Study: Sell MARUTI 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 MARUTI 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 MARUTI 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
17396.6635191654.292567.7910681.83-2586.96-8814.310.991.180.015211.33
2-9661.82351421404343.5820572.93-3355.81-19975.111.290.86-0.011-276.05
3-45698.7635102528.577546.7926794.76-4846.67-15867.61.560.62-0.042-1305.68
4-68580.8535132237.144610.0920170.63-5841.46-12248.760.790.47-0.075-1959.45
5-98170.3335122334.295131.0621030.73-6945.35-19438.30.740.39-0.093-2804.87
6-16099335102528.574376.029516.54-8190.11-36663.830.530.21-0.13-4599.79
7-14882435122334.294765.5512825.14-8957-37957.450.530.28-0.11-4252.13
8-10879535152042.865889.6523042.24-9856.99-28834.040.60.45-0.076-3108.43
9-12112635122334.297439.5919601.86-9147.88-30434.040.810.42-0.083-3460.75
10-116725351421405885.0719400.71-9481.73-26893.620.620.41-0.084-3335.01

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.18. 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 54.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.11%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid 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-117396.6635191654.292567.7910681.83-2586.96-8814.310.991.180.015211.33
atrnil24.82-1425545684814.2912185.4419385.89-5000.78-9404.52.440.41-0.098-2545.61
atrtrail23.46-10899461124919.675769.7719385.89-3637.36-9224.761.590.39-0.089-1786.78
atrnil35.79-1661665665010.7115326.6924750.81-5162.52-9692.942.970.36-0.11-2967.25
atrtrail33.66-11989261124919.674861.5924750.81-3637.36-9224.761.340.33-0.1-1965.44
atrtrail-13.72-12390461124919.674527.2617492.94-3637.36-9224.761.240.3-0.11-2031.21

In the table above, row 1 shows the best exit criterion. Profit factor is 1.18. 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 54.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.11%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MARUTI Performance, X=1, Profit Factor:1.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018123 Jul 2018 (-1.36%)
2017627 Jan 2017 (0.35%), 10 May 2017 (-0.37%), 26 May 2017 (-0.99%), 12 Jun 2017 (0.33%), 01 Dec 2017 (1.26%), 21 Dec 2017 (-0.72%)
2016425 Jul 2016 (1.74%), 09 Aug 2016 (2.0%), 15 Sep 2016 (-2.22%), 06 Oct 2016 (0.47%)
2015327 Jan 2015 (-1.03%), 24 Jul 2015 (1.32%), 12 Aug 2015 (-1.02%)
2014421 May 2014 (-4.41%), 04 Jun 2014 (-0.39%), 05 Sep 2014 (-1.21%), 03 Nov 2014 (-0.06%)
2013307 May 2013 (0.71%), 19 Nov 2013 (1.94%), 20 Dec 2013 (0.4%)
2012430 Jan 2012 (0.55%), 14 Feb 2012 (-2.77%), 25 Sep 2012 (0.73%), 10 Oct 2012 (0.71%)
2010101 Oct 2010 (-0.01%)
2009317 Apr 2009 (-0.02%), 01 Jun 2009 (0.61%), 05 Aug 2009 (5.34%)
2007104 Oct 2007 (0.71%)
2006110 Feb 2006 (-1.67%)
2004207 Dec 2004 (1.33%), 21 Dec 2004 (-2.47%)
2003225 Oct 2003 (3.59%), 10 Nov 2003 (0.29%)



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