Study: Sell KTKBANK when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell KTKBANK 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 KTKBANK 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
1-9555.9127141351.853339.3712394.37-4331.31-11146.50.770.83-0.016-353.92
2-45255.2527101737.046669.5425011.75-6585.33-17317.071.010.6-0.042-1676.12
3-50002.627121544.448119.9436953.74-9829.45-21707.320.830.66-0.035-1851.95
4-67164.2627121544.4410148.4733375.93-12596.39-32357.720.810.64-0.037-2487.57
5-48557.2127111640.7412725.6831944.8-11783.73-41286.511.080.74-0.025-1798.42
6-73551.472791833.3312268.0632788.73-10220.22-38211.381.20.6-0.044-2724.13
7-95324.5327101737.0412153.7741014.08-12756.6-45040.650.950.56-0.047-3530.54
8-1100412791833.3315992.7639211.27-14109.78-45227.771.130.57-0.046-4075.6
9-1440512791833.3317183.7335718.31-16594.67-68112.81.040.52-0.054-5335.21
10-2828262772025.9321788.1338197.18-21767.16-10444710.35-0.078-10475.05

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.83. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 51.85%, which is not acceptable. Avoid this strategy. Average return per trade is -0.18%, we advise you not to use 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-11-9555.9127141351.853339.3712394.37-4331.31-11146.50.770.83-0.016-353.92
atrnil24.65-16435449113822.4517445.5327444.35-9375.12-14930.911.860.54-0.066-3354.16
atrtrail23.24-1309055011392213041.5825252.53-7034.94-14930.911.850.52-0.062-2618.11
atrtrail33.54-168691509411812190.4528642.3-6790.36-14930.911.80.39-0.084-3373.81
atrtrail-13.68-175548509411811428.5533473.37-6790.36-14930.911.680.37-0.089-3510.96
atrnil36.92-2602264964312.2423997.4128642.3-9400.24-14930.912.550.36-0.11-5310.73

In the table above, row 1 shows the best exit criterion. Profit factor is 0.83. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 51.85%, which is not acceptable. Avoid this strategy. Average return per trade is -0.18%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KTKBANK Performance, X=1, Profit Factor:0.83

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017307 Mar 2017 (0.91%), 13 Apr 2017 (1.33%), 10 May 2017 (1.21%)
2016307 Jun 2016 (-0.34%), 21 Jun 2016 (1.64%), 13 Jul 2016 (-1.57%)
2014124 Mar 2014 (0.31%)
2012613 Feb 2012 (0.25%), 09 Jul 2012 (-5.57%), 09 Oct 2012 (-0.98%), 30 Oct 2012 (-1.8%), 23 Nov 2012 (-2.23%), 10 Dec 2012 (3.5%)
2009321 Apr 2009 (0.29%), 08 May 2009 (0.16%), 28 May 2009 (-0.4%)
2007107 Feb 2007 (-1.7%)
2006125 Aug 2006 (-2.45%)
2005106 Jan 2005 (-2.57%)
2004412 Jan 2004 (0.93%), 12 Nov 2004 (-5.08%), 02 Dec 2004 (-0.28%), 22 Dec 2004 (-3.18%)
2003230 May 2003 (6.2%), 18 Dec 2003 (2.08%)
2002212 Feb 2002 (0.29%), 26 Feb 2002 (4.28%)



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