Study: Sell ULTRACEMCO when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell ULTRACEMCO 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 ULTRACEMCO 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
1-15487.93251312523307.8412040.2-4874.15-15558.840.680.74-0.029-619.52
2-22986.86251312523798.3417246.23-6030.45-16656.120.630.68-0.035-919.47
3-30151.03251015405755.812712.17-5847.27-17992.540.980.66-0.042-1206.04
4-66605.93251015404698.79622.69-7572.86-18935.080.620.41-0.088-2664.24
5-70326.75251114444879.310049.13-8857.08-28604.660.550.43-0.079-2813.07
6-63952.96251312524212.2913366.83-9892.73-33044.950.430.46-0.066-2558.12
7-55368.43251510604113.2411965.66-11706.7-26543.690.350.53-0.057-2214.74
8-75398.94251213486410.2614615.07-11717.08-42610.960.550.51-0.062-3015.96
9-51363.79251015408112.0618700.49-8832.29-33143.420.920.61-0.047-2054.55
10-50217.5825916368995.6816963.74-8198.67-24188.871.10.62-0.05-2008.7

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.74. This strategy is not profitable and we advice you not to use it.

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-11-15487.93251312523307.8412040.2-4874.15-15558.840.680.74-0.029-619.52
atrnil25.5-57543.264012283012001.9918470.12-7198.83-11755.011.670.71-0.041-1438.58
atrtrail23.98-47920.7942132930.958448.3618470.12-5439.63-11598.351.550.7-0.039-1140.97
atrtrail34.5-83551.2542123028.576433.5820485.21-5358.47-11598.351.20.48-0.078-1989.32
atrtrail-14.81-88486.2742123028.576022.3317161.81-5358.47-11598.351.120.45-0.086-2106.82
atrnil37.92-1508254053512.518413.1327705.18-6939.73-11755.012.650.38-0.11-3770.62

In the table above, row 1 shows the best exit criterion. Profit factor is 0.74. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ULTRACEMCO Performance, X=1, Profit Factor:0.735

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017115 May 2017 (-1.07%)
2016119 Aug 2016 (1.56%)
2015123 Jan 2015 (0.84%)
2014412 Mar 2014 (0.31%), 04 Apr 2014 (-3.5%), 02 Jun 2014 (-4.21%), 16 Jun 2014 (-1.83%)
2012514 Feb 2012 (-2.18%), 21 Mar 2012 (2.12%), 06 Aug 2012 (-0.08%), 22 Aug 2012 (0.53%), 05 Oct 2012 (-1.76%)
2011115 Sep 2011 (1.79%)
2010312 Jan 2010 (-4.85%), 15 Mar 2010 (-0.44%), 20 Sep 2010 (1.0%)
2009206 Mar 2009 (6.02%), 26 May 2009 (0.14%)
2007216 Jul 2007 (0.52%), 03 Oct 2007 (1.23%)
2006527 Jan 2006 (-0.74%), 10 Mar 2006 (-0.81%), 13 Apr 2006 (-7.78%), 25 Sep 2006 (2.19%), 19 Dec 2006 (3.24%)



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