Study: Sell TORNTPHARM 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 TORNTPHARM 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 TORNTPHARM 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
121064.6330191163.334471.9315990.91-5809.27-15752.10.771.330.022702.15
240272.7630171356.677402.4430304.09-6582.21-23369.921.121.470.0281342.43
344520.8330171356.678562.5932305.13-7772.55-22888.61.11.440.0281484.03
434319.12301812607728.3724218.42-8732.63-31551.070.881.330.0231143.97
514390.94301812607890.6426802.83-10636.71-50057.940.741.110.0078479.7
611810.06301812608742.0626581.61-12128.92-70087.730.721.080.0051393.67
717798.1430171356.6710223.7526780.44-12000.43-91541.140.851.110.0062593.27
8-3602.0230191163.339754.1834847.96-17175.59-90249.960.570.98-0.0012-120.07
9-65024.5430191163.338945.1639164.63-21362.06-99784.80.420.72-0.019-2167.48
10-90229.58301812609887.5231667.25-22350.41-1087570.440.66-0.025-3007.65
Although, strategy looks good but profit factor on day 1 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
atrtrail34.5117826.6943162737.2111646.4141020.41-6241.33-12318.371.871.110.0074414.57
atrtrail23.714634.543162737.2111446.927346.94-6241.33-12318.371.831.090.0069340.34
atrnil26.07-24970.2641113026.8318870.0127346.94-7751.34-13358.822.430.89-0.01-609.03
atrnil38.46-71284.84173417.0728397.241020.41-7943.09-13358.823.580.74-0.026-1738.65
atrtrail-14.74-70494.2942142833.337435.1324211.14-6235.22-12318.371.190.6-0.044-1678.44

In the table above, row 1 shows the best exit criterion. Profit factor is 1.11. 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 37.21%, which is not acceptable. Avoid this strategy. Average return per trade is 0.21%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0074, 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.
TORNTPHARM Performance, Profit Factor:1.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018408 Jan 2018 (1.25%), 14 Aug 2018 (-1.97%), 17 Aug 2018 (-1.42%), 24 Aug 2018 (-2.34%)
2014903 Feb 2014 (0.7%), 19 Aug 2014 (-2.73%), 20 Aug 2014 (-2.77%), 08 Sep 2014 (-1.98%), 16 Sep 2014 (2.14%), 18 Nov 2014 (-3.44%), 20 Nov 2014 (-1.81%), 25 Nov 2014 (-2.97%), 05 Dec 2014 (3.89%)
2013210 Jan 2013 (1.65%), 17 Jul 2013 (-0.07%)
2012526 Mar 2012 (-2.3%), 30 Mar 2012 (-1.45%), 11 Apr 2012 (0.87%), 25 Apr 2012 (-2.87%), 10 May 2012 (-2.85%)
2010105 Apr 2010 (-3.25%)
2009331 Aug 2009 (-3.22%), 04 Sep 2009 (1.5%), 13 Nov 2009 (-0.63%)
2007104 Jun 2007 (3.72%)
2006113 Feb 2006 (10.45%)
2005116 Dec 2005 (0.25%)
2004405 Aug 2004 (-4.69%), 11 Aug 2004 (0.97%), 22 Dec 2004 (9.85%), 27 Dec 2004 (11.93%)
2003402 Jun 2003 (-3.88%), 27 Aug 2003 (-5.42%), 04 Sep 2003 (-5.63%), 09 Sep 2003 (-2.26%)
2002204 Mar 2002 (-5.83%), 05 Mar 2002 (5.35%)
2001112 Dec 2001 (-4.65%)
1999430 Aug 1999 (18.14%), 20 Sep 1999 (-3.55%), 23 Sep 1999 (-6.16%), 13 Oct 1999 (20.51%)
1997109 Jul 1997 (-4.11%)



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