Study: Buy KSCL when there is bullish divergence in RSI

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In this study, we evaluate the performance of strategy "Buy KSCL when there is bullish divergence in RSI" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. sell 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
16981.9385362.54329.189986.63-4887.98-5619.360.891.480.049872.74
224119.3885362.57332.5720017.83-4181.15-4528.971.752.920.113014.92
337998.128445013341.2726773.05-3841.74-7065.223.473.470.134749.76
453593.988627510457.1718880.96-4574.52-6393.862.296.860.246699.25
546021.248627511154.5520248.23-10453.02-14162.41.073.20.165752.66
668329.778627514065.6328652.48-8031.99-9446.341.755.250.228541.22
790907.4685362.519616.9929361.7-2392.49-3484.658.213.670.2411363.43
81024448627517930.3533094.79-2569.17-4219.956.9820.940.2712805.47
993110.5385362.521227.5431631.21-4342.39-8343.994.898.150.2311638.82
1076009.828445025233.0237340.43-6230.56-10581.844.054.050.179501.23
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
KSCL Performance, X=8, Profit Factor:20.9

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019127 Feb 2019 (7.39%)
2016101 Aug 2016 (-0.46%)
2015225 Aug 2015 (2.24%), 08 Sep 2015 (0.2%)
2014119 Feb 2014 (16.55%)
2011224 Jan 2011 (-2.11%), 09 Feb 2011 (11.58%)
2010117 Jun 2010 (15.83%)

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
atrnil215.2514842685362.534887.9860080.26-8671.16-11302.44.026.710.2318553.3
atrnil324.881524388445049813.3490120.39-11703.9-20802.154.264.260.1619054.72
atrtrail38.7874832.1994544.4424605.941753.66-4718.28-7296.595.224.170.158314.69
atrtrail26.5660970.594544.4421140.4727835.78-4718.28-7296.594.483.580.156774.5
atrtrail-19.2259140.5994544.442068335391.76-4718.28-7296.594.383.510.146571.18

In the table above, row 1 shows the best exit criterion. Profit factor is 6.71. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bullish. Percentage of profitable trades is 62.5%, which is good. Average return per trade is 9.28%, which is very good. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KSCL Performance, Profit Factor:6.71

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019127 Feb 2019 (13.92%)
2016201 Aug 2016 (-3.65%), 03 Aug 2016 (-3.71%)
2015125 Aug 2015 (20.8%)
2014119 Feb 2014 (30.04%)
2011224 Jan 2011 (-5.65%), 09 Feb 2011 (12.21%)
2010117 Jun 2010 (10.25%)



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