Study: Sell MRF when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell MRF 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 MRF 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
1-36014.4456292751.793092.4317581.83-4655.37-19230.770.660.71-0.022-643.11
2-42902.3256292751.795464.8431437.5-7458.61-27570.80.730.79-0.017-766.11
3-43012.7556272948.218176.2931868.71-9095.61-24615.380.90.84-0.015-768.08
4-10594656263046.438948.5943124.42-11286.99-35296.390.790.69-0.029-1891.9
5-11112256263046.439600.6835635.6-12024.65-41244.570.80.69-0.029-1984.32
6-16341756253144.6410161.6142629.83-13466.35-89495.20.750.61-0.034-2918.15
7-20715956272948.2110177.6547525.79-16619.16-1184460.610.57-0.034-3699.27
8-24367856263046.4310952.9946126.95-17615.18-1498830.620.54-0.035-4351.39
9-22630956263046.4311174.7943374.22-17228.44-1454090.650.56-0.034-4041.23
10-25622256272948.2111734.6438133.54-19760.59-1381110.590.55-0.038-4575.39
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
atrtrail23.81-89204.8680235728.7510140.3427734.36-5656.71-14204.351.790.72-0.027-1115.06
atrnil25.48-12521775195625.3315001.527734.36-7325.82-14204.352.050.69-0.034-1669.57
atrtrail-14.44-10137580235728.759611.2138371.3-5656.71-14204.351.70.69-0.03-1267.18
atrtrail34.22-11300980235728.759105.3532381.11-5656.71-14204.351.610.65-0.035-1412.62
atrnil38.19-19148175116414.6724632.6641601.54-7225.63-14204.353.410.59-0.044-2553.08

In the table above, row 1 shows the best exit criterion. Profit factor is 0.72. 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.
MRF Performance, Profit Factor:0.723

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018118 Apr 2018 (1.47%)
2017231 Mar 2017 (-1.91%), 20 Apr 2017 (-1.72%)
2016514 Sep 2016 (-2.41%), 15 Sep 2016 (-1.01%), 19 Sep 2016 (-2.68%), 04 Oct 2016 (-3.09%), 06 Oct 2016 (6.09%)
2015110 Aug 2015 (5.16%)
2014525 Mar 2014 (4.37%), 16 Sep 2014 (-3.25%), 17 Sep 2014 (-1.3%), 30 Sep 2014 (6.18%), 11 Dec 2014 (5.94%)
2013803 Jan 2013 (-2.07%), 10 Jan 2013 (0.58%), 17 May 2013 (-2.73%), 23 Oct 2013 (-0.85%), 11 Nov 2013 (-1.51%), 18 Nov 2013 (-1.49%), 06 Dec 2013 (-1.68%), 19 Dec 2013 (1.03%)
2012509 Feb 2012 (-2.97%), 13 Dec 2012 (-2.45%), 18 Dec 2012 (-2.37%), 27 Dec 2012 (-2.22%), 31 Dec 2012 (-2.08%)
2010203 Sep 2010 (-3.44%), 14 Sep 2010 (1.35%)
20091120 Apr 2009 (-5.72%), 21 Apr 2009 (-2.58%), 04 May 2009 (-3.94%), 26 May 2009 (-7.1%), 27 May 2009 (-5.38%), 03 Jun 2009 (-5.11%), 08 Jun 2009 (-1.2%), 04 Aug 2009 (5.67%), 17 Sep 2009 (-3.56%), 24 Sep 2009 (-2.28%), 01 Oct 2009 (-1.3%)
2007611 May 2007 (-2.7%), 18 May 2007 (-0.32%), 28 May 2007 (-2.48%), 19 Oct 2007 (-4.65%), 23 Oct 2007 (-5.69%), 05 Nov 2007 (13.87%)
2006518 Apr 2006 (-2.17%), 10 Aug 2006 (-4.54%), 14 Aug 2006 (-1.38%), 23 Aug 2006 (-3.22%), 16 Oct 2006 (1.09%)
2005301 Mar 2005 (-3.06%), 30 Aug 2005 (0.98%), 14 Sep 2005 (-3.76%)
2004718 Aug 2004 (2.79%), 06 Sep 2004 (-2.58%), 21 Sep 2004 (6.61%), 09 Dec 2004 (-0.75%), 14 Dec 2004 (-3.18%), 22 Dec 2004 (-3.57%), 23 Dec 2004 (7.53%)
2003502 May 2003 (-2.58%), 12 May 2003 (-5.08%), 15 May 2003 (-4.36%), 02 Jun 2003 (8.14%), 22 Dec 2003 (-1.96%)
2002125 Feb 2002 (6.89%)
2001320 Nov 2001 (-4.39%), 22 Nov 2001 (-3.87%), 06 Dec 2001 (10.79%)
2000214 Nov 2000 (-1.64%), 07 Dec 2000 (-2.68%)
1999327 Jan 1999 (7.86%), 22 Jul 1999 (-4.11%), 27 Jul 1999 (8.2%)
1996522 Feb 1996 (1.53%), 12 Mar 1996 (-0.76%), 27 Mar 1996 (-2.32%), 14 May 1996 (2.5%), 25 Jun 1996 (-2.0%)



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