Study: Sell MOTHERSUMI when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell MOTHERSUMI 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 MOTHERSUMI 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
131823.6331211067.744443.3613315.22-6148.69-20078.740.721.520.0321026.57
2-46888.7831151648.395653.1815217.39-8230.4-42125.980.690.64-0.03-1512.54
3-7226.5331171454.847835.2215217.39-10030.38-45905.170.780.95-0.0038-233.11
41291.0431171454.848623.6120903.7-10379.31-65301.720.831.010.0005841.65
5-87892.1931131841.949111.4419990.87-11463.38-86637.930.790.57-0.033-2835.23
6-13780131141745.169663.3918712.92-16064.01-97413.790.60.5-0.045-4445.18
7-11084231151648.3911037.2922455.5-17275.09-97844.830.640.6-0.034-3575.55
8-19655031141745.1610250.2325815.22-20003.15-78017.240.510.42-0.064-6340.33
9-23135231121938.7110507.323913.04-18812.6-77821.520.560.35-0.075-7462.96
10-25026531131841.9411190.5632065.22-21985.68-1334650.510.37-0.06-8073.06

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.52. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 67.74%, which is good. Average return per trade is 0.51%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. 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-1131823.6331211067.744443.3613315.22-6148.69-20078.740.721.520.0321026.57
atrtrail24.15-47797.8854153927.7812674.1628205.82-6100.26-16042.942.080.8-0.019-885.15
atrtrail34.43-49558.5754153927.7812556.7842308.73-6100.26-16042.942.060.79-0.018-917.75
atrtrail-15-62776.3754144025.9312505.9478245.88-5946.49-14865.312.10.74-0.019-1162.53
atrnil25.84-1435645011392218817.228205.82-8988.55-16042.942.090.59-0.052-2871.28
atrnil36.8-229870506441228022.2142308.73-9045.53-16042.943.10.42-0.079-4597.4

In the table above, row 1 shows the best exit criterion. Profit factor is 1.52. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 67.74%, which is good. Average return per trade is 0.51%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. 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.
MOTHERSUMI Performance, X=1, Profit Factor:1.52

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017201 Jun 2017 (-1.35%), 16 Jun 2017 (-3.44%)
2016105 Aug 2016 (0.17%)
2014117 Jul 2014 (-0.82%)
2013221 Oct 2013 (1.39%), 07 Nov 2013 (1.9%)
2012521 Feb 2012 (-0.85%), 30 Aug 2012 (3.26%), 17 Sep 2012 (-6.62%), 09 Oct 2012 (6.19%), 17 Dec 2012 (-0.35%)
2010315 Jan 2010 (2.64%), 30 Jul 2010 (0.24%), 16 Aug 2010 (2.27%)
2009101 Oct 2009 (4.5%)
2007210 Sep 2007 (1.05%), 03 Oct 2007 (0.37%)
2006121 Mar 2006 (0.54%)
2005213 Jul 2005 (0.19%), 14 Sep 2005 (0.44%)
2004224 Aug 2004 (-0.92%), 12 Nov 2004 (2.06%)
2003525 Apr 2003 (-10.04%), 16 May 2003 (5.04%), 30 May 2003 (-1.08%), 26 Jun 2003 (0.03%), 04 Dec 2003 (3.41%)
2000118 Feb 2000 (6.66%)
1999301 Mar 1999 (-5.28%), 24 Mar 1999 (2.17%), 30 Jul 1999 (2.12%)



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