Study: Sell TATAELXSI when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell TATAELXSI 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 TATAELXSI 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
1-88917.7538152339.475652.6113149.59-7552.48-20137.30.750.49-0.056-2339.94
2-12160538172144.749507.1938818.63-13487.04-33423.670.70.57-0.043-3200.14
3-16448538162242.1110300.731797.07-14968.03-49885.580.690.5-0.051-4328.56
4-29525038162242.118032.0829400.98-19261.98-75057.210.420.3-0.079-7769.75
5-28254038172144.747271.8123451.23-19340.98-71700.690.380.3-0.075-7435.26
6-292401381919509199.4922322.26-24589.01-68115.660.370.37-0.072-7694.76
7-28163438201852.6311173.1827872.86-28060.99-81283.580.40.44-0.062-7411.43
8-36323537152240.5412533.2627805.17-25056.08-71349.030.50.34-0.079-9817.16
9-32922037142337.8413840.7829339.85-22738.75-68047.10.610.37-0.074-8897.85
10-24355837162143.2411993.9733343.72-20736.28-74019.250.580.44-0.057-6582.66
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
atrnil23.4-26175667145320.920306.225257.84-10302.69-13606.591.970.52-0.062-3906.8
atrtrail-13.43-21773470175324.2913840.6151313.52-8547.63-13606.591.620.52-0.052-3110.49
atrtrail33.04-22325970175324.2913515.6137886.76-8547.63-13606.591.580.51-0.056-3189.41
atrtrail22.83-23044070175324.2913093.1925257.84-8547.63-13606.591.530.49-0.062-3292
atrnil34.64-3137936795813.4331199.3737886.76-10251.51-13606.593.040.47-0.066-4683.48

In the table above, row 1 shows the best exit criterion. Profit factor is 0.52. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAELXSI Performance, Profit Factor:0.521

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019105 Nov 2019 (-3.27%)
2018229 Jan 2018 (5.96%), 02 May 2018 (6.41%)
2017305 Oct 2017 (-4.19%), 11 Oct 2017 (-3.91%), 13 Oct 2017 (-3.62%)
2015820 Jan 2015 (-3.71%), 23 Jan 2015 (-4.04%), 03 Feb 2015 (-3.97%), 25 Feb 2015 (-4.45%), 26 Feb 2015 (-4.44%), 03 Aug 2015 (-4.33%), 04 Aug 2015 (8.43%), 20 Aug 2015 (10.66%)
2014203 Jan 2014 (10.78%), 06 Mar 2014 (-4.64%)
2013605 Nov 2013 (-4.25%), 05 Dec 2013 (-5.59%), 06 Dec 2013 (-5.53%), 10 Dec 2013 (-5.23%), 17 Dec 2013 (-5.12%), 19 Dec 2013 (-5.0%)
2012410 Feb 2012 (8.57%), 10 Jul 2012 (-2.57%), 16 Jul 2012 (-3.37%), 19 Jul 2012 (7.13%)
2010105 Jan 2010 (-4.39%)
20091022 Apr 2009 (-5.85%), 23 Apr 2009 (-6.4%), 28 Apr 2009 (-6.57%), 04 May 2009 (-6.21%), 12 May 2009 (-5.82%), 15 May 2009 (-6.22%), 21 May 2009 (-6.8%), 04 Jun 2009 (12.49%), 11 Dec 2009 (-5.21%), 24 Dec 2009 (-4.8%)
2006128 Aug 2006 (-3.97%)
2004202 Jan 2004 (-4.34%), 06 Sep 2004 (-4.24%)
2003115 Dec 2003 (-4.32%)
2002419 Feb 2002 (-6.27%), 26 Apr 2002 (-5.99%), 02 May 2002 (-6.29%), 08 May 2002 (11.32%)
2001227 Nov 2001 (-6.57%), 10 Dec 2001 (12.63%)
19991207 Jan 1999 (-5.13%), 13 Jan 1999 (-5.28%), 14 Jan 1999 (-5.53%), 08 Sep 1999 (-5.3%), 20 Sep 1999 (-5.96%), 21 Sep 1999 (-5.83%), 22 Sep 1999 (11.89%), 08 Oct 1999 (-5.74%), 10 Dec 1999 (-6.76%), 16 Dec 1999 (-6.76%), 17 Dec 1999 (-6.66%), 22 Dec 1999 (12.43%)
1998609 Apr 1998 (-5.66%), 20 Apr 1998 (-6.31%), 24 Aug 1998 (-5.42%), 28 Aug 1998 (-6.11%), 31 Aug 1998 (12.4%), 31 Dec 1998 (-4.63%)
1997210 Jan 1997 (-4.49%), 22 Aug 1997 (11.04%)



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