Study: Buy RELIANCE when there is bullish divergence in RSI

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In this study, we evaluate the performance of strategy "Buy RELIANCE when there is bullish divergence in RSI" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy RELIANCE 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
172942.4596366.6715243.5741548.32-6173-16872.782.474.940.118104.72
278764.8896366.6720374.4845836.81-14494-28173.921.412.810.0848751.65
394606.795455.5626843.1557699.81-9902.26-26220.232.713.390.09210511.86
410651195455.5626927.7170453.91-7031.82-16478.093.834.790.111834.59
512705297277.7822692.2566443.89-15896.67-26759.641.4350.1214116.93
612877197277.7824225.3268727.37-20403.16-39803.971.194.160.1114307.88
797690.0597277.7824817.1442550.82-38014.97-65872.910.652.280.0710854.45
810448897277.7825261.2156067.52-36170.43-58308.120.72.440.07611609.73
910615797277.7824052.1547536.5-31104.27-48309.430.772.710.08911795.17
1015464497277.7829136.7667335.77-24656.56-41895.81.184.140.1217182.69

From the table above, we see that best results are achieved by holding positions for 5 trading days. Profit factor is 5. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bullish. Percentage of profitable trades is 77.78%, which is excellent. Average return per trade is 7.06%, which is very good.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
RELIANCE Performance, X=5, Profit Factor:5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2011126 Aug 2011 (14.19%)
2010127 Aug 2010 (-2.52%)
2008115 Oct 2008 (-13.38%)
2001126 Sep 2001 (9.82%)
2000214 Mar 2000 (9.92%), 24 Oct 2000 (3.23%)
1998210 Jun 1998 (2.64%), 28 Aug 1998 (6.4%)
1996115 Jul 1996 (33.22%)

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
atrtrail34.38210388139469.2327282.5470829.04-8788.74-14826.83.16.980.1316183.69
atrtrail-16.38192742139469.2325321.8755245.27-8788.74-14826.82.886.480.1314826.29
atrtrail23.46155737139469.2321210.1647219.36-8788.74-14826.82.415.430.1311979.73
nilnil-1512705297277.7822692.2566443.89-15896.67-26759.641.4350.1214116.93
atrnil37.38223018137653.8540366.6870829.04-9924.82-14826.84.074.750.1217155.22
atrnil24.92128829137653.8526911.1247219.36-9924.82-14826.82.713.160.19909.91

In the table above, row 1 shows the best exit criterion. Profit factor is 6.98. Strategy is very good and impressively bullish. Percentage of profitable trades is 69.23%, which is good. Average return per trade is 8.09%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RELIANCE Performance, Profit Factor:6.98

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2011126 Aug 2011 (9.76%)
2010127 Aug 2010 (-1.81%)
2008215 Oct 2008 (-7.41%), 27 Oct 2008 (35.41%)
2001126 Sep 2001 (8.75%)
2000214 Mar 2000 (27.67%), 24 Oct 2000 (5.55%)
1998510 Jun 1998 (-3.36%), 16 Jun 1998 (0.79%), 22 Jun 1998 (0.47%), 28 Aug 1998 (-4.99%), 01 Sep 1998 (15.27%)
1996115 Jul 1996 (19.1%)



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