Study: Sell TATAGLOBAL 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 TATAGLOBAL 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 TATAGLOBAL 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
121022.1639251464.12572.177550.48-3091.58-9002.120.831.490.03539.03
2-32042.6639172243.594252.579141.47-4742.56-13664.930.90.69-0.029-821.61
3-94663.6639182146.153432.38455.28-7449.77-21009.150.460.39-0.073-2427.27
4-10364539172243.593626.679756.1-7513.57-30805.550.480.37-0.069-2657.57
5-12594839132633.334339.717919.84-7014.02-30244.910.620.31-0.088-3229.44
6-13730339122730.777236.513092.63-8301.53-33962.820.870.39-0.071-3520.59
7-17605039132633.336867.815133.89-10205.07-35140.770.670.34-0.079-4514.11
8-18117239142535.97486.5917745.83-11439.39-36183.520.650.37-0.078-4645.45
9-19754239142535.98420.8321707.64-12617.36-32844.450.670.37-0.073-5065.19
10-23399439132633.337970.9625005.99-12985.26-39079.750.610.31-0.088-5999.85

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.49. 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 64.1%, which is good. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.03, 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. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-1121022.1639251464.12572.177550.48-3091.58-9002.120.831.490.03539.03
atrtrail23.51-43884.2868194927.9411570.7520019.59-5382.21-10406.582.150.83-0.015-645.36
atrnil24.23-58594.3565184727.6914928.7420019.59-6964.08-10406.582.140.82-0.018-901.45
atrtrail33.97-74206.4667184926.8710491.2430029.38-5368.34-10406.581.950.72-0.025-1107.56
atrtrail-14.46-79341.6867175025.3710958.3636644.57-5312.67-10406.582.060.7-0.025-1184.2
atrnil35.56-2317326275511.2921699.530029.38-6975.06-10406.583.110.4-0.081-3737.61

In the table above, row 1 shows the best exit criterion. Profit factor is 1.49. 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 64.1%, which is good. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.03, 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. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAGLOBAL Performance, X=1, Profit Factor:1.49

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019228 May 2019 (1.24%), 12 Jun 2019 (0.51%)
2017315 Nov 2017 (-0.42%), 29 Nov 2017 (-2.46%), 26 Dec 2017 (0.13%)
2012308 Feb 2012 (-4.5%), 14 Aug 2012 (-0.0%), 10 Oct 2012 (-2.5%)
2010113 Jan 2010 (0.35%)
2009304 May 2009 (0.4%), 06 Aug 2009 (2.9%), 24 Aug 2009 (1.41%)
2007209 May 2007 (-0.29%), 29 May 2007 (3.78%)
2005904 Jan 2005 (2.76%), 08 Jun 2005 (1.55%), 04 Jul 2005 (1.17%), 02 Aug 2005 (-0.81%), 19 Aug 2005 (1.12%), 02 Sep 2005 (0.38%), 19 Sep 2005 (0.47%), 01 Dec 2005 (-0.49%), 15 Dec 2005 (-2.32%)
2004206 Jan 2004 (-0.25%), 20 Dec 2004 (-1.11%)
2003403 Apr 2003 (0.87%), 22 May 2003 (0.36%), 09 Jun 2003 (3.66%), 19 Dec 2003 (2.33%)
2002225 Jun 2002 (0.16%), 06 Dec 2002 (0.83%)
2001316 Jan 2001 (2.15%), 12 Nov 2001 (-2.69%), 27 Nov 2001 (0.33%)
1999206 Jan 1999 (0.27%), 01 Sep 1999 (1.38%)
1997323 May 1997 (1.62%), 12 Jun 1997 (-3.51%), 27 Jun 1997 (-0.28%)



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