Study: Buy MRPL when there is bullish divergence in RSI

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In this study, we evaluate the performance of strategy "Buy MRPL when there is bullish divergence in RSI" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. sell 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
140117.692213959.096115.3315550.76-4375.74-11728.41.42.020.0581823.53
28168.88221111508782.2822894.17-8039.65-29761.91.091.090.007371.31
3-45040.952281436.369844.3520734.34-8842.55-42380.951.110.64-0.034-2047.32
4-58864.232281436.3610206.7519654.43-10037.01-34761.91.020.58-0.045-2675.65
5-33546.062281436.3611010.4429411.76-8687.82-39197.531.270.72-0.023-1524.82
6-2261.152214863.649003.0743137.25-16038.02-53086.420.560.98-0.0013-102.78
740150.252213959.0910716.4637254.9-11018.2-50154.320.971.40.0241825.01
891495.172213959.0915446.3431372.55-12145.25-62191.361.271.840.0464158.87
957760.592215768.1811773.5345098.04-16977.47-57407.410.691.490.0282625.48
1059159.52214863.6413028.9143137.25-15405.66-55555.560.851.480.0292689.07

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.02. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 59.09%, which is not acceptable. Avoid this strategy. Average return per trade is 0.91%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.058, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
MRPL Performance, X=1, Profit Factor:2.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 May 2019 (-1.99%)
2018330 May 2018 (-2.11%), 15 Jun 2018 (1.12%), 02 Jul 2018 (-0.32%)
2014112 Dec 2014 (-2.96%)
2013221 Mar 2013 (-2.05%), 08 Aug 2013 (3.0%)
2011224 Feb 2011 (0.89%), 22 Aug 2011 (3.8%)
2010109 Dec 2010 (2.31%)
2008323 Jun 2008 (-5.86%), 08 Jul 2008 (7.78%), 22 Oct 2008 (-4.4%)
2001311 Jul 2001 (0.0%), 27 Jul 2001 (2.46%), 17 Sep 2001 (4.9%)
2000116 Feb 2000 (3.68%)
1999117 Nov 1999 (0.0%)
1998113 Oct 1998 (3.86%)
1996222 Aug 1996 (0.22%), 09 Oct 1996 (5.56%)
1995124 Nov 1995 (0.18%)

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-1140117.692213959.096115.3315550.76-4375.74-11728.41.42.020.0581823.53
atrnil310.7919882429101934.4841659.9764963.39-11461.89-29888.173.631.910.0546856
atrnil28.2411207529121741.3826039.8543308.92-11788.43-29888.172.211.560.0413864.65
atrtrail25.9348991.383015155012546.7541844.41-9280.66-28282.41.351.350.0241633.05
atrtrail36.6327724.99301515501112934890.14-9280.66-28282.41.21.20.014924.17
atrtrail-16.97-14118.1730141646.678982.1831717.32-8741.79-28282.41.030.9-0.0079-470.61

In the table above, row 1 shows the best exit criterion. Profit factor is 2.02. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 59.09%, which is not acceptable. Avoid this strategy. Average return per trade is 0.91%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.058, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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