-6959.65-10373.940.511.370.036701.75
atrtrail33.8-24355.581521313.3323227.1730083.93-5446.92-10671.44.260.66-0.051-1623.71
atrnil35-44790.851421214.2923227.1730083.93-7603.77-11346.773.050.51-0.092-3199.35
atrtrail-14.27-39668.921521313.3315570.519356.22-5446.92-10671.42.860.44-0.11-2644.59
atrtrail23.73-39840.361521313.3315484.7820055.95-5446.92-10671.42.840.44-0.11-2656.02
atrnil24.93-60275.631421214.2915484.7820055.95-7603.77-11346.772.040.34-0.16-4305.4

In the table above, row 1 shows the best exit criterion. Profit factor is 1.37. 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 72.73%, which is good. Average return per trade is 0.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.036, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
JUBLFOOD Performance, X=1, Profit Factor:1.37

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018303 Apr 2018 (0.85%), 17 Apr 2018 (1.11%), 02 May 2018 (0.15%)
2017221 Jul 2017 (0.14%), 24 Nov 2017 (0.19%)
2015127 May 2015 (0.06%)
2014102 Jun 2014 (-2.44%)
2011221 Apr 2011 (-5.19%), 09 May 2011 (6.08%)
2010211 Aug 2010 (-2.81%), 26 Aug 2010 (5.71%)



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