Study: Sell ONGC when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell ONGC 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 ONGC 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
1-30682.9631131841.943382.5112431.97-4147.54-12737.730.820.59-0.041-989.77
2-80167.3331121938.716200.7820108.85-8135.62-34005.040.760.48-0.05-2586.04
3-61689.6331141745.167708.6623829.56-9977.11-21560.240.770.64-0.038-1989.99
4-25755.4231131841.9410541.4423593.84-9044.12-22119.821.170.84-0.015-830.82
511748.831161551.619748.5233858.49-9615.17-22366.511.011.080.0064378.99
6-43454.8731151648.3910553.0439587.51-12609.4-30009.70.840.78-0.019-1401.77
7-69073.2331171454.8411938.7639150.38-19430.87-67254.410.610.75-0.022-2228.17
8-81593.1131171454.8411842.3739772.05-20208.09-1017630.590.71-0.022-2632.04
9-41544.2131171454.8412961.0744878.63-18705.88-95088.160.690.84-0.011-1340.14
10-42892.2331171454.8413446.735746-19391.87-88664.990.690.84-0.012-1383.62
Although, strategy looks good but profit factor on day 2 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
atrnil23.7738220.8653183533.9615498.6824755.5-6878.73-12231.652.251.160.013721.15
atrnil36.8730302.0153134024.5323685.3237133.25-6940.18-12231.653.411.110.0086571.74
atrtrail33.617854.1755173830.9113994.9831073.22-5791.06-12231.652.421.080.0063324.62
atrtrail22.9812341.7355173830.9113670.7220715.48-5791.06-12231.652.361.060.0048224.4
atrtrail-14.09-9800.8655163929.0913271.9334739.29-5696.2-12231.652.330.96-0.0036-178.2

In the table above, row 1 shows the best exit criterion. Profit factor is 1.16. 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 33.96%, which is not acceptable. Avoid this strategy. Average return per trade is 0.36%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, 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.
ONGC Performance, Profit Factor:1.16

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016320 Sep 2016 (4.55%), 20 Oct 2016 (-2.45%), 15 Dec 2016 (4.87%)
2014514 Mar 2014 (-2.56%), 18 Mar 2014 (5.17%), 20 May 2014 (-3.97%), 26 May 2014 (8.16%), 09 Jun 2014 (9.1%)
2013416 Jan 2013 (-2.47%), 17 Jan 2013 (-2.7%), 21 Jan 2013 (-3.13%), 30 Jan 2013 (6.26%)
2010122 Sep 2010 (-2.28%)
2009209 Apr 2009 (-5.08%), 29 May 2009 (12.38%)
2007411 Oct 2007 (-3.97%), 12 Oct 2007 (-4.04%), 16 Oct 2007 (8.54%), 29 Oct 2007 (-5.67%)
2006416 Jan 2006 (-2.79%), 24 Jan 2006 (-2.84%), 25 Jan 2006 (7.93%), 14 Nov 2006 (5.17%)
2005211 Mar 2005 (-2.3%), 22 Dec 2005 (-2.89%)
2004407 Jan 2004 (-4.59%), 09 Jan 2004 (9.69%), 01 Oct 2004 (-2.37%), 11 Oct 2004 (-2.31%)
20031128 May 2003 (-2.88%), 29 May 2003 (-3.03%), 30 May 2003 (-3.49%), 02 Jun 2003 (-3.52%), 04 Jun 2003 (6.94%), 22 Aug 2003 (-3.23%), 04 Sep 2003 (-4.09%), 09 Sep 2003 (7.97%), 23 Dec 2003 (-3.24%), 30 Dec 2003 (-3.38%), 31 Dec 2003 (-3.36%)
2002304 Feb 2002 (-3.93%), 21 Feb 2002 (-6.12%), 26 Feb 2002 (12.03%)
2001302 Feb 2001 (-3.99%), 05 Feb 2001 (-3.93%), 09 Feb 2001 (-3.83%)
1999120 May 1999 (10.36%)
1997314 Mar 1997 (-3.42%), 21 Mar 1997 (6.04%), 01 Jul 1997 (6.08%)
1996326 Feb 1996 (-3.86%), 27 Feb 1996 (8.25%), 30 Apr 1996 (-2.65%)



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