Study: Sell UNIONBANK when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell UNIONBANK 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 UNIONBANK 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
146851.392315865.225684.2621676.65-4801.56-13630.631.182.220.0722037.02
263508.222315865.226989.5822514.07-5166.94-10685.741.352.540.0822761.23
356334.262316769.576941.5624099.38-7818.66-24704.620.892.030.0622449.32
41193582317673.9110401.142981.37-9576.8-23308.271.093.080.0985189.47
584858.122314960.8711100.4231304.35-7838.64-18689.581.422.20.0723689.48
685593.423121152.1715326.0134835.89-8938.07-21152.031.711.870.0593721.45
742168.6923131056.5211851.8236521.74-11190.5-27067.671.061.380.0291833.42
842664.2123131056.5211696.5234782.61-10939.05-28034.371.071.390.031854.97
98849.8323111247.8312478.6631405.84-10701.28-37994.351.171.070.0061384.78
109780.7723101343.4815885.2335527.95-11467.04-39642.181.391.070.006425.25

From the table above, we see that best results are achieved by holding positions for 4 trading days. Profit factor is 3.08. Strategy is very good and impressively bearish. Percentage of profitable trades is 73.91%, which is good. Average return per trade is 2.59%, which is very good. Sharpe Ratio is 0.098, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
UNIONBANK Performance, X=4, Profit Factor:3.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019114 Jan 2019 (1.86%)
2014309 Apr 2014 (1.42%), 26 May 2014 (2.99%), 10 Jun 2014 (7.27%)
2012308 Feb 2012 (-7.66%), 01 Oct 2012 (5.42%), 20 Dec 2012 (0.9%)
2010215 Apr 2010 (-0.95%), 04 Oct 2010 (2.02%)
2009202 Jun 2009 (2.92%), 29 Jun 2009 (-3.33%)
2007126 Jul 2007 (10.47%)
2005204 Jan 2005 (8.32%), 04 Aug 2005 (0.04%)
2004506 Jan 2004 (-4.25%), 23 Apr 2004 (8.74%), 17 Sep 2004 (-0.9%), 29 Nov 2004 (-11.65%), 14 Dec 2004 (2.28%)
2003323 Jan 2003 (5.63%), 13 May 2003 (4.33%), 04 Jun 2003 (21.49%)
2002123 Dec 2002 (2.31%)

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-141193582317673.9110401.142981.37-9576.8-23308.271.093.080.0985189.47
atrtrail34.1591926.4933141942.4214769.3641066.08-6044.45-11428.462.441.80.052785.65
atrtrail23.8868235.1433141942.4213077.1227377.38-6044.45-11428.462.161.590.0452067.73
atrnil37.0310644532102231.2529444.9441066.08-8545.67-15659.653.451.570.0453326.39
atrtrail-14.761844.7433141942.4212620.6634110.85-6044.45-11428.462.091.540.0381874.08
atrnil25.2566171.3432122037.519573.6627377.38-8435.63-15659.652.321.390.0362067.85

In the table above, row 1 shows the best exit criterion. Profit factor is 3.08. Strategy is very good and impressively bearish. Percentage of profitable trades is 73.91%, which is good. Average return per trade is 2.59%, which is very good. Sharpe Ratio is 0.098, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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