Study: Sell TITAN 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 TITAN 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 TITAN 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
1-10430.237221559.463897.0815941.27-6411.07-16976.690.610.89-0.0082-281.9
2-52099.237191851.353348.5418783.54-6428.97-15828.170.520.55-0.043-1408.09
3-39862.8737152240.545125.8912899.84-5306.87-27986.980.970.66-0.031-1077.37
4-42274.1437152240.546701.3713738.86-6490.67-26592.281.030.7-0.028-1142.54
5-73682.1137181948.654571.9215836.39-8209.3-26902.220.560.53-0.047-1991.41
6-12174037162143.245293.4216465.65-9830.21-42393.520.540.41-0.06-3290.26
7-13692337162143.246737.6720660.72-11653.59-47068.610.580.44-0.054-3700.61
8-14562537132435.147165.1718864.77-9948.83-52258.110.720.39-0.062-3935.8
9-13015837181948.656494.3821619.37-13002.99-50533.320.50.47-0.05-3517.78
10-14950637172045.957287.5421466.91-13669.73-68280.870.530.45-0.05-4040.71

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.89. 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 59.46%, which is not acceptable. Avoid this strategy. Average return per trade is -0.14%, we advise you not to use 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-11-10430.237221559.463897.0815941.27-6411.07-16976.690.610.89-0.0082-281.9
atrtrail24.31-36522.3755203536.368053.8924202.96-5645.72-11463.361.430.82-0.016-664.04
atrnil26.14-1257245010402015675.423386.5-7061.95-11463.362.220.55-0.054-2514.48
atrtrail34.65-88061.5455203536.365476.9323628.97-5645.72-11463.360.970.55-0.049-1601.12
atrtrail-14.76-98984.7955203536.364930.7719296.83-5645.72-11463.360.870.5-0.06-1799.72
atrnil37.08-28843350347618105.5623628.97-7292.54-11693.252.480.16-0.18-5768.65

In the table above, row 1 shows the best exit criterion. Profit factor is 0.89. 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 59.46%, which is not acceptable. Avoid this strategy. Average return per trade is -0.14%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TITAN Performance, X=1, Profit Factor:0.892

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019103 Jun 2019 (1.44%)
2018109 Apr 2018 (-0.17%)
2017420 Feb 2017 (-5.26%), 14 Aug 2017 (0.43%), 15 Nov 2017 (0.36%), 30 Nov 2017 (1.67%)
2016205 Jul 2016 (-0.24%), 20 Jul 2016 (0.7%)
2014121 May 2014 (-6.75%)
2012112 Oct 2012 (1.35%)
2011109 Jun 2011 (-1.75%)
20101020 Jan 2010 (2.02%), 11 Feb 2010 (1.16%), 04 Mar 2010 (1.97%), 26 Apr 2010 (-0.26%), 10 May 2010 (0.44%), 19 Jul 2010 (-0.6%), 02 Aug 2010 (-0.03%), 17 Aug 2010 (1.77%), 06 Oct 2010 (1.47%), 09 Nov 2010 (-8.49%)
2009105 Jun 2009 (2.91%)
2007121 Sep 2007 (0.88%)
2006221 Aug 2006 (0.2%), 05 Sep 2006 (1.01%)
2005408 Jun 2005 (-3.1%), 27 Jun 2005 (2.38%), 14 Jul 2005 (-1.56%), 30 Nov 2005 (-3.15%)
2004126 Aug 2004 (-4.99%)
2003103 Nov 2003 (2.75%)
2002103 Dec 2002 (1.78%)
2001120 Nov 2001 (-7.79%)
1999109 Dec 1999 (-3.95%)
1998230 Sep 1998 (7.96%), 31 Dec 1998 (7.97%)
1997104 Aug 1997 (0.24%)



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