Study: Sell PAGEIND when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell PAGEIND 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 PAGEIND 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
19569.11241212503653.879362.01-2856.45-7078.571.281.280.029398.71
212054.6124141058.333243.3810015.66-3335.27-6058.370.971.360.037502.28
3-26647.39241212503878.3112879.21-6098.93-13593.640.640.64-0.051-1110.31
4-32539.4824131154.175376.2715306.36-9311.91-19259.050.580.68-0.045-1355.81
5-30133.4424111345.837382.726765.24-8564.86-18502.970.860.73-0.036-1255.56
6-47804.6241212506141.5923825.76-10125.31-34424.970.610.61-0.051-1991.86
7-45642.2224111345.837401.6624498.65-9773.89-25924.290.760.64-0.05-1901.76
8-12005824101441.675676.2915447.48-12630.05-50120.920.450.32-0.1-5002.41
9-1615092491537.56408.9913607.21-14612.66-51223.760.440.26-0.13-6729.54
10-13977824111345.835734.0713476.83-15604.08-49279.290.370.31-0.12-5824.1
Although, strategy looks good but profit factor on day 1 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
atrtrail35.1316297.8138152339.479824.926889.87-5698.94-11050.881.721.120.013428.89
atrtrail24.45275.6138152339.478756.7517926.58-5698.94-11050.881.5410.000267.25
atrnil26.42-12633.738122631.5813885.2618761.84-6894.49-11050.882.010.93-0.0097-332.47
atrnil39.74-46774.993883021.0520230.6326889.87-6954-11050.882.910.78-0.031-1230.92
atrtrail-15.71-36149.1738142436.846985.8323704.64-5581.28-11050.881.250.73-0.035-951.29

In the table above, row 1 shows the best exit criterion. Profit factor is 1.12. 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 39.47%, which is not acceptable. Avoid this strategy. Average return per trade is 0.21%, which is low, 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.
PAGEIND Performance, Profit Factor:1.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018309 Jul 2018 (2.48%), 21 Aug 2018 (-2.83%), 29 Aug 2018 (7.68%)
2017519 Jun 2017 (-1.39%), 05 Jul 2017 (5.38%), 13 Sep 2017 (-2.3%), 03 Nov 2017 (-1.65%), 17 Nov 2017 (1.54%)
2015216 Mar 2015 (-3.4%), 23 Mar 2015 (0.33%)
20141123 Jan 2014 (-2.73%), 12 Mar 2014 (-3.37%), 20 Mar 2014 (9.2%), 01 Jul 2014 (-3.25%), 03 Jul 2014 (-3.73%), 14 Jul 2014 (-2.78%), 21 Jul 2014 (0.83%), 15 Dec 2014 (-0.53%), 18 Dec 2014 (-3.99%), 22 Dec 2014 (-4.44%), 24 Dec 2014 (0.45%)
2013313 Nov 2013 (-0.49%), 27 Nov 2013 (-2.71%), 29 Nov 2013 (0.77%)
2012127 Apr 2012 (7.92%)
2011129 Jul 2011 (13.44%)
20101004 Jan 2010 (-1.88%), 11 Jan 2010 (-1.28%), 18 Jun 2010 (9.14%), 21 Jul 2010 (-2.97%), 29 Jul 2010 (-3.14%), 09 Aug 2010 (0.05%), 12 Aug 2010 (-4.78%), 13 Aug 2010 (2.85%), 30 Nov 2010 (-3.9%), 01 Dec 2010 (11.63%)
2009214 Jul 2009 (-5.53%), 21 Dec 2009 (-2.45%)



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