Study: Buy BANKBARODA when there is bullish divergence in RSI

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In this study, we evaluate the performance of strategy "Buy BANKBARODA 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 BANKBARODA 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
157668.5195455.5615167.8145118.73-4542.64-10709.843.344.170.0956407.61
243322.2996366.6711279.6830167.11-8118.6-14095.241.392.780.094813.59
365496.996366.6715135.243271.77-8438.1-140001.793.590.0977277.43
462950.1794544.4424833.5644239.23-7276.81-20952.383.412.730.0796994.46
552784.2896366.6716294.7545646.44-14994.73-20476.191.092.170.0645864.92
661468.2294544.4427409.9144942.83-9634.28-15619.632.852.280.076829.8
758156.9895455.5623725.7655002.83-15117.96-21419.681.571.960.066461.89
832371.3496366.6719037.0551328.43-27283.65-35118.310.71.40.033596.82
955645.8696366.6719799.9154324.48-21051.21-299790.941.880.0566182.87
1061313.895455.5625274.0757716.22-16264.14-34599.961.551.940.0586812.64

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 4.17. 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 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 3.2%, which is very good. Sharpe Ratio is 0.095, 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.
BANKBARODA Performance, X=1, Profit Factor:4.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016112 Feb 2016 (22.56%)
2015226 Mar 2015 (-0.03%), 15 Jun 2015 (-0.7%)
2008127 May 2008 (3.25%)
2007123 Feb 2007 (2.56%)
2006119 Jul 2006 (5.51%)
2001114 Sep 2001 (-5.35%)
1998118 Dec 1998 (4.04%)
1997117 Nov 1997 (-3.0%)

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-1157668.5195455.5615167.8145118.73-4542.64-10709.843.344.170.0956407.61
atrnil24.5592899.23117463.6419536.9523597.97-10964.86-12098.521.783.120.138445.38
atrtrail23.3666508.79117463.6415467.6423597.97-10441.17-12098.521.482.590.0946046.25
atrtrail34.2755267.7115645.4519778.5335396.96-7270.82-12098.522.722.270.0655024.34
atrtrail-15.5554736.22115645.4519672.2348554.48-7270.82-12098.522.712.250.0614976.02
atrnil37.5578591.72115645.4528624.5735396.96-10755.19-12098.522.662.220.0817144.7

In the table above, row 2 shows the best exit criterion. Profit factor is 3.12. Strategy is very good and impressively bullish. Percentage of profitable trades is 63.64%, which is good. Average return per trade is 4.22%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BANKBARODA Performance, Profit Factor:3.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016112 Feb 2016 (11.8%)
2015226 Mar 2015 (8.45%), 15 Jun 2015 (8.2%)
2008227 May 2008 (10.7%), 03 Jun 2008 (-6.05%)
2007123 Feb 2007 (9.97%)
2006119 Jul 2006 (11.71%)
2001214 Sep 2001 (-4.88%), 18 Sep 2001 (-5.5%)
1998118 Dec 1998 (7.55%)
1997117 Nov 1997 (-5.5%)



View performance of other stocks for this trading system.