Study: Buy ONGC when there is bullish divergence in RSI and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy ONGC when there is bullish 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: buy 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. 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
1-5416.591510566.674382.0114036.27-9847.34-30488.830.440.89-0.0076-361.11
2-31639.641569407220.0619543.32-8328.89-42390.670.870.58-0.033-2109.31
3-41653.091569408268.7418437.9-10140.62-34031.040.820.54-0.045-2776.87
4-47868.7115694010078.0520913.36-12037.44-32974.820.840.56-0.047-3191.25
5-17445.2315694010499.2216093.26-8937.84-27629.291.170.78-0.02-1163.02
6-11379.091596605644.2114938.11-10362.83-17567.140.540.82-0.016-758.61
7-1070.16157846.6710221.2223102.75-9077.33-23696.681.130.99-0.0012-71.34
8-44.76157846.6712773.8138750.84-11182.68-26477.091.141-3.9e-05-2.98
911652.33158753.3312544.3555473.47-12671.78-34439.180.991.130.0083776.82
10-11390.87157846.6711180.7337944.93-11207-23191.1510.87-0.01-759.39
Although, strategy looks good but profit factor on day 3 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
atrtrail24.1540835.76208124015160.640665.08-6704.09-14817.362.261.510.0322041.79
atrnil311.7552001.62206143029972.2960997.62-9130.87-15046.563.281.410.0272600.08
atrtrail34.9525850.42208124013287.4428928.43-6704.09-14817.361.981.320.0231292.52
atrnil25.858138.28207133518658.5740665.08-9420.9-15046.561.981.070.0056406.91
atrtrail-15.62818.03208124010408.3928928.43-6704.09-14817.361.551.040.0029140.9

In the table above, row 1 shows the best exit criterion. Profit factor is 1.51. 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 40%, which is not acceptable. Avoid this strategy. Average return per trade is 1.02%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, 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:1.51

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019429 Jul 2019 (-3.34%), 16 Aug 2019 (-3.41%), 23 Aug 2019 (-0.95%), 03 Sep 2019 (8.05%)
2015411 Mar 2015 (-0.73%), 31 Jul 2015 (-2.22%), 04 Aug 2015 (5.36%), 02 Sep 2015 (2.64%)
2012120 Nov 2012 (4.38%)
2011217 Jan 2011 (-2.68%), 27 Jan 2011 (5.98%)
2008223 Oct 2008 (-7.41%), 28 Oct 2008 (20.33%)
2000108 Mar 2000 (-2.99%)
1999327 Jan 1999 (-4.49%), 29 Jan 1999 (-4.42%), 16 Feb 1999 (-1.84%)
1998218 Jun 1998 (-5.76%), 30 Jun 1998 (1.56%)
1996109 Oct 1996 (12.34%)



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