Study: Sell KSCL 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 KSCL 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 KSCL 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
114875.232214863.642015.965239.38-1668.52-4972.781.212.110.09676.15
221516.79221111505039.5111525.26-3083.44-7963.281.631.630.057978.04
337793.47221111508295.3919098.7-4859.62-10430.291.711.710.0641717.89
488817.952211115012865.8930760.81-4791.53-11204.212.692.690.114037.18
534987.142213959.097743.8418539.4-7298.08-16214.821.061.530.0531590.32
628974.42215768.186830.1615785.44-10496.85-19007.520.651.390.0431317.02
740979.262215768.187517.2416599.89-10254.19-21465.090.731.570.0551862.69
835230.862213959.098467.0518338.52-8315.64-22903.041.021.470.0471601.4
924017.232213959.099436.3923078.76-10961.75-30177.850.861.240.0261091.69
10-35420.11221111509130.4318051.23-12350.44-45071.720.740.74-0.034-1610.01

From the table above, we see that best results are achieved by holding positions for 4 trading days. Profit factor is 2.69. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 2.02%, which is very good.
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.
KSCL Performance, X=4, Profit Factor:2.69

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017216 Mar 2017 (-0.66%), 14 Jun 2017 (6.7%)
2016120 Oct 2016 (-0.09%)
2014209 Jan 2014 (2.75%), 08 Jul 2014 (13.48%)
2013319 Jun 2013 (2.84%), 03 Jul 2013 (-0.75%), 23 Dec 2013 (-1.06%)
2012924 Feb 2012 (1.48%), 23 Apr 2012 (-3.97%), 05 Jul 2012 (1.18%), 11 Sep 2012 (-4.15%), 03 Oct 2012 (-2.04%), 22 Oct 2012 (3.03%), 07 Nov 2012 (-5.22%), 22 Nov 2012 (-0.63%), 17 Dec 2012 (15.38%)
2011119 Jul 2011 (-2.18%)
2010211 Oct 2010 (5.19%), 12 Nov 2010 (9.06%)
2009205 Jun 2009 (-5.6%), 11 Aug 2009 (9.66%)

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-1488817.952211115012865.8930760.81-4791.53-11204.212.692.690.114037.18
atrtrail24.55-48509.429101934.487930.3715002.16-6727-13006.781.180.62-0.063-1672.74
atrnil37.74-71461.782752218.5221472.0723990.33-8128.28-13006.782.640.6-0.068-2646.73
atrnil26.54-93139.692862221.4314429.2815993.56-8168.88-13006.781.770.48-0.11-3326.42
atrtrail34.79-72398.32992031.036763.0821384.36-6663.3-13006.781.010.46-0.1-2496.49
atrtrail-14.83-78525.082992031.036082.3215257.59-6663.3-13006.780.910.41-0.12-2707.76

In the table above, row 1 shows the best exit criterion. Profit factor is 2.69. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 2.02%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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