Study: Sell LICHSGFIN 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 LICHSGFIN 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 LICHSGFIN 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
1-60475.8643212248.843630.399180.01-6214.28-35683.20.580.56-0.037-1406.42
2-16687.9743192444.197926.9130941.41-6970.8-29890.041.140.9-0.0072-388.09
316557.2743232053.497343.9925407.43-7617.73-28190.60.961.110.0077385.05
4-7199.2443232053.497104.4523576.58-8530.08-18127.290.830.96-0.0035-167.42
5-78861.843212248.847727.2821812.35-10960.67-43652.120.710.67-0.028-1834
6-64550.743222151.167718.7419727.35-11160.14-41286.240.690.72-0.024-1501.18
7-14367443172639.5310465.1819850.39-12368.56-48950.350.850.55-0.045-3341.27
8-13232243202346.5111400.8727304.3-15666.95-52715.760.730.63-0.037-3077.26
9-16854543192444.1911434.2125313.15-16074.8-50449.850.710.56-0.047-3919.66
10-21907043202346.5110434.2526530.97-18598.05-49650.120.560.49-0.057-5094.66
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil23.96-10616572225030.5613800.3927147.74-8195.47-14889.791.680.74-0.028-1474.51
atrtrail23.07-11002376205626.3211544.6827147.74-6087.79-12938.21.90.68-0.033-1447.67
atrnil36.39-17162071155621.1318753.3931339.56-8087.87-13710.62.320.62-0.043-2417.18
atrtrail-14.36-14734175195625.3310524.0354936.53-6201.74-12938.21.70.58-0.04-1964.55
atrtrail33.68-17451275195625.339093.9620821.59-6201.74-12938.21.470.5-0.059-2326.83

In the table above, row 1 shows the best exit criterion. Profit factor is 0.74. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
LICHSGFIN Performance, Profit Factor:0.741

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019325 Mar 2019 (-2.42%), 28 Mar 2019 (-2.35%), 03 Apr 2019 (4.59%)
2018123 Aug 2018 (4.84%)
2017410 Apr 2017 (-1.63%), 08 May 2017 (4.35%), 19 Jun 2017 (-1.98%), 20 Jun 2017 (4.1%)
2016107 Sep 2016 (4.4%)
20141018 Mar 2014 (-3.12%), 22 Apr 2014 (6.36%), 12 May 2014 (-3.21%), 13 May 2014 (-3.26%), 21 May 2014 (-4.42%), 04 Jun 2014 (8.31%), 19 Nov 2014 (-3.17%), 28 Nov 2014 (-3.02%), 04 Dec 2014 (-2.93%), 11 Dec 2014 (6.3%)
2013102 Jan 2013 (4.45%)
2012314 Dec 2012 (-2.32%), 20 Dec 2012 (-2.35%), 28 Dec 2012 (-2.28%)
2011106 Apr 2011 (6.89%)
2010317 Aug 2010 (5.64%), 05 Oct 2010 (-3.05%), 06 Oct 2010 (6.01%)
20091122 Apr 2009 (-5.65%), 23 Apr 2009 (-5.51%), 28 Apr 2009 (-6.09%), 06 May 2009 (-6.37%), 13 May 2009 (-6.56%), 18 May 2009 (-6.47%), 19 May 2009 (13.57%), 20 May 2009 (-7.44%), 09 Jun 2009 (-6.33%), 10 Jun 2009 (-6.27%), 24 Jun 2009 (-6.82%)
2007423 May 2007 (-3.21%), 03 Jul 2007 (-3.2%), 09 Jul 2007 (6.77%), 19 Nov 2007 (12.73%)
2005304 Jan 2005 (6.53%), 16 Feb 2005 (-3.9%), 21 Feb 2005 (-3.9%)
2004613 Sep 2004 (7.91%), 30 Nov 2004 (-3.27%), 01 Dec 2004 (-3.34%), 09 Dec 2004 (-3.37%), 13 Dec 2004 (-3.31%), 23 Dec 2004 (-3.35%)
2003629 Apr 2003 (-3.17%), 05 May 2003 (-3.16%), 21 May 2003 (-3.25%), 02 Jun 2003 (-4.91%), 18 Jun 2003 (-6.03%), 20 Jun 2003 (-6.86%)
2002512 Feb 2002 (-5.29%), 14 Feb 2002 (-4.91%), 22 Feb 2002 (-5.41%), 25 Feb 2002 (-5.41%), 26 Feb 2002 (10.45%)
2001607 Jun 2001 (-3.16%), 11 Jun 2001 (6.19%), 06 Nov 2001 (-2.2%), 23 Nov 2001 (-3.78%), 05 Dec 2001 (-3.01%), 11 Dec 2001 (5.63%)
2000129 Nov 2000 (-2.9%)
1998125 Mar 1998 (-5.59%)
1997130 Jan 1997 (6.94%)
1996101 May 1996 (8.85%)



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