Study: Buy RAYMOND when there is bullish divergence in RSI and ADX is Trending

home > technical-strategy > raymond > 47

In this study, we evaluate the performance of strategy "Buy RAYMOND when there is bullish 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: buy 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. sell 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
1-50558.932181338.12522.4110078.93-5441.4-18048.510.460.29-0.089-2407.57
2-49629.282171433.336456.0720643.59-6772.98-20535.350.950.48-0.057-2363.3
3-59452.372161528.578626.0215605.01-7413.9-15421.921.160.47-0.067-2831.07
4-72564.412161528.5710622.1720036.43-9086.5-21694.151.170.47-0.066-3455.45
5-80106.932171433.338658.9415602.04-10051.4-29809.250.860.43-0.067-3814.62
6-81799.912191242.866862.517573.22-11963.53-27546.070.570.43-0.068-3895.23
7-10785021101147.626270.7624772.31-15505.26-35073.680.40.37-0.076-5135.73
8-1289522181338.18824.1927686.7-15349.62-43284.210.570.35-0.073-6140.55
9-1584102181338.19868.8832665.45-18258.54-95452.630.540.33-0.064-7543.33
10-1574022161528.5714599.0435822.71-16333.11-90189.470.890.36-0.065-7495.35
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
atrnil37.6253249.063492526.4731254.3861125.92-9121.61-26294.073.431.230.0171566.15
atrnil25.5748504.235122334.2921601.2540750.62-9161.34-26294.072.361.230.0181385.83
atrtrail24.03-22672.5139102925.6418250.6143453.57-7075.13-20039.232.580.89-0.0095-581.35
atrtrail34.64-76574.3139102925.6412860.4328531.89-7075.13-20039.231.820.63-0.04-1963.44
atrtrail-15.03-98448.193892923.6811592.624056.23-6992.47-20039.231.660.51-0.058-2590.74

In the table above, row 1 shows the best exit criterion. Profit factor is 1.23. 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 26.47%, which is not acceptable. Avoid this strategy. Average return per trade is 0.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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.
RAYMOND Performance, Profit Factor:1.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019105 Feb 2019 (-3.33%)
2015101 Sep 2015 (15.85%)
20131030 Jan 2013 (-3.83%), 06 Feb 2013 (-3.71%), 12 Feb 2013 (-3.83%), 18 Feb 2013 (-3.94%), 22 Feb 2013 (-3.85%), 14 Mar 2013 (-3.8%), 15 Mar 2013 (-4.03%), 26 Mar 2013 (-4.43%), 05 Apr 2013 (-5.09%), 10 Apr 2013 (15.25%)
2010109 Jun 2010 (12.24%)
2009113 Mar 2009 (17.54%)
2008214 Oct 2008 (-10.02%), 27 Oct 2008 (30.56%)
2007527 Jul 2007 (-3.08%), 30 Jul 2007 (-3.21%), 01 Aug 2007 (-3.22%), 17 Aug 2007 (9.38%), 21 Aug 2007 (-4.13%)
2003325 Feb 2003 (-2.48%), 26 Feb 2003 (-2.72%), 27 Feb 2003 (8.97%)
2001329 Jun 2001 (-3.36%), 02 Jul 2001 (-3.81%), 03 Jul 2001 (-4.06%)
1998103 Jul 1998 (-13.15%)
1997226 May 1997 (-3.8%), 09 Jun 1997 (14.27%)
1996425 Sep 1996 (-4.04%), 30 Sep 1996 (-4.02%), 11 Oct 1996 (-9.09%), 05 Dec 1996 (16.58%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play