Study: Sell RELCAPITAL when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell RELCAPITAL 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 RELCAPITAL 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
1-12338341182343.93661.3210374.38-8229.87-49840.930.440.35-0.058-3009.35
2-11288841212051.226479.1924106.67-12447.54-45599.150.520.55-0.041-2753.36
3-57796.8841202148.7811244.0138080-13460.82-48738.070.840.8-0.018-1409.68
4-11233041202148.7810784.9350986.67-15620.4-61717.920.690.66-0.03-2739.75
5-12664841162539.0214043.5939573.33-14053.83-89756.110.64-0.03-3088.99
6-20343741182343.910993.9243840-17449.02-1100320.630.49-0.043-4961.88
7-16344741182343.914276.8753086.72-18279.59-98239.660.780.61-0.033-3986.51
8-13791141172441.4616162.0349803.83-17194.4-1157160.940.67-0.026-3363.69
9-11801141192246.3417335.3654624.07-20335.58-1178790.850.74-0.021-2878.32
10-15609641192246.3417203.5956257.51-21952.91-1192790.780.68-0.027-3807.21
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
atrnil34.77-286.756416482526782.241254.93-8933.38-13616.9831-5.7e-05-4.48
atrtrail33.11-88611.1270195127.1415579.441254.93-7541.56-13616.982.070.77-0.02-1265.87
atrtrail-13.6-10667370195127.1414628.7847855.64-7541.56-13616.981.940.72-0.024-1523.9
atrnil23.91-12529265174826.1517942.9327503.29-8965.03-13616.9820.71-0.032-1927.57
atrtrail23.01-16653870195127.1411478.0127503.29-7541.56-13616.981.520.57-0.048-2379.11

In the table above, row 1 shows the best exit criterion. Profit factor is 1. 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 25%, which is not acceptable. Avoid this strategy. Average return per trade is -0.0022%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RELCAPITAL Performance, Profit Factor:0.999

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018109 Jan 2018 (12.33%)
2017315 Mar 2017 (-2.8%), 03 Apr 2017 (-2.8%), 09 May 2017 (8.97%)
2016114 Sep 2016 (9.83%)
2014326 May 2014 (-5.39%), 02 Jun 2014 (-5.06%), 10 Jun 2014 (13.34%)
2013104 Jan 2013 (7.98%)
2012707 Feb 2012 (-4.43%), 10 Feb 2012 (-4.65%), 16 Feb 2012 (-4.23%), 17 Feb 2012 (-4.34%), 22 Feb 2012 (14.58%), 08 Oct 2012 (11.28%), 18 Dec 2012 (-3.33%)
2009327 May 2009 (-6.77%), 01 Jun 2009 (-6.05%), 05 Jun 2009 (18.62%)
20071025 May 2007 (-4.18%), 15 Jun 2007 (-3.51%), 18 Jun 2007 (-4.53%), 03 Jul 2007 (-3.43%), 10 Jul 2007 (-3.37%), 17 Jul 2007 (-3.0%), 24 Jul 2007 (-2.84%), 28 Sep 2007 (-4.09%), 03 Oct 2007 (-5.02%), 15 Oct 2007 (17.16%)
2006211 May 2006 (10.81%), 27 Sep 2006 (-3.33%)
2005921 Feb 2005 (-4.11%), 28 Feb 2005 (-3.83%), 07 Mar 2005 (11.42%), 17 Jun 2005 (-3.78%), 28 Jun 2005 (-5.78%), 01 Jul 2005 (-5.31%), 07 Jul 2005 (-5.54%), 11 Jul 2005 (-5.76%), 29 Jul 2005 (-4.36%)
2004108 Jan 2004 (-4.13%)
2003401 Jul 2003 (-3.9%), 02 Jul 2003 (-3.91%), 27 Nov 2003 (-4.71%), 11 Dec 2003 (-4.42%)
2002329 Nov 2002 (-3.0%), 02 Dec 2002 (-2.96%), 06 Dec 2002 (-3.14%)
2001226 Nov 2001 (-4.18%), 11 Dec 2001 (12.99%)
2000504 Jan 2000 (-6.06%), 05 Jan 2000 (-6.61%), 29 Feb 2000 (-6.81%), 01 Mar 2000 (-6.67%), 06 Mar 2000 (20.63%)
1999312 Jul 1999 (-4.59%), 26 Oct 1999 (-5.95%), 27 Oct 1999 (20.15%)
1998107 Jan 1998 (10.89%)
1997509 Jan 1997 (-4.07%), 16 Jul 1997 (-4.82%), 05 Aug 1997 (-4.32%), 07 Aug 1997 (-4.56%), 14 Aug 1997 (13.3%)



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