Study: Sell RAYMOND when there is bearish divergence in RSI and ADX is Trending

home > technical-strategy > raymond > 43

In this study, we evaluate the performance of strategy "Sell RAYMOND 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 RAYMOND 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
1-56645.833151845.452854.8510095.95-5526.03-20050.130.520.43-0.056-1716.54
2-10190533171651.524405.639728.55-11050.03-33225.920.40.42-0.063-3088.02
3-93685.4233161748.485892.1215602.84-11056.44-50162.510.530.5-0.046-2838.95
4-15119033151845.456832.5928118.48-14093.28-50270.860.480.4-0.058-4581.52
5-15778133141942.428305.0125198.16-14423.72-75297.940.580.42-0.054-4781.23
6-11252033132039.397439.2118940.34-10461.47-54135.340.710.46-0.048-3409.69
7-13329233141942.426324.2422314.91-11675.36-63813.650.540.4-0.056-4039.17
8-12156333141942.426906.3823357.66-11486.99-60021.670.60.44-0.051-3683.74
9-12772633171651.526822.4623044.84-15231.73-65763.810.450.48-0.048-3870.48
10-78994.6433181554.557493.2628884.25-14258.22-59696.640.530.63-0.031-2393.78
Although, strategy looks good but profit factor on day 7 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
atrnil25.87-19280553114220.7515869.2125098.09-8746.81-12282.761.810.48-0.072-3637.83
atrtrail-14.71-1588745614422510126.4847452.34-7158.2-12282.761.410.47-0.059-2837.03
atrtrail24-163831561442259772.4225098.09-7158.2-12282.761.370.46-0.07-2925.55
atrtrail34.46-177755561442258777.829229.34-7158.2-12282.761.230.41-0.078-3174.2
atrnil38.11-2511635374613.2121801.829229.34-8777.74-12549.052.480.38-0.091-4738.93

In the table above, row 1 shows the best exit criterion. Profit factor is 0.48. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RAYMOND Performance, Profit Factor:0.475

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018112 Jan 2018 (5.26%)
2017406 Mar 2017 (-3.97%), 07 Mar 2017 (-3.99%), 03 May 2017 (8.0%), 29 Dec 2017 (-2.71%)
2016612 May 2016 (-3.17%), 16 May 2016 (-3.12%), 27 Sep 2016 (-3.49%), 04 Oct 2016 (-4.29%), 10 Oct 2016 (-4.12%), 24 Oct 2016 (-3.92%)
2014124 Jun 2014 (-4.18%)
2012206 Dec 2012 (-3.23%), 07 Dec 2012 (6.51%)
2010415 Jan 2010 (-4.08%), 21 Jan 2010 (9.74%), 17 Aug 2010 (-6.08%), 09 Sep 2010 (10.88%)
2009328 May 2009 (-6.14%), 29 May 2009 (-5.83%), 01 Jun 2009 (-5.79%)
2007328 Sep 2007 (-4.21%), 04 Oct 2007 (-4.82%), 14 Nov 2007 (-5.81%)
2006406 Mar 2006 (-3.67%), 07 Mar 2006 (-4.53%), 13 Mar 2006 (-5.05%), 30 Mar 2006 (-3.53%)
2004130 Nov 2004 (-3.81%)
2003523 May 2003 (7.29%), 09 Dec 2003 (-4.83%), 11 Dec 2003 (-4.83%), 23 Dec 2003 (-4.15%), 31 Dec 2003 (-4.51%)
2002102 Jul 2002 (-3.43%)
2001422 Nov 2001 (-3.63%), 03 Dec 2001 (-3.55%), 12 Dec 2001 (-3.89%), 20 Dec 2001 (8.78%)
2000104 Sep 2000 (-5.09%)
1998818 Mar 1998 (-4.28%), 24 Mar 1998 (-4.73%), 06 Apr 1998 (-5.07%), 16 Apr 1998 (-5.51%), 17 Apr 1998 (-5.87%), 22 Apr 1998 (12.55%), 06 Nov 1998 (-5.43%), 11 Nov 1998 (-5.55%)
1997107 Aug 1997 (6.88%)
1996320 Feb 1996 (-2.89%), 23 Feb 1996 (-2.9%), 17 Jun 1996 (5.68%)
1995125 Jul 1995 (5.7%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play