Study: Sell KOTAKBANK 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 KOTAKBANK 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 KOTAKBANK 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
151614.5232181456.254631.3215994.24-2267.8-7376.292.042.630.071612.95
21217983223971.886902.7830691.64-4107.36-15073.121.684.290.13806.18
311973932201262.59016.3543768.01-5049.03-12001.351.792.980.0743741.83
469939.6932211165.629763.6747010.09-12281.58-53247.310.791.520.0282185.62
529744.5132201262.59500.6234762.25-13355.66-82752.690.711.190.01929.52
621542.6932191359.389623.1229896.44-12407.43-77849.460.781.130.0077673.21
753370.1732181456.2513603.2235446.69-13677.7-59526.880.991.280.0191667.82
815969232191359.3819639.36117439-16419.7-57892.471.21.750.0364990.36
998890.6632171553.1220294.79112715-16408.05-63197.031.241.40.0223090.33
101320413216165023734.1115199-15481.53-84386.621.531.530.0274126.28

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 4.29. Strategy is very good and impressively bearish. Percentage of profitable trades is 71.88%, which is good. Average return per trade is 1.9%, which is not very high, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
KOTAKBANK Performance, X=2, Profit Factor:4.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019128 May 2019 (-1.61%)
2018431 Jan 2018 (2.07%), 26 Apr 2018 (-2.14%), 17 May 2018 (-0.47%), 31 May 2018 (2.3%)
2017114 Mar 2017 (-1.82%)
2015119 Jan 2015 (0.09%)
2014431 Mar 2014 (1.47%), 21 May 2014 (2.04%), 02 Sep 2014 (-0.05%), 21 Nov 2014 (3.22%)
2013107 May 2013 (0.7%)
2010122 Sep 2010 (1.52%)
2009128 May 2009 (0.78%)
2007102 Feb 2007 (-4.2%)
2006128 Apr 2006 (0.67%)
2005311 Mar 2005 (3.44%), 07 Jun 2005 (1.28%), 12 Aug 2005 (0.51%)
2004203 Dec 2004 (5.42%), 17 Dec 2004 (2.95%)
2003204 Aug 2003 (5.7%), 16 Oct 2003 (4.95%)
2002316 Jan 2002 (-0.0%), 26 Feb 2002 (6.67%), 26 Dec 2002 (-0.65%)
2001126 Nov 2001 (7.4%)
1999416 Jul 1999 (0.19%), 30 Jul 1999 (4.09%), 19 Aug 1999 (-7.54%), 24 Dec 1999 (15.35%)
1996105 Sep 1996 (6.57%)

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-121217983223971.886902.7830691.64-4107.36-15073.121.684.290.13806.18
atrnil28.2824473.6439142535.916620.7230911.45-8328.66-18574.6821.120.01627.53
atrtrail-15.17-26909.1942172540.486894.9635890.53-5764.94-17542.51.20.81-0.015-640.69
atrtrail24.67-28627.4642172540.486793.8820866.89-5764.94-17542.51.180.8-0.018-681.61
atrtrail34.83-37429.942172540.486276.0925292.17-5764.94-17542.51.090.74-0.024-891.19
atrnil310.92-95763.633983120.5121449.7934813.17-8624.58-18574.682.490.64-0.039-2455.48

In the table above, row 1 shows the best exit criterion. Profit factor is 4.29. Strategy is very good and impressively bearish. Percentage of profitable trades is 71.88%, which is good. Average return per trade is 1.9%, which is not very high, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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