Study: Sell SRF when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell SRF 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 SRF 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
1-68480.1939162341.033651.689321.14-5517.7-22232.560.660.46-0.053-1755.9
2-28953.9739192048.725404.4715180.27-6581.95-37116.280.820.78-0.017-742.41
3-18843.1639211853.855766.2317782.66-7774.11-34232.560.740.87-0.01-483.16
4-79291.739172243.597765.3533138.56-9604.67-54604.650.810.62-0.03-2033.12
5-74536.1639162341.039117.2933514.19-9583.16-41488.370.950.66-0.029-1911.18
6-13064839162341.039996.6732679.47-12634.57-54139.530.790.55-0.043-3349.96
7-13286439162341.039144.5130968.28-12138.08-46418.60.750.52-0.049-3406.76
8-85907.0539182146.1510568.5528798-13149.57-51906.980.80.69-0.027-2202.74
9-76786.7339201951.289869.8427712.85-14430.71-47627.910.680.72-0.025-1968.89
10-61753.139192048.729853.9927963.27-12448.95-49671.620.790.75-0.02-1583.41
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
atrtrail23.67-58576.3766204630.313607.1537604.78-7189.55-16390.91.890.82-0.016-887.52
atrnil25.17-92403.4863194430.1617289.9837604.78-9566.21-16390.91.810.78-0.023-1466.72
atrtrail34.38-95380.7365194629.2312411.9640916.77-7200.17-16390.91.720.71-0.028-1467.4
atrtrail-14.71-12814265194629.2310687.743062.95-7200.17-16390.91.480.61-0.039-1971.41
atrnil37.1-24801361105116.3924093.6240916.77-9587.23-18802.392.510.49-0.063-4065.78

In the table above, row 1 shows the best exit criterion. Profit factor is 0.82. 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 30.3%, which is not acceptable. Avoid this strategy. Average return per trade is -0.44%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SRF Performance, Profit Factor:0.823

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019322 Mar 2019 (4.54%), 23 May 2019 (-2.11%), 27 May 2019 (6.04%)
2018302 May 2018 (-0.61%), 08 May 2018 (5.72%), 29 Aug 2018 (5.8%)
2016613 Apr 2016 (-0.6%), 08 Aug 2016 (-2.74%), 09 Aug 2016 (-1.86%), 18 Aug 2016 (-2.7%), 01 Sep 2016 (-2.14%), 08 Sep 2016 (4.91%)
2015620 Apr 2015 (8.34%), 08 Jul 2015 (-3.79%), 30 Jul 2015 (-3.17%), 31 Jul 2015 (-2.81%), 04 Aug 2015 (6.67%), 28 Oct 2015 (7.05%)
2014914 Mar 2014 (-5.58%), 20 Mar 2014 (-5.19%), 01 Apr 2014 (-4.81%), 02 Apr 2014 (-2.74%), 09 Apr 2014 (-4.6%), 22 Apr 2014 (-1.53%), 27 May 2014 (-2.59%), 10 Jun 2014 (8.38%), 13 Jun 2014 (-3.94%)
2013311 Oct 2013 (-0.47%), 09 Dec 2013 (-3.22%), 18 Dec 2013 (0.13%)
2012120 Jul 2012 (-3.28%)
2010626 Aug 2010 (6.93%), 15 Oct 2010 (-2.1%), 19 Oct 2010 (-0.36%), 22 Oct 2010 (-4.33%), 28 Oct 2010 (-3.98%), 04 Nov 2010 (-2.79%)
2009427 May 2009 (-4.78%), 02 Jun 2009 (13.64%), 03 Aug 2009 (-4.48%), 10 Aug 2009 (-5.04%)
2006210 Apr 2006 (9.52%), 21 Aug 2006 (-1.19%)
2005822 Apr 2005 (-4.75%), 29 Apr 2005 (-6.46%), 03 May 2005 (-6.58%), 13 May 2005 (-5.92%), 17 May 2005 (11.58%), 14 Jul 2005 (-6.32%), 18 Jul 2005 (4.06%), 02 Aug 2005 (-1.03%)
2004130 Nov 2004 (2.4%)
2003614 May 2003 (-2.82%), 16 May 2003 (-0.78%), 29 May 2003 (-3.17%), 30 May 2003 (6.3%), 05 Sep 2003 (18.8%), 17 Nov 2003 (1.1%)
2002113 Jun 2002 (-8.2%)
2001219 Nov 2001 (-3.38%), 29 Nov 2001 (-4.54%)
1999308 Jun 1999 (-7.76%), 09 Jun 1999 (-7.2%), 16 Jun 1999 (4.16%)
1997209 Jan 1997 (-3.6%), 14 Jan 1997 (-3.29%)



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