Study: Sell SRTRANSFIN when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell SRTRANSFIN 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 SRTRANSFIN 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
1-5237.932181456.254257.219047.62-5847.68-14367.60.730.94-0.0051-163.68
2-25783.5632151746.886851.8634285.71-7562.44-18407.960.910.8-0.017-805.74
356123.4932181456.2511483.9185714.29-10756.2-33830.851.071.370.021753.86
468495.4932171553.1211356.4466666.67-8304.26-30845.771.371.550.0282140.48
578176.3632191359.3811304.0160952.38-10507.67-32338.311.081.570.0322443.01
6-93204.5432171553.1212663.7457142.86-20565.88-79329.610.620.7-0.024-2912.64
7-59313.8932141843.7515160.9362857.14-15087.05-12885610.78-0.014-1853.56
8-56639.4532141843.7514496.2262857.14-14421.47-99502.491.010.78-0.015-1769.98
9-59002.5932151746.8814099.9764761.9-15911.89-86567.160.890.78-0.016-1843.83
10-1381573216165011621.4452076-20256.27-92039.80.570.57-0.037-4317.41
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
atrtrail-14.38-21984.6548113722.9222561.9767021.22-7301.79-13470.563.090.92-0.0056-458.01
atrtrail34.04-66354.2148113722.9218528.3744781.14-7301.79-13470.562.540.75-0.021-1382.38
atrnil25.09-85213.354411332520609.1829854.09-9451.95-14706.642.180.73-0.031-1936.67
atrnil37.07-1156824473715.9133169.6344781.14-9401.87-14706.643.530.67-0.035-2629.13
atrtrail23.71-93330.4248113722.9216075.9929854.09-7301.79-13470.562.20.65-0.036-1944.38

In the table above, row 1 shows the best exit criterion. Profit factor is 0.92. 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 22.92%, which is not acceptable. Avoid this strategy. Average return per trade is -0.23%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SRTRANSFIN Performance, Profit Factor:0.919

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017203 Apr 2017 (2.11%), 29 Dec 2017 (-0.61%)
2016102 May 2016 (-3.55%)
2014209 Apr 2014 (3.83%), 02 Dec 2014 (-3.63%)
2012227 Jan 2012 (-0.24%), 21 Dec 2012 (-1.8%)
2010504 Aug 2010 (-3.04%), 06 Aug 2010 (-2.7%), 11 Aug 2010 (0.74%), 20 Aug 2010 (-3.13%), 24 Aug 2010 (5.61%)
2009405 May 2009 (-5.07%), 25 May 2009 (-5.76%), 26 May 2009 (-5.59%), 01 Jun 2009 (-2.78%)
20071129 May 2007 (-3.89%), 01 Jun 2007 (-1.71%), 11 Jun 2007 (-0.19%), 12 Nov 2007 (-4.58%), 15 Nov 2007 (-5.78%), 10 Dec 2007 (-4.46%), 13 Dec 2007 (-4.76%), 18 Dec 2007 (-5.2%), 20 Dec 2007 (-5.26%), 26 Dec 2007 (-5.27%), 27 Dec 2007 (1.21%)
2006214 Nov 2006 (-0.97%), 28 Nov 2006 (-3.06%)
2005518 Mar 2005 (6.61%), 20 Jul 2005 (8.95%), 20 Sep 2005 (-6.1%), 03 Oct 2005 (-6.74%), 04 Oct 2005 (31.08%)
2004408 Jan 2004 (26.95%), 15 Sep 2004 (-3.46%), 16 Sep 2004 (-0.47%), 10 Dec 2004 (-3.99%)
2003726 Mar 2003 (-1.7%), 01 Dec 2003 (-3.14%), 11 Dec 2003 (-2.25%), 15 Dec 2003 (-2.52%), 17 Dec 2003 (-6.63%), 29 Dec 2003 (-4.66%), 31 Dec 2003 (-5.53%)
2001211 Jun 2001 (3.5%), 26 Jun 2001 (-4.9%)
1999127 Aug 1999 (33.51%)



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