Study: Sell TATAPOWER 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 TATAPOWER 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 TATAPOWER 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
1-29465.2221111052.382153.054102.95-5314.87-18138.140.410.45-0.054-1403.11
2828621111052.386139.0914857.74-5924.4-16696.71.041.140.011394.57
33911921111052.388362.7615606.68-5287.14-16336.341.581.740.0481862.81
44754.5121111052.389791.0226710.82-10294.67-48793.150.951.050.0031226.41
547079.912113861.98976.1122786.36-8701.19-14898.631.031.680.0442241.9
633627.462112957.147025.6913765.18-5631.21-12258.371.251.660.0441601.31
761311.692114766.677343.4421832.59-5928.07-14323.011.242.480.0712919.6
842933.872112957.148471.8620957.37-6525.39-18440.461.31.730.0442044.47
955259.272114766.678789.9827196.95-9685.79-30347.730.911.820.0462631.39
1045886.42113861.98620.1725005.95-8271.97-20758.691.041.690.042185.07
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
TATAPOWER Performance, X=7, Profit Factor:2.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017129 Nov 2017 (3.63%)
2014102 Jun 2014 (-0.9%)
2012101 Feb 2012 (-0.59%)
2010111 Oct 2010 (2.19%)
2009226 May 2009 (1.95%), 09 Jun 2009 (-3.06%)
2007110 Oct 2007 (10.92%)
2006127 Mar 2006 (1.64%)
2004315 Jan 2004 (0.47%), 01 Oct 2004 (-0.85%), 22 Dec 2004 (-3.5%)
2003302 Jun 2003 (-7.16%), 26 Aug 2003 (1.66%), 18 Nov 2003 (0.15%)
2001308 Jan 2001 (4.47%), 16 Feb 2001 (1.44%), 22 Nov 2001 (6.0%)
2000219 Jun 2000 (4.68%), 20 Dec 2000 (-4.69%)
1996219 Feb 1996 (3.76%), 20 Jun 1996 (8.45%)

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
atrnil24.8443841.1932131940.6215581.6423747.74-8353.69-13072.521.871.280.0231370.04
atrtrail23.221942.8135152042.8610588.619925.62-6844.31-13486.361.551.160.013626.94
atrnil36.6612748.253292328.1222729.0935621.61-8339.72-13072.522.731.070.0056398.38
atrtrail33.711700.3935152042.869239.1124949.08-6844.31-13486.361.351.010.0009948.58
atrtrail-14.11-22491.0135152042.867626.3520758.94-6844.31-13486.361.110.84-0.015-642.6

In the table above, row 1 shows the best exit criterion. Profit factor is 1.28. 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 40.62%, which is not acceptable. Avoid this strategy. Average return per trade is 0.69%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAPOWER Performance, Profit Factor:1.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017129 Nov 2017 (5.2%)
2014302 Jun 2014 (-4.54%), 05 Jun 2014 (-4.33%), 09 Jun 2014 (8.18%)
2012201 Feb 2012 (-3.51%), 02 Feb 2012 (7.14%)
2010111 Oct 2010 (4.63%)
2009326 May 2009 (-5.12%), 09 Jun 2009 (-5.0%), 11 Jun 2009 (9.86%)
2007110 Oct 2007 (-6.54%)
2006127 Mar 2006 (6.2%)
2004515 Jan 2004 (8.32%), 01 Oct 2004 (-2.55%), 04 Oct 2004 (-2.58%), 22 Dec 2004 (-2.54%), 31 Dec 2004 (-2.6%)
2003502 Jun 2003 (-2.51%), 09 Jun 2003 (-2.78%), 26 Aug 2003 (-3.74%), 02 Sep 2003 (6.99%), 18 Nov 2003 (7.76%)
2001502 Jan 2001 (-4.61%), 08 Jan 2001 (9.96%), 16 Feb 2001 (-6.09%), 20 Feb 2001 (11.87%), 22 Nov 2001 (-4.47%)
2000319 Jun 2000 (-6.09%), 26 Jun 2000 (-6.1%), 20 Dec 2000 (8.23%)
1996219 Feb 1996 (-3.67%), 20 Jun 1996 (6.93%)



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