Study: Buy TATASTEEL when there is bullish divergence in RSI and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy TATASTEEL when there is bullish 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: buy 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. sell 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
16416.1126141253.854541.4920587.07-4763.73-13202.610.951.110.0077246.77
29551.39261313506674.5326794.87-5939.81-10526.321.121.120.0086367.36
316018.526151157.699543.7937948.72-11558.03-34986.120.831.130.0087616.1
4-7954.132613135012253.6951923.08-12865.55-58786.20.950.95-0.0033-305.93
5-50979.226121446.1512394.4943846.15-14265.22-66481.550.870.74-0.021-1960.74
65661.4726121446.1514289.8856025.64-11844.08-55255.851.211.030.0022217.75
7-12712.8826141253.8513202.2453846.15-16462.02-51765.170.80.94-0.005-488.96
873333.3526121446.1521407.2374230.77-13110.96-33597.781.631.40.0252820.51
984886.342613135020848.9487179.49-14319.22-25101.811.461.460.0273264.86
1078490.4126121446.1522695.9974358.97-13847.25-32225.911.641.40.0263018.86
Although, strategy looks good but profit factor on day 5 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-15.9899902.4141142734.1523229.8273301.59-8345-32995.842.781.440.0252436.64
atrtrail35.0772684.341142734.1521285.6748057.54-8345-32995.842.551.320.0211772.79
atrtrail24.2745798.5141142734.1519365.2681249.46-8345-32995.842.321.20.0131117.04
atrnil39.3244901.483782921.6242073.51121874-10058.16-32995.844.181.150.00941213.55
atrnil25.2718597.7637112629.7325604.8781249.46-10117.53-32995.842.531.070.0052502.64

In the table above, row 1 shows the best exit criterion. Profit factor is 1.44. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 34.15%, which is not acceptable. Avoid this strategy. Average return per trade is 1.22%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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.
TATASTEEL Performance, Profit Factor:1.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019219 Aug 2019 (-4.78%), 21 Aug 2019 (-4.22%)
2015321 Jul 2015 (-0.96%), 13 Aug 2015 (3.73%), 25 Aug 2015 (1.61%)
2014227 Jan 2014 (0.45%), 23 Dec 2014 (2.54%)
2013521 Feb 2013 (-2.59%), 04 Apr 2013 (-1.92%), 12 Apr 2013 (1.37%), 05 Aug 2013 (-4.65%), 06 Aug 2013 (20.16%)
2011322 Aug 2011 (-2.22%), 24 Aug 2011 (-3.7%), 26 Aug 2011 (13.6%)
2010418 May 2010 (-4.54%), 21 May 2010 (-4.62%), 27 May 2010 (-2.98%), 01 Jun 2010 (-3.3%)
2008420 Oct 2008 (-2.96%), 22 Oct 2008 (-13.82%), 23 Oct 2008 (-16.5%), 27 Oct 2008 (24.03%)
2004123 Aug 2004 (14.76%)
2001424 Jul 2001 (-1.84%), 14 Sep 2001 (-4.15%), 17 Sep 2001 (-2.81%), 28 Sep 2001 (11.46%)
2000327 Sep 2000 (-0.78%), 10 Oct 2000 (-3.65%), 17 Oct 2000 (10.74%)
1999212 Apr 1999 (-1.32%), 28 Apr 1999 (36.65%)
1998403 Aug 1998 (-2.37%), 11 Aug 1998 (-5.04%), 31 Aug 1998 (-4.38%), 02 Sep 1998 (7.91%)
1997327 Nov 1997 (-4.43%), 01 Dec 1997 (-4.44%), 11 Dec 1997 (13.59%)
1996122 Jan 1996 (-3.68%)



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