Study: Buy VGUARD when there is bullish divergence in RSI

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In this study, we evaluate the performance of strategy "Buy VGUARD when there is bullish divergence in RSI" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy VGUARD 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. sell 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
13936.773442.862846.365307.18-1150.6-2078.522.471.860.071562.39
210787.9675271.433397.997311.83-3101-5550.741.12.740.111541.14
326679.3476185.714542.839155.15-577.63-577.637.8647.190.33811.33
46899.4274357.143993.916749.35-3025.41-6244.581.321.760.07985.63
5-1412.4273442.865650.478826.07-4590.96-9887.251.230.92-0.0095-201.77
6-7152.2574357.145229.439287.57-9356.65-14744.150.560.75-0.035-1021.75
77007.7174357.148060.710937.02-8411.69-13394.920.961.280.0331001.1
821897.3474357.1411342.7220890.94-7824.52-14050.31.451.930.0863128.19
925053.774357.1413088.7719662.06-9100.46-17346.051.441.920.0893579.1
1019832.7474357.1411875.6118187.4-9223.24-16305.291.291.720.0752833.25

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 47.19. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bullish. Percentage of profitable trades is 85.71%, which is excellent. Average return per trade is 1.91%, which is not very high, but percentage of profitable trades compensates for it.
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.
VGUARD Performance, X=3, Profit Factor:47.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2014110 Feb 2014 (-0.29%)
2011224 Nov 2011 (4.53%), 22 Dec 2011 (0.46%)
2010109 Dec 2010 (4.58%)
2008323 Jun 2008 (0.17%), 07 Jul 2008 (2.74%), 16 Oct 2008 (1.15%)

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-1326679.3476185.714542.839155.15-577.63-577.637.8647.190.33811.33
atrnil27.8840856.528445020409.3523291.01-10195.22-12989.08220.0995107.06
atrtrail26.4415510.0793633.3320254.7323291.01-7542.36-12043.122.691.340.0381723.34
atrnil310.2913344.0272528.5731236.7831309.77-9825.91-12989.083.181.270.0311906.29
atrtrail37.75-27040.9826259106.6215955.24-7542.36-12043.121.210.4-0.12-3380.11
atrtrail-17.75-27040.9826259106.6215955.24-7542.36-12043.121.210.4-0.12-3380.11

In the table above, row 1 shows the best exit criterion. Profit factor is 47.19. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bullish. Percentage of profitable trades is 85.71%, which is excellent. Average return per trade is 1.91%, which is not very high, but percentage of profitable trades compensates for it.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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