Study: Buy ADANIENT when there is bullish divergence in RSI and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy ADANIENT when there is bullish 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: buy ADANIENT 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
1-2108.61055502521.666517.83-2943.38-6403.340.860.86-0.018-210.86
214420.651064605900.2812309.75-5245.26-14094.311.121.690.061442.06
326831.6910646010819.2723686.05-9520.98-13085.091.141.70.0692683.17
423965.3310555013835.4219621.93-9042.36-19343.071.531.530.0572396.53
520886.9310555011832.1732908.97-7654.78-14285.711.551.550.052088.69
660916.4410737010867.5229616.16-5052.07-11366.012.155.020.176091.64
799245.9110646018083.1430075.62-2313.24-6725.767.8211.730.259924.59
810746210737016748.8436086.91-3260.11-6308.655.1411.990.2610746.15
912344510737021720.6745486.74-9533.17-12513.032.285.320.2212344.52
1016797810737028696.7947085.44-10966.43-11352.492.626.110.2416797.83
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
ADANIENT Performance, X=8, Profit Factor:12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015308 Jul 2015 (-1.68%), 22 Jul 2015 (-0.06%), 24 Aug 2015 (2.31%)
2012403 Jan 2012 (11.76%), 18 Jun 2012 (4.49%), 23 Jul 2012 (-3.15%), 03 Sep 2012 (11.9%)
2011210 Jan 2011 (7.67%), 07 Oct 2011 (2.44%)
2008119 Mar 2008 (18.04%)

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
atrtrail-112.55298038117463.6446098.4119601-6162.67-11905.77.4813.090.1927094.38
atrtrail39.09151732117463.6425197.4853814.81-6162.67-11905.74.097.160.2113793.79
atrtrail28110818117463.6419352.6235876.54-6162.67-11905.73.145.50.2110074.33
atrnil315.09113332115645.4540702.0853814.81-15029.8-32530.332.712.260.1110302.87
atrnil211.8276293.09116554.5526034.335876.54-15982.54-32530.331.631.950.0976935.74

In the table above, row 1 shows the best exit criterion. Profit factor is 13.09. Strategy is very good and impressively bullish. Percentage of profitable trades is 63.64%, which is good. Average return per trade is 13.55%, which is very good. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ADANIENT Performance, Profit Factor:13.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015208 Jul 2015 (3.1%), 24 Aug 2015 (3.09%)
2012603 Jan 2012 (-5.95%), 05 Jan 2012 (56.41%), 18 Jun 2012 (10.05%), 23 Jul 2012 (-4.74%), 30 Jul 2012 (-1.02%), 03 Sep 2012 (23.81%)
2011210 Jan 2011 (5.08%), 07 Oct 2011 (-0.61%)
2008119 Mar 2008 (59.8%)



View performance of other stocks for this trading system.