Study: Sell SHREECEM when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell SHREECEM 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 SHREECEM 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
1-1004.2441202148.783894.1812037.04-3756.56-18541.671.040.99-0.00095-24.49
2-51785.0541192246.345456.6925546.22-7066.46-21143.930.770.67-0.03-1263.05
3-52461.7541162539.029674.8726060.61-8290.39-26130.651.170.75-0.023-1279.55
4-61343.8641182343.910117.7522540.74-10585.37-37688.440.960.75-0.023-1496.19
5-53581.4141172441.4611341.3432360.54-10266.01-25819.831.10.78-0.02-1306.86
6-67935.1841162539.0211235.9428039.83-9908.41-29749.341.130.73-0.025-1656.96
7-53616.4941192246.3411381.9428907.56-12266.97-33656.730.930.8-0.019-1307.72
8-68078.2541182343.912959.7838991.6-13102.36-38040.060.990.77-0.021-1660.45
9-93522.5641182343.914056.9746050.42-15067.31-42193.260.930.73-0.027-2281.04
10-12303941182343.914696.3157142.86-16850.96-47272.730.870.68-0.031-3000.94

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.99. 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 48.78%, which is not acceptable. Avoid this strategy. Average return per trade is -0.012%, we advise you not to use this strategy.

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
nilnil-11-1004.2441202148.783894.1812037.04-3756.56-18541.671.040.99-0.00095-24.49
atrnil24.8-82364.4366174925.7618115.4529025.62-7965.86-13815.882.270.79-0.022-1247.95
atrtrail23.47-11556672165622.2214762.5129025.62-6281.54-13815.882.350.67-0.033-1605.08
atrnil36.91-18463866115516.672452338102.34-8261.65-14512.812.970.59-0.046-2797.54
atrtrail33.82-15213072165622.2212477.2528261.83-6281.54-13815.881.990.57-0.048-2112.92
atrtrail-14.31-19395272165622.229863.3721216.51-6281.54-13815.881.570.45-0.072-2693.78

In the table above, row 1 shows the best exit criterion. Profit factor is 0.99. 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 48.78%, which is not acceptable. Avoid this strategy. Average return per trade is -0.012%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SHREECEM Performance, X=1, Profit Factor:0.987

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019126 Apr 2019 (1.13%)
2017104 May 2017 (0.56%)
2016118 Jul 2016 (-0.68%)
2015229 Jan 2015 (-0.69%), 12 Feb 2015 (-1.67%)
2014505 Mar 2014 (-3.7%), 26 Mar 2014 (-2.84%), 11 Apr 2014 (0.3%), 02 Jun 2014 (-1.69%), 15 Sep 2014 (1.39%)
2012701 Feb 2012 (-1.64%), 02 Mar 2012 (0.24%), 16 Mar 2012 (-0.21%), 03 Apr 2012 (1.87%), 13 Aug 2012 (-0.44%), 15 Oct 2012 (0.52%), 05 Nov 2012 (-0.12%)
2010112 Jan 2010 (-1.01%)
2009520 Mar 2009 (-1.12%), 06 Apr 2009 (-2.61%), 03 Jun 2009 (-0.5%), 17 Jun 2009 (1.45%), 05 Aug 2009 (0.51%)
2007306 Jul 2007 (-0.41%), 20 Jul 2007 (0.82%), 08 Oct 2007 (-0.06%)
2006309 Mar 2006 (-5.0%), 18 Apr 2006 (2.53%), 14 Nov 2006 (2.2%)
2005212 Aug 2005 (-1.12%), 02 Sep 2005 (0.32%)
2004130 Apr 2004 (2.98%)
2003428 May 2003 (-1.36%), 17 Jun 2003 (-3.29%), 02 Jul 2003 (6.02%), 26 Dec 2003 (-9.27%)
1999323 Jun 1999 (4.7%), 15 Jul 1999 (0.66%), 12 Aug 1999 (3.1%)
1998205 May 1998 (2.44%), 29 Sep 1998 (5.21%)



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