Study: Buy RPOWER when there is bullish divergence in RSI

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In this study, we evaluate the performance of strategy "Buy RPOWER 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 RPOWER 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
1-88.28178947.064479.458740.8-3991.54-11946.051.121-0.00029-5.19
2-16071.721771041.184470.216969.83-4736.32-12403.10.940.66-0.051-945.4
3-261.49178947.068409.3228703.7-7504.01-18604.651.121-0.00044-15.38
41516.431771041.1812918.136111.11-8891.03-33318.911.451.020.001889.2
551905.5178947.0620202.2567657.41-12190.27-44829.081.661.470.0393053.26
644411.93178947.0620824.0375322.64-13575.59-37559.51.531.360.0312612.47
727603.68179852.9416737.0164137.66-15378.67-37250.21.091.220.0221623.75
810289.71179852.9414927.8564685.18-15507.62-34159.340.961.080.0085605.28
9-11167.221771041.1814338.9541141.96-11153.99-35811.351.290.9-0.012-656.9
1020348.891710758.8211392.6155220.96-13368.17-45456.970.851.220.0191196.99
Although, strategy looks good but profit factor on day 2 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
atrtrail35.8368902.624101441.6719247.1279223.59-8826.33-20191.052.181.560.042870.94
atrtrail25.4248702.9924101441.6717227.1652815.73-8826.33-20191.051.951.390.0352029.29
atrtrail-16.2134859.2224101441.6715842.7851382.37-8826.33-20191.051.791.280.0251452.47
atrnil313.5812784.271951426.3238574.3561329.32-12863.39-38174.6331.070.0081672.86
atrnil29.9-31963.89206143024687.2740886.22-12863.39-38174.631.920.82-0.025-1598.19

In the table above, row 1 shows the best exit criterion. Profit factor is 1.56. 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 41.67%, which is not acceptable. Avoid this strategy. Average return per trade is 1.44%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, 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.
RPOWER Performance, Profit Factor:1.56

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019312 Feb 2019 (6.04%), 03 May 2019 (-10.1%), 08 May 2019 (39.61%)
2018205 Oct 2018 (-7.02%), 09 Oct 2018 (8.46%)
2016215 Nov 2016 (-3.51%), 25 Nov 2016 (2.35%)
2015111 Jun 2015 (1.63%)
2014204 Sep 2014 (0.16%), 16 Sep 2014 (-0.33%)
2013121 Feb 2013 (-2.59%)
2012114 May 2012 (-0.95%)
2011414 Feb 2011 (-1.82%), 22 Aug 2011 (-4.48%), 26 Aug 2011 (4.23%), 12 Sep 2011 (3.91%)
2010211 Aug 2010 (-2.54%), 17 Aug 2010 (-2.52%)
2008613 Jun 2008 (-5.56%), 20 Jun 2008 (-7.29%), 02 Jul 2008 (2.07%), 15 Jul 2008 (27.77%), 20 Oct 2008 (-4.18%), 22 Oct 2008 (-8.91%)



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