Study: Sell STAR when there is bearish divergence in RSI and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell STAR when there is bearish 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: sell STAR 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
140074.8220155754592.5610102.84-5762.71-22702.460.82.390.0732003.74
254711.3520155756428.6424002.82-8343.65-26160.150.772.310.0722735.57
358510.9220155756861.4619272.86-8882.19-19696.970.772.320.0782925.55
485315.820146709817.6419125.68-8688.53-19836.211.132.640.0934265.79
5137147201557510520.8126967.88-4133.08-16378.532.557.640.166857.33
6179476201376516305.7337205.08-4642.69-12329.393.516.520.168973.78
7110285201376513658.7531716.21-9611.19-29215.21.422.640.0895514.27
892907.68201195516644.8437388.29-10020.62-37357.141.662.030.0634645.38
9108892201376514637.3840871.79-11627.76-35245.461.262.340.0775444.58
10130904201376515399.1746160.86-9897.91-26820.511.562.890.096545.19

From the table above, we see that best results are achieved by holding positions for 5 trading days. Profit factor is 7.64. Strategy is very good and impressively bearish. Percentage of profitable trades is 75%, which is good. Average return per trade is 3.43%, which is very good.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
STAR Performance, X=5, Profit Factor:7.64

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019122 Jan 2019 (10.52%)
2018106 Sep 2018 (0.55%)
2017128 Jul 2017 (6.7%)
2015106 Apr 2015 (1.95%)
2014311 Apr 2014 (-0.17%), 16 Jun 2014 (6.37%), 08 Dec 2014 (1.36%)
2013127 Nov 2013 (0.02%)
2012203 Feb 2012 (-0.42%), 05 Dec 2012 (8.63%)
2011125 Oct 2011 (-1.27%)
2010219 Jan 2010 (0.78%), 29 Jun 2010 (-0.28%)
2009321 Apr 2009 (11.43%), 04 Jun 2009 (13.48%), 09 Dec 2009 (2.11%)
2005107 Jun 2005 (3.83%)
2003322 Sep 2003 (1.49%), 13 Oct 2003 (9.68%), 09 Dec 2003 (-8.19%)

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-15137147201557510520.8126967.88-4133.08-16378.532.557.640.166857.33
atrtrail24.4653442.7726121446.1513178.1327084.39-7478.2-13543.731.761.510.042055.49
atrtrail35.0441346.826121446.1512170.1339613.94-7478.2-13543.731.631.390.031590.26
atrtrail-15.2327462.4826121446.1511013.1135417.58-7478.2-13543.731.471.260.0221056.25
atrnil26.724240.532391439.1318665.9127084.39-10268.05-18023.61.821.170.0171053.94
atrnil38.1325672.272371630.4327152.3140626.58-10274.62-18023.62.641.160.0151116.19

In the table above, row 1 shows the best exit criterion. Profit factor is 7.64. Strategy is very good and impressively bearish. Percentage of profitable trades is 75%, which is good. Average return per trade is 3.43%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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