Study: Sell TATASTEEL when there is bearish divergence in RSI

home > technical-strategy > tatasteel > 41

In this study, we evaluate the performance of strategy "Sell TATASTEEL 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 TATASTEEL 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
1-3273.7139221756.413149.849277.68-4268.83-14852.910.740.95-0.0035-83.94
2-40245.0139182146.157087.9417473.96-7991.81-32997.330.890.76-0.02-1031.92
343.7439201951.2810133.7971916.79-10664.84-46621.620.9511.3e-051.12
49176.2739192048.7212225.2872263.5-11155.2-53690.231.11.040.0027235.29
51418.3939211853.8511179.2973179.79-12963.71-44620.580.861.010.0004136.37
6-11580.3639172243.5914587.3868177.32-11798.44-41112.271.240.96-0.0032-296.93
730390.5339211853.8512695.5366295.2-13123.09-34001.790.971.130.009779.24
841967.8739231658.9711634.8570331.85-14102.11-27754.680.831.190.0121076.1
911229.2939201951.2814425.6968226.84-14593.93-34682.180.991.040.003287.93
10-10569.2839201951.2814809.4971347.2-16145.21-35829.960.920.97-0.0027-271.01
Although, strategy looks good but profit factor on day 2 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
atrtrail-13.98-45501.276015452512274.8672866.3-5102.76-12644.592.410.8-0.013-758.35
atrnil24.25-99674.4157144324.5614160.6722447.66-6928.46-12644.592.040.67-0.038-1748.67
atrtrail33.33-77989.396015452510108.9833671.49-5102.76-12644.591.980.66-0.03-1299.82
atrtrail23.15-88675.3260164426.678328.3822447.66-5043.85-12644.591.650.6-0.041-1477.92
atrnil34.95-1462635794815.7920898.833671.49-6965.67-12644.5930.56-0.049-2566.01

In the table above, row 1 shows the best exit criterion. Profit factor is 0.8. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 25%, which is not acceptable. Avoid this strategy. Average return per trade is -0.38%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATASTEEL Performance, Profit Factor:0.802

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017611 Jul 2017 (-1.95%), 18 Jul 2017 (0.79%), 24 Aug 2017 (-0.87%), 01 Sep 2017 (-1.39%), 19 Sep 2017 (-1.86%), 20 Sep 2017 (4.64%)
2016217 Mar 2016 (-3.62%), 30 Mar 2016 (0.34%)
2014223 May 2014 (-1.26%), 11 Jun 2014 (2.53%)
2013226 Nov 2013 (-2.96%), 11 Dec 2013 (-0.01%)
2012327 Jan 2012 (-0.12%), 01 Feb 2012 (0.52%), 15 Feb 2012 (-0.29%)
2010213 Apr 2010 (9.23%), 21 Sep 2010 (-2.76%)
2009208 Apr 2009 (-6.21%), 28 May 2009 (-6.32%)
2007423 Apr 2007 (-4.57%), 25 Apr 2007 (1.48%), 25 Oct 2007 (-5.4%), 26 Oct 2007 (12.55%)
2006823 Mar 2006 (-3.09%), 12 Apr 2006 (-3.9%), 17 Apr 2006 (-3.0%), 19 Apr 2006 (-3.91%), 20 Apr 2006 (-3.85%), 25 Apr 2006 (-4.78%), 26 Apr 2006 (-4.64%), 02 May 2006 (-0.45%)
2005504 Jan 2005 (5.2%), 28 Feb 2005 (-2.24%), 04 Mar 2005 (-2.26%), 11 Mar 2005 (4.93%), 11 Aug 2005 (-2.74%)
2004314 Jan 2004 (-1.32%), 06 Aug 2004 (36.43%), 20 Dec 2004 (-2.15%)
20031010 Jul 2003 (-2.72%), 25 Jul 2003 (-3.49%), 28 Jul 2003 (-3.49%), 29 Jul 2003 (-2.29%), 01 Aug 2003 (-3.33%), 06 Aug 2003 (-3.34%), 19 Aug 2003 (-0.53%), 22 Aug 2003 (0.65%), 05 Sep 2003 (-0.41%), 17 Oct 2003 (1.98%)
2002102 Dec 2002 (-0.38%)
2001213 Feb 2001 (-0.45%), 27 Nov 2001 (-0.71%)
2000206 Dec 2000 (-3.35%), 11 Dec 2000 (-1.48%)
1999306 Jan 1999 (-3.55%), 08 Jan 1999 (-3.3%), 05 Jul 1999 (-1.2%)
1998218 Mar 1998 (-2.88%), 27 Mar 1998 (0.25%)
1997128 Jan 1997 (10.52%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play