Study: Sell ULTRACEMCO 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 ULTRACEMCO 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 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
1-39213.0420812402732.0312040.2-5089.11-15558.840.540.36-0.092-1960.65
2-45307.7220812404327.5217246.23-6660.65-16656.120.650.43-0.079-2265.39
3-58948.7320515256118.0710653.27-5969.27-17992.541.020.34-0.1-2947.44
4-79929.6220713354018.699622.69-8312.34-18935.080.480.26-0.13-3996.48
5-77564.4520812405270.5710049.13-9977.42-28604.660.530.35-0.1-3878.22
6-60674.6201010504511.8513366.83-10579.31-33044.950.430.43-0.072-3033.73
7-37402.8220137654473.0811965.66-13650.41-26543.690.330.61-0.044-1870.14
8-35586.8620119557109.0814615.07-12642.97-42610.960.560.69-0.034-1779.34
9-29829.4920911458826.2118700.49-9933.22-33143.420.890.73-0.031-1491.47
10-20433.8320812409769.0516963.74-8215.52-24188.871.190.79-0.024-1021.69
Although, strategy looks good but profit factor on day 4 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
atrnil24.65-54536.823192229.0311569.1418470.12-7211.78-11755.011.60.66-0.051-1759.25
atrtrail23.77-50065.13192229.038938.9318470.12-5932.52-11598.351.510.62-0.054-1615
atrtrail34.32-68889.313182325.818078.8820485.21-5805.23-11598.351.390.48-0.08-2222.24
atrtrail-14.74-73824.343182325.81746217161.81-5805.23-11598.351.290.45-0.089-2381.43
atrnil36.77-1116783142712.918570.4127705.18-6887.39-11755.012.70.4-0.1-3602.52

In the table above, row 1 shows the best exit criterion. Profit factor is 0.66. 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, Profit Factor:0.656

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017215 May 2017 (-1.9%), 16 May 2017 (3.8%)
2016119 Aug 2016 (-2.24%)
2015123 Jan 2015 (4.89%)
2014712 Mar 2014 (-2.52%), 14 Mar 2014 (-2.57%), 04 Apr 2014 (-2.41%), 07 Apr 2014 (4.9%), 02 Jun 2014 (-4.12%), 16 Jun 2014 (-3.49%), 18 Jun 2014 (6.83%)
2012614 Feb 2012 (-4.11%), 06 Aug 2012 (-1.8%), 22 Aug 2012 (-1.81%), 28 Aug 2012 (3.83%), 05 Oct 2012 (-3.54%), 09 Oct 2012 (6.65%)
2010312 Jan 2010 (-2.89%), 15 Mar 2010 (5.5%), 20 Sep 2010 (6.42%)
2009406 Mar 2009 (-5.68%), 26 May 2009 (-5.88%), 29 May 2009 (-5.74%), 02 Jun 2009 (-5.68%)
2007116 Jul 2007 (-3.56%)
2006610 Mar 2006 (-3.84%), 21 Mar 2006 (-3.54%), 13 Apr 2006 (-4.23%), 18 Apr 2006 (-4.22%), 26 Apr 2006 (9.24%), 28 Dec 2006 (-3.56%)



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