Study: Sell PVR 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 PVR 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 PVR 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
1-11583.8920911453845.978619.38-4199.78-18412.160.920.75-0.028-579.19
236736.0720164804225.5310913.53-7718.1-14020.270.552.190.0851836.8
316452.2320137656410.317690.75-9554.52-34290.540.671.250.02822.61
433200.0220164805002.0617488.18-11708.25-27027.030.431.710.0481660
529780.3720146707400.1920594.19-12303.71-38429.050.61.40.0331489.02
650480.1920128609567.2324172.86-8040.82-26520.271.191.780.0592524.01
773663.2520128609506.121908.51-5051.24-16385.141.882.820.113683.16
877810.59201286010216.3422750.1-5598.19-8952.71.822.740.113890.53
999835.82201467010261.6328913.23-7304.5-13385.021.43.280.134991.79
1088829.15201467010700.2137337.83-10162.3-24398.591.052.460.094441.46
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
PVR Performance, X=9, Profit Factor:3.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017319 Jan 2017 (3.54%), 13 Apr 2017 (-3.01%), 02 May 2017 (4.73%)
2016303 May 2016 (0.46%), 14 Jun 2016 (0.96%), 19 Jul 2016 (-0.53%)
2013315 May 2013 (7.14%), 16 Sep 2013 (-6.69%), 09 Oct 2013 (0.06%)
2012514 Aug 2012 (3.53%), 15 Oct 2012 (-4.27%), 30 Oct 2012 (-3.49%), 13 Nov 2012 (0.63%), 06 Dec 2012 (9.01%)
2011229 Jul 2011 (5.6%), 09 Nov 2011 (12.42%)
2009229 May 2009 (-3.93%), 24 Sep 2009 (6.17%)
2007216 May 2007 (3.14%), 05 Dec 2007 (14.46%)

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
atrnil38.29-6639.222862221.4331854.9745986.92-8989.5-16708.623.540.97-0.0037-237.11
atrtrail-14.59-17100.422992031.0314022.8584712.69-7165.31-16708.621.960.88-0.0092-589.67
atrnil26.57-31153.352882028.5719193.830657.95-9235.19-16708.622.080.83-0.022-1112.62
atrtrail33.86-24588.62992031.0313190.8340351.32-7165.31-16708.621.840.83-0.018-847.88
atrtrail23.48-28497.812992031.0312756.4826900.88-7165.31-16708.621.780.8-0.024-982.68

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. 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 21.43%, which is not acceptable. Avoid this strategy. Average return per trade is -0.12%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
PVR Performance, Profit Factor:0.966

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017419 Jan 2017 (-3.53%), 13 Apr 2017 (-2.7%), 25 Apr 2017 (-2.5%), 02 May 2017 (7.9%)
2016303 May 2016 (-2.68%), 14 Jun 2016 (-3.16%), 19 Jul 2016 (-3.79%)
2013315 May 2013 (-3.37%), 16 Sep 2013 (-4.53%), 09 Oct 2013 (-4.66%)
2012714 Aug 2012 (-3.66%), 15 Oct 2012 (-4.13%), 16 Oct 2012 (-4.29%), 29 Oct 2012 (-4.2%), 02 Nov 2012 (-4.25%), 13 Nov 2012 (-3.7%), 06 Dec 2012 (17.32%)
2011229 Jul 2011 (10.44%), 09 Nov 2011 (16.74%)
2009429 May 2009 (-8.35%), 01 Jun 2009 (-7.76%), 03 Jun 2009 (22.99%), 24 Sep 2009 (-5.45%)
2007516 May 2007 (-4.12%), 17 May 2007 (-4.32%), 05 Dec 2007 (-6.94%), 06 Dec 2007 (-6.78%), 12 Dec 2007 (20.18%)



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