Study: Sell PIDILITIND when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell PIDILITIND 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 PIDILITIND 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
162895.0742271564.293813.2315970.67-2670.82-7814.831.432.570.0681497.5
272268.3942231954.766266.0216459.56-3781.58-14703.491.662.010.0541720.68
339424.16422121506866.3219996.95-4988.98-19192.071.381.380.024938.67
424818.4542192345.247760.9520728.55-5332.15-29024.391.461.20.014590.92
59913.8542192345.248443.0623258.65-6543.66-26600.611.291.070.0049236.04
6-10432.0442222052.387599.8221470.77-8881.4-30182.930.860.94-0.0046-248.38
723034942251759.5214885.23176809-8340.12-32667.681.782.620.0395484.49
818045842241857.1414706.88175432-9583.76-33413.121.532.050.034296.61
91415434221215016741.35173352-10001.22-35684.51.671.670.0233370.06
1013933842202247.6217745.61172722-9798.82-41921.471.811.650.0233317.58
Although, strategy looks good but profit factor on day 6 is less than minimum accepted value so avoid this, see below for further analysis.
PIDILITIND Performance, X=7, Profit Factor:2.62

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019209 Apr 2019 (3.51%), 21 Aug 2019 (-0.83%)
2018127 Apr 2018 (-2.05%)
2017215 May 2017 (4.15%), 23 Jun 2017 (0.26%)
2016322 Feb 2016 (5.64%), 03 Jun 2016 (2.46%), 08 Jul 2016 (0.75%)
2015114 Jan 2015 (-0.44%)
2014315 Apr 2014 (0.9%), 28 Jul 2014 (1.52%), 08 Dec 2014 (5.5%)
2013116 May 2013 (-0.79%)
2012224 Aug 2012 (-4.82%), 08 Sep 2012 (-1.19%)
2011118 Apr 2011 (-4.06%)
2010104 Oct 2010 (5.58%)
2009228 May 2009 (0.04%), 27 Nov 2009 (1.4%)
2007101 Nov 2007 (1.03%)
2006314 Mar 2006 (-2.37%), 29 Mar 2006 (-0.39%), 24 Apr 2006 (3.38%)
2005327 Jun 2005 (-3.18%), 18 Aug 2005 (-4.91%), 09 Sep 2005 (88.4%)
2004307 Sep 2004 (-2.44%), 21 Sep 2004 (0.34%), 22 Dec 2004 (-2.41%)
2003314 Jan 2003 (1.67%), 27 May 2003 (2.02%), 17 Dec 2003 (-13.35%)
2000103 Feb 2000 (12.07%)
1999625 Jan 1999 (7.03%), 09 Feb 1999 (4.23%), 24 Mar 1999 (5.48%), 30 Jul 1999 (-3.59%), 18 Aug 1999 (-16.33%), 01 Sep 1999 (8.0%)
1998209 Apr 1998 (-7.73%), 30 Sep 1998 (11.79%)
1996126 Feb 1996 (8.93%)

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
atrtrail34.114007.0870254535.7110276.6434875.45-5397.97-13080.441.91.060.0042200.1
atrtrail23.417623.3570254535.7110021.2923250.3-5397.97-13080.441.861.030.0026108.9
atrnil35.98-12670.1264154923.4420891.2334875.45-6653.85-13080.443.140.96-0.0033-197.97
atrnil24.43-38861.8765204530.7713191.0123250.3-6726.27-13080.441.960.87-0.013-597.87
atrtrail-14.56-47292.8570254535.717824.6426143.08-5397.97-13080.441.450.81-0.017-675.61

In the table above, row 1 shows the best exit criterion. Profit factor is 1.06. 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 35.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.1%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0042, 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.
PIDILITIND Performance, Profit Factor:1.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019309 Apr 2019 (-2.13%), 15 Apr 2019 (6.03%), 21 Aug 2019 (-1.76%)
2018427 Apr 2018 (-1.93%), 30 Apr 2018 (-1.91%), 02 May 2018 (0.91%), 08 May 2018 (-0.57%)
2017215 May 2017 (-1.75%), 23 Jun 2017 (3.53%)
2016322 Feb 2016 (2.7%), 03 Jun 2016 (0.31%), 08 Jul 2016 (0.25%)
2015214 Jan 2015 (-3.42%), 20 Jan 2015 (4.44%)
2014615 Apr 2014 (-1.96%), 22 Apr 2014 (7.33%), 28 Jul 2014 (-1.36%), 31 Jul 2014 (-2.63%), 04 Aug 2014 (1.03%), 08 Dec 2014 (10.11%)
2013116 May 2013 (1.06%)
2012324 Aug 2012 (-1.25%), 08 Sep 2012 (-3.4%), 13 Sep 2012 (-0.38%)
2011118 Apr 2011 (-1.92%)
2010104 Oct 2010 (3.31%)
2009528 May 2009 (-5.88%), 01 Jun 2009 (-5.37%), 02 Jun 2009 (-4.38%), 04 Jun 2009 (17.44%), 27 Nov 2009 (1.45%)
2007201 Nov 2007 (-5.05%), 05 Nov 2007 (-6.54%)
2006314 Mar 2006 (-2.91%), 29 Mar 2006 (-2.94%), 24 Apr 2006 (-0.46%)
2005704 Jan 2005 (0.91%), 27 Jun 2005 (-1.19%), 05 Jul 2005 (-4.29%), 18 Aug 2005 (-3.39%), 19 Aug 2005 (-3.4%), 09 Sep 2005 (-1.24%), 16 Sep 2005 (-4.02%)
2004707 Sep 2004 (-2.66%), 09 Sep 2004 (-2.33%), 13 Sep 2004 (-2.62%), 21 Sep 2004 (-0.02%), 22 Dec 2004 (-3.33%), 28 Dec 2004 (-3.06%), 29 Dec 2004 (-2.02%)
2003514 Jan 2003 (-1.11%), 27 May 2003 (2.39%), 17 Dec 2003 (-3.74%), 19 Dec 2003 (-3.63%), 23 Dec 2003 (-3.71%)
2000103 Feb 2000 (7.69%)
19991025 Jan 1999 (12.01%), 09 Feb 1999 (3.33%), 24 Mar 1999 (-1.17%), 31 Mar 1999 (-3.9%), 01 Apr 1999 (11.78%), 30 Jul 1999 (0.08%), 03 Aug 1999 (-3.67%), 06 Aug 1999 (-0.71%), 18 Aug 1999 (-2.84%), 31 Aug 1999 (9.75%)
1998309 Apr 1998 (1.23%), 21 Apr 1998 (-3.49%), 30 Sep 1998 (13.71%)
1996126 Feb 1996 (5.67%)



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