Study: Sell MRPL 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 MRPL 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 MRPL 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
1-10393.56221111503756.599395.97-4701.46-13253.010.80.8-0.019-472.43
2-14949.5322121054.556149.6211225.3-8874.5-28324.70.690.83-0.015-679.52
3-28310.5822121054.559100.6433614.63-13751.83-503010.660.79-0.017-1286.84
4-29783.0622121054.5511518.736363.64-16800.75-46956.520.690.82-0.015-1353.78
5-13008822121054.5513259.0733675.89-28919.73-94876.220.460.55-0.044-5913.11
6-2271852213959.099645.1627095.91-39174.71-1002880.250.36-0.07-10326.6
7-29705122121054.559173.4125738.4-40713.15-1281550.230.27-0.079-13502.3
8-27226022121054.5510548.0822362.87-39883.72-1378640.260.32-0.071-12375.46
9-20245022101245.4513031.726506.02-27730.56-1310680.470.39-0.058-9202.26
10-2137252211115016162.0531082.98-35591.57-1563110.450.45-0.051-9714.76
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
atrtrail22.9715340.333112233.3315530.3137705.68-7067.87-15448.162.21.10.0076464.86
atrtrail33.459524.1633112233.3315001.5741475.6-7067.87-15448.162.121.060.0044288.61
atrnil24.45-8657.183192229.0322197.6937705.68-9474.38-16973.052.340.96-0.0039-279.26
atrnil36.19-47272.63162519.3532631.6841475.6-9722.51-18852.843.360.81-0.019-1524.92
atrtrail-13.73-36073.2833112233.3310856.3531440.45-7067.87-15448.161.540.77-0.021-1093.13

In the table above, row 1 shows the best exit criterion. Profit factor is 1.1. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.23%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0076, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MRPL Performance, Profit Factor:1.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017221 Apr 2017 (-3.77%), 28 Apr 2017 (-0.48%)
2015109 Mar 2015 (1.9%)
2014409 Apr 2014 (-3.36%), 25 Apr 2014 (-4.57%), 29 Apr 2014 (-2.36%), 06 Jun 2014 (9.56%)
2013129 Oct 2013 (-0.28%)
2012117 Feb 2012 (-3.7%)
2011126 Apr 2011 (6.36%)
2009102 Jun 2009 (-5.93%)
2007510 May 2007 (-3.56%), 17 May 2007 (-2.59%), 03 Oct 2007 (13.83%), 08 Nov 2007 (-7.72%), 20 Nov 2007 (18.85%)
2004115 Jan 2004 (11.2%)
2003907 May 2003 (-1.91%), 13 May 2003 (-3.74%), 23 May 2003 (-0.75%), 30 May 2003 (-6.08%), 02 Jun 2003 (1.83%), 12 Jun 2003 (-6.28%), 23 Jun 2003 (-6.07%), 25 Jun 2003 (2.31%), 22 Aug 2003 (-2.89%)
2001104 Dec 2001 (11.18%)
1997402 Jan 1997 (-2.15%), 06 Jan 1997 (-2.24%), 11 Aug 1997 (-3.8%), 13 Aug 1997 (8.14%)
1996218 Apr 1996 (-3.52%), 19 Apr 1996 (0.26%)



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