Study: Sell OIL 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 OIL 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 OIL 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
122941.4274357.145926.749476.8-255.18-372.5423.2330.970.273277.35
230851.2775271.436591.2413096.41-1052.47-1937.686.2615.660.264407.32
325021.1774357.148683.1517045.08-3237.15-7893.072.683.580.153574.45
431366.2976185.716129.3312421.85-5409.68-5409.681.136.80.254480.9
537528.276185.716431.3311688.99-1059.79-1059.796.0736.410.395361.17
637592.3476185.716453.8811599.21-1130.97-1130.975.7134.240.355370.33
721209.0175271.436273.4615037.84-5079.14-6200.571.243.090.143029.86
815607.8875271.434937.0411303.06-4538.67-5045.871.092.720.132229.7
97458.273442.864973.477389.95-1865.56-2538.752.6720.0941065.46
10-3368.9273442.865907.567070.63-5272.9-12590.951.120.84-0.023-481.27

From the table above, we see that best results are achieved by holding positions for 5 trading days. Profit factor is 36.41. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bearish. Percentage of profitable trades is 85.71%, which is excellent. Average return per trade is 2.68%, which is very good.
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.
OIL Performance, X=5, Profit Factor:36.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017105 Oct 2017 (0.73%)
2016210 Jun 2016 (2.26%), 22 Sep 2016 (2.04%)
2014126 May 2014 (5.53%)
2012116 Feb 2012 (2.89%)
2010231 May 2010 (-0.53%), 14 Jun 2010 (5.84%)

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-1537528.276185.716431.3311688.99-1059.79-1059.796.0736.410.395361.17
atrtrail24.8818565.95844507571.0913605.11-2929.6-5727.322.582.580.112320.74
atrtrail35.510022.33844505435.1810008.02-2929.6-5727.321.861.860.081252.79
atrtrail-15.510022.33844505435.1810008.02-2929.6-5727.321.861.860.081252.79
atrnil28-8954.648262512134.7913605.11-5537.37-6868.862.190.73-0.046-1119.33
atrnil318-24030.0681712.515996.7215996.72-5718.11-6868.862.80.4-0.13-3003.76

In the table above, row 1 shows the best exit criterion. Profit factor is 36.41. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bearish. Percentage of profitable trades is 85.71%, which is excellent. Average return per trade is 2.68%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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