Study: Sell ORIENTBANK 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 ORIENTBANK 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 ORIENTBANK 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
1-71602.7725718283879.856185.57-5486.76-12637.680.710.27-0.11-2864.11
2-164425255202040998643.33-9245.99-35246.380.440.11-0.14-6576.99
3-18658225520205427.739299.78-10686.03-36173.910.510.13-0.15-7463.28
4-20446225817325535.3717423.41-14632.07-32927.540.380.18-0.13-8178.49
5-20496625916368149.9424343.54-17394.71-44637.680.470.26-0.1-8198.64
6-182399251114447181.7320842.45-18671.28-50666.670.380.3-0.086-7295.96
7-190406259163610345.2627051.42-17719.59-66550.720.580.33-0.076-7616.25
8-217969259163611128.3128200.22-19882.75-84173.910.560.31-0.074-8718.77
9-223512251312528168.2635393.87-27474.98-86608.70.30.32-0.071-8940.5
10-238024251213487925.7129048.14-25625.61-1006380.310.29-0.077-9520.97
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
atrnil36.88-14503.453482623.5328838.2243820.34-9431.12-14072.083.060.94-0.0052-426.57
atrtrail33.82-74645.5139102925.6415312.7643820.34-7854.24-14072.081.950.67-0.031-1913.99
atrnil25.5-91405.373482623.5319225.4829213.56-9431.12-14072.082.040.63-0.044-2688.39
atrtrail23.33-10462239102925.6412315.1129213.56-7854.24-14072.081.570.54-0.053-2682.62
atrtrail-14.05-11326139102925.6411451.2428459.79-7854.24-14072.081.460.5-0.06-2904.12

In the table above, row 1 shows the best exit criterion. Profit factor is 0.94. 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 23.53%, which is not acceptable. Avoid this strategy. Average return per trade is -0.21%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ORIENTBANK Performance, Profit Factor:0.941

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Apr 2019 (12.03%)
2017310 Apr 2017 (-3.48%), 26 Apr 2017 (-3.38%), 08 May 2017 (12.69%)
2016228 Jun 2016 (-3.89%), 12 Jul 2016 (11.43%)
2014412 May 2014 (-4.08%), 26 May 2014 (-5.83%), 28 May 2014 (-5.59%), 29 May 2014 (17.52%)
2012314 Feb 2012 (-3.85%), 21 Feb 2012 (11.45%), 27 Sep 2012 (-4.22%)
2010116 Aug 2010 (-4.25%)
2009426 May 2009 (-6.0%), 29 May 2009 (17.19%), 18 Sep 2009 (-4.38%), 12 Oct 2009 (-3.98%)
2006319 Sep 2006 (-3.76%), 03 Oct 2006 (-3.67%), 05 Oct 2006 (11.14%)
2004107 Dec 2004 (-3.94%)
2003810 Apr 2003 (-5.7%), 11 Apr 2003 (-5.45%), 30 Apr 2003 (-5.58%), 16 May 2003 (-6.12%), 20 May 2003 (-6.49%), 27 May 2003 (-7.04%), 29 May 2003 (21.91%), 09 Jul 2003 (-5.93%)
2002212 Feb 2002 (-3.43%), 19 Dec 2002 (-4.7%)
2001108 Feb 2001 (-3.95%)
1998105 Jan 1998 (-3.92%)



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