Study: Sell LUPIN 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 LUPIN 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 LUPIN 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
1-75406.8130102033.332480.686159.38-5010.68-16806.180.50.25-0.11-2513.56
2-95707.5130921304474.919101.99-6475.32-22118.480.690.3-0.1-3190.25
3-96717.67301218404945.5319748.07-8670.23-26783.160.570.38-0.084-3223.92
4-109335301218406600.3821018.44-10474.4-26983.670.630.42-0.079-3644.49
5-76588.0130131743.337869.5936538.68-10523.1-33710.220.750.57-0.049-2552.93
6-95502.38309213012512.8828281.19-9910.4-41917.921.260.54-0.055-3183.41
7-112923309213010956.2539496.14-10072.82-40545.61.090.47-0.066-3764.1
8-106573309213012933.4552255.18-10617.82-41989.841.220.52-0.053-3552.44
9-171785309213013198.7554205.61-13836.85-52236.590.950.41-0.073-5726.17
10-250507306242017510.3155099.55-14815.37-62904.521.180.3-0.096-8350.23
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil24.21-87760.2953143926.4214666.5122086.94-7515.17-13456.491.950.7-0.038-1655.85
atrtrail23.06-94921.4954144025.9310269.2522086.94-5967.28-13456.491.720.6-0.05-1757.81
atrnil35.78-1482765184315.6922228.3133130.41-7583.78-13456.492.930.55-0.06-2907.37
atrtrail-14.15-12478854124222.2210354.3334037.01-5929.51-13456.491.750.5-0.062-2310.88
atrtrail33.35-14559754124222.228620.2333120.79-5929.51-13456.491.450.42-0.083-2696.24

In the table above, row 1 shows the best exit criterion. Profit factor is 0.7. 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.
LUPIN Performance, Profit Factor:0.701

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019103 May 2019 (4.57%)
2018121 Jun 2018 (-2.94%)
2016219 Jul 2016 (-2.36%), 25 Jul 2016 (4.46%)
2015716 Feb 2015 (-2.5%), 27 Feb 2015 (-2.52%), 11 Mar 2015 (-2.53%), 20 Mar 2015 (-2.5%), 26 Mar 2015 (-2.63%), 31 Mar 2015 (-2.51%), 06 Apr 2015 (4.81%)
2014705 Aug 2014 (5.39%), 14 Aug 2014 (-2.51%), 28 Aug 2014 (-2.14%), 11 Sep 2014 (-1.99%), 12 Sep 2014 (-2.1%), 15 Sep 2014 (4.47%), 19 Sep 2014 (5.35%)
2013429 Apr 2013 (-2.27%), 02 May 2013 (-2.29%), 09 May 2013 (-2.36%), 13 May 2013 (-2.54%)
2012209 Apr 2012 (-3.01%), 12 Apr 2012 (-2.92%)
2010121 Oct 2010 (-2.84%)
2009122 May 2009 (-5.16%)
2008226 May 2008 (-4.36%), 29 May 2008 (9.15%)
2007204 Jan 2007 (7.19%), 04 May 2007 (8.37%)
2006421 Feb 2006 (-3.97%), 27 Apr 2006 (7.94%), 09 May 2006 (-4.3%), 10 May 2006 (9.29%)
2004223 Apr 2004 (-5.87%), 06 May 2004 (11.04%)
20031108 Jan 2003 (-4.44%), 14 Jan 2003 (9.58%), 29 May 2003 (-4.47%), 16 Jun 2003 (-4.85%), 09 Jul 2003 (-5.77%), 17 Jul 2003 (-6.27%), 23 Jul 2003 (-6.16%), 24 Jul 2003 (-6.73%), 01 Sep 2003 (-5.61%), 04 Sep 2003 (-5.5%), 05 Sep 2003 (-5.76%)
2002510 Dec 2002 (-3.89%), 11 Dec 2002 (-3.79%), 13 Dec 2002 (-3.94%), 23 Dec 2002 (-4.15%), 24 Dec 2002 (-4.07%)
2001110 Dec 2001 (11.04%)



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