Study: Sell SYNDIBANK when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell SYNDIBANK 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 SYNDIBANK 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
129720.3429151451.724657.348379.12-2867.13-11021.191.621.740.0511024.84
288427.0729191065.527418.716580.76-5252.82-17189.631.412.680.0893049.21
363145.682920968.977272.0422404.37-9143.89-18047.340.81.770.0522177.44
435401.529131644.8311746.2530054.64-7331.23-20079.131.61.30.0231220.74
520925.3129141548.2811813.4335491.61-9630.85-23874.491.231.140.012721.56
6-22216.8529171258.629503.1819984.01-15314.24-36263.740.620.88-0.012-766.1
7-60047.6729131644.8311057.223661.07-12736.95-36538.460.870.71-0.031-2070.61
8-55404.2329141548.2812202.9524671.92-15083.04-39697.80.810.76-0.026-1910.49
9-21239.2729131644.8313895.8627122.38-12617.84-40796.71.10.89-0.01-732.39
10-36647.5529141548.2815776.1132965.82-17167.54-48008.390.920.86-0.015-1263.71

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.68. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 65.52%, which is good. Average return per trade is 1.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.089, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
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.
SYNDIBANK Performance, X=2, Profit Factor:2.68

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019108 Jan 2019 (2.76%)
2017110 May 2017 (1.1%)
2014311 Apr 2014 (4.74%), 27 May 2014 (1.58%), 11 Jun 2014 (7.81%)
2012303 Feb 2012 (-5.54%), 17 Feb 2012 (8.29%), 12 Oct 2012 (-4.29%)
2010212 Oct 2010 (-3.89%), 03 Nov 2010 (-1.33%)
2009226 May 2009 (-8.59%), 30 Sep 2009 (5.78%)
2007114 May 2007 (-0.3%)
2006216 Aug 2006 (1.63%), 05 Sep 2006 (3.21%)
2005305 Jan 2005 (1.12%), 25 Jul 2005 (3.62%), 21 Sep 2005 (3.97%)
2004206 Jan 2004 (-1.2%), 09 Dec 2004 (0.94%)
2003421 Jan 2003 (3.15%), 16 Apr 2003 (3.56%), 06 May 2003 (5.74%), 25 Oct 2003 (3.16%)
2002425 Apr 2002 (0.37%), 20 Jun 2002 (7.92%), 05 Dec 2002 (-0.33%), 23 Dec 2002 (-0.3%)
2001129 May 2001 (-0.5%)

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-1288427.0729191065.527418.716580.76-5252.82-17189.631.412.680.0893049.21
atrtrail23.4359380.1846172936.9614317.4124117.63-6345.37-12785.62.261.320.0271290.87
atrnil24.6562689.9443172639.5316979.1524117.63-8690.6-12785.61.951.280.0261457.91
atrtrail34.1337555.346163034.7813916.8428004.68-6170.47-12785.62.261.20.016816.42
atrtrail-14.57-22071.3546153132.6111127.8727801.67-6096.43-12785.61.830.88-0.011-479.81
atrnil37.44-34663.0143103323.2625171.1436176.45-8678.01-12785.62.90.88-0.012-806.12

In the table above, row 1 shows the best exit criterion. Profit factor is 2.68. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 65.52%, which is good. Average return per trade is 1.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.089, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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