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

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In this study, we evaluate the performance of strategy "Buy RELINFRA 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 RELINFRA 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
179001.111911857.8910726.0834648.7-4873.22-13480.862.23.030.0824157.95
254078.891911857.8910099.2529066.41-7126.61-14850.041.421.950.0552846.26
363990.761910952.6313065.6322695.76-7407.28-13704.191.761.960.0623367.93
486392.061911857.8915471.531013.75-10474.3-26799.311.482.030.0584546.95
577505.281913668.4214376.1336652.62-18230.73-44154.790.791.710.0424079.23
648181.761913668.4214599.9830116.57-23603-46858.190.621.340.0252535.88
71403921912763.1619575.8438767.57-13502.57-24809.661.452.490.0767389.06
81131471913668.4215318.2642058.03-14331.74-27164.751.072.320.0675955.1
91186041913668.4214503.9841519.59-11657.97-31651.611.242.70.0776242.31
101567541914573.6815537.8645767.27-12155.12-25946.61.283.580.18250.23
Although, strategy looks good but profit factor on day 6 is less than minimum accepted value so avoid this, see below for further analysis.
RELINFRA Performance, X=10, Profit Factor:3.58

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019314 Feb 2019 (4.64%), 09 May 2019 (12.32%), 25 Jun 2019 (-5.77%)
2018109 Oct 2018 (15.95%)
2016115 Nov 2016 (1.8%)
2014114 Oct 2014 (4.5%)
2013101 Apr 2013 (5.02%)
2012102 Jan 2012 (22.88%)
2011226 May 2011 (3.05%), 26 Aug 2011 (8.08%)
2010225 Aug 2010 (1.19%), 01 Dec 2010 (-5.39%)
2008203 Jul 2008 (11.57%), 17 Oct 2008 (8.84%)
2006131 May 2006 (-12.97%)
2004108 Dec 2004 (-2.7%)
2000130 Oct 2000 (4.02%)
1997203 Sep 1997 (4.9%), 13 Nov 1997 (-3.56%)

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
atrtrail-16.3323424927121544.4429933.73139677-8330.37-23449.73.592.870.0538675.89
atrtrail34.9315466327121544.4423301.59107176-8330.37-23449.72.82.240.0485728.28
atrnil312.5824947626111542.3142614.41107176-14618.83-34131.962.922.140.0599595.24
atrtrail24.5611198427121544.4419745.0171450.46-8330.37-23449.72.371.90.0464147.57
atrnil28.081537792613135027144.371450.46-15315.18-34131.961.771.770.0485914.56

In the table above, row 1 shows the best exit criterion. Profit factor is 2.87. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 44.44%, which is not acceptable. Avoid this strategy. Average return per trade is 4.34%, which is very good. Sharpe Ratio is 0.053, 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.
RELINFRA Performance, Profit Factor:2.87

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019314 Feb 2019 (7.94%), 09 May 2019 (-1.87%), 25 Jun 2019 (-0.38%)
2018109 Oct 2018 (5.79%)
2016215 Nov 2016 (-5.01%), 22 Nov 2016 (1.31%)
2014214 Oct 2014 (-4.49%), 16 Oct 2014 (14.62%)
2013201 Apr 2013 (-1.57%), 04 Apr 2013 (-1.6%)
2012102 Jan 2012 (69.84%)
2011226 May 2011 (4.05%), 26 Aug 2011 (11.44%)
2010325 Aug 2010 (-3.07%), 01 Dec 2010 (-3.67%), 03 Dec 2010 (-4.3%)
2008303 Jul 2008 (6.78%), 17 Oct 2008 (-11.72%), 24 Oct 2008 (46.27%)
2006231 May 2006 (-7.62%), 01 Jun 2006 (-8.86%)
2004208 Dec 2004 (-3.51%), 17 Dec 2004 (-4.38%)
2000130 Oct 2000 (5.56%)
1997303 Sep 1997 (2.3%), 13 Nov 1997 (-0.43%), 24 Nov 1997 (3.69%)



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