Study: Sell ZEEL when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell ZEEL 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 ZEEL 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
1-44891.932171553.123585.338363.64-7056.17-20033.140.510.58-0.041-1402.87
2-95764.2432151746.886634.8914811.62-11487.51-31013.130.580.51-0.054-2992.63
3-10854132171553.125550.1916858.49-13526.31-49838.990.410.47-0.05-3391.92
4-71499.47321616508537.4530164.86-13006.17-49938.070.660.66-0.03-2234.36
5-21081.4632201262.59733.3343242.63-17979-50037.160.540.9-0.0074-658.8
6-1255323216165012205.8155782.3-20051.59-69160.270.610.61-0.034-3922.89
7-97450.5332171553.1210464.6746956.52-18356.66-63671.520.570.65-0.029-3045.33
8-78941.8132171553.1211414.8656545.48-18199.62-63781.990.630.71-0.023-2466.93
9-16461432171553.1211288.2150336.31-23767.57-90185.970.470.54-0.038-5144.18
10-17629532181456.2512370.4543895.02-28497.39-1192050.430.56-0.037-5509.23
Although, strategy looks good but profit factor on day 3 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
atrnil36.7322887.6856164028.5725034.8436177.3-9441.74-14905.52.651.060.0052408.71
atrnil24.4812724.1856203635.7117463.7729811-9348.64-12606.361.871.040.0035227.22
atrtrail23.36-1412.9959223737.2912549.1929811-7499.87-12606.361.670.99-0.00043-23.95
atrtrail33.8-4125.8259223737.2912425.8840480.73-7499.87-12606.361.660.99-0.0012-69.93
atrtrail-14.22-19805.2859223737.2911713.1751254.39-7499.87-12606.361.560.93-0.0054-335.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.06. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is 0.2%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0052, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ZEEL Performance, Profit Factor:1.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015105 Aug 2015 (7.68%)
2014317 Nov 2014 (-2.91%), 24 Nov 2014 (-2.91%), 25 Nov 2014 (8.87%)
2013215 May 2013 (9.01%), 05 Nov 2013 (9.32%)
2012715 Feb 2012 (10.15%), 06 Jul 2012 (-2.82%), 23 Jul 2012 (-2.89%), 02 Aug 2012 (-3.05%), 14 Aug 2012 (-3.01%), 03 Oct 2012 (-3.52%), 05 Oct 2012 (11.24%)
2011107 Jun 2011 (9.93%)
2009304 Jun 2009 (-7.45%), 12 Oct 2009 (-4.05%), 15 Oct 2009 (11.91%)
2006424 Mar 2006 (-5.39%), 30 Mar 2006 (-5.42%), 10 Apr 2006 (-5.8%), 04 Sep 2006 (-4.94%)
2003223 Jul 2003 (14.42%), 16 Oct 2003 (-4.79%)
2001203 Dec 2001 (-6.3%), 05 Dec 2001 (18.09%)
19991419 Mar 1999 (14.5%), 11 May 1999 (-5.86%), 14 May 1999 (-5.75%), 27 Jul 1999 (-4.52%), 10 Aug 1999 (-4.48%), 11 Aug 1999 (-4.48%), 17 Aug 1999 (-4.16%), 19 Aug 1999 (-4.13%), 25 Aug 1999 (-4.55%), 31 Aug 1999 (-4.79%), 28 Sep 1999 (-5.07%), 07 Oct 1999 (-5.18%), 08 Oct 1999 (-5.03%), 23 Oct 1999 (15.55%)
19981404 Mar 1998 (-5.37%), 24 Mar 1998 (-4.9%), 03 Apr 1998 (-4.79%), 06 Apr 1998 (-4.73%), 09 Apr 1998 (-4.96%), 16 Apr 1998 (-5.09%), 30 Apr 1998 (-5.37%), 05 May 1998 (-5.65%), 06 May 1998 (17.4%), 20 May 1998 (-6.04%), 21 May 1998 (-6.11%), 28 May 1998 (16.53%), 24 Sep 1998 (-4.17%), 28 Sep 1998 (12.71%)
1997316 May 1997 (-4.22%), 20 May 1997 (-4.18%), 22 May 1997 (12.95%)



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