Study: Sell YESBANK 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 YESBANK 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 YESBANK 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
1-25131.1931121938.713310.47205.57-3413.47-10287.570.970.61-0.052-810.68
29348.4831141745.166462.4816773.94-4772.13-16731.521.351.120.011301.56
344825.7731181358.067265.519789.78-6611.79-16634.241.11.520.0441445.99
42290.5931161551.616890.6617671.15-7197.33-20959.90.961.020.002273.89
5-24784.6131141745.167307.2315190.16-7475.64-29141.350.980.8-0.022-799.5
6-29537.7231141745.167700.2529842.01-8078.89-22784.810.950.78-0.024-952.83
7-44581.1531121938.718165.3423561.54-7503.44-21684.091.090.69-0.037-1438.1
8-10058131141745.167070.9322151.71-11739.63-26945.530.60.5-0.073-3244.54
9-16617731112035.486465.9815008.85-11865.14-29700.070.540.3-0.12-5360.55
10-17036131112035.487973.1719687.13-12903.32-30968.060.620.34-0.12-5495.53
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
atrtrail23.22-40676.72501535308097.8621035.44-4632.7-10316.751.750.75-0.03-813.53
atrtrail33.6-46386.23501535307717.2225847.75-4632.7-10316.751.670.71-0.034-927.72
atrnil24.33-75711.648113722.9213290.6721035.44-5997.54-14702.562.220.66-0.049-1577.33
atrtrail-13.8-67056.88501535306339.1822344.97-4632.7-10316.751.370.59-0.057-1341.14
atrnil35.52-1479514864212.518382.1425847.75-6148.65-14702.562.990.43-0.095-3082.3

In the table above, row 1 shows the best exit criterion. Profit factor is 0.75. 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.
YESBANK Performance, Profit Factor:0.749

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019219 Mar 2019 (-2.92%), 03 Apr 2019 (1.58%)
2018219 Jan 2018 (-2.84%), 20 Jul 2018 (5.14%)
2017324 Jan 2017 (-2.42%), 27 Jan 2017 (-1.46%), 03 Aug 2017 (0.68%)
20161701 Apr 2016 (0.34%), 18 Apr 2016 (-0.36%), 11 May 2016 (-1.76%), 16 May 2016 (-1.06%), 25 May 2016 (-2.2%), 03 Jun 2016 (-2.24%), 08 Jun 2016 (-0.91%), 10 Jun 2016 (-1.84%), 01 Jul 2016 (-0.6%), 12 Jul 2016 (-1.41%), 18 Jul 2016 (-0.21%), 26 Jul 2016 (-2.06%), 16 Aug 2016 (-2.03%), 26 Aug 2016 (-1.73%), 30 Aug 2016 (-1.78%), 31 Aug 2016 (-1.71%), 07 Sep 2016 (4.25%)
2015129 Jan 2015 (5.31%)
2014604 Apr 2014 (-3.16%), 11 Apr 2014 (6.15%), 25 Apr 2014 (6.83%), 12 May 2014 (-3.73%), 22 May 2014 (-4.38%), 12 Nov 2014 (1.16%)
2013204 Jan 2013 (-2.14%), 15 Jan 2013 (-2.38%)
2012402 Feb 2012 (-3.7%), 09 Feb 2012 (-3.75%), 14 Feb 2012 (-3.56%), 18 Dec 2012 (-0.54%)
2011107 Apr 2011 (0.41%)
2009303 Jun 2009 (-0.81%), 30 Sep 2009 (7.78%), 23 Oct 2009 (8.62%)
2006920 Mar 2006 (-3.48%), 22 Mar 2006 (-3.49%), 04 Apr 2006 (1.14%), 17 Oct 2006 (-3.19%), 26 Oct 2006 (-3.17%), 30 Oct 2006 (-2.9%), 01 Nov 2006 (0.83%), 07 Dec 2006 (-5.16%), 08 Dec 2006 (10.52%)



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