Study: Sell MARICO when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell MARICO 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 MARICO 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
120125.051055505570.198961.22-1545.18-2125.813.63.60.152012.5
245825.691073707008.6616547.62-1078.31-2080.926.515.170.224582.57
319918.861055507287.816455.7-3304.02-4691.962.212.210.0811991.89
419009.11064607064.8514316.89-5845-12009.581.211.810.0691900.91
524271.481055509885.6216150.15-5031.32-10630.881.961.960.0842427.15
628782.021064609066.1213793.1-6403.67-15238.31.422.120.0952878.2
722249.341064607819.5413225.67-6166.98-16992.51.271.90.0752224.93
821962.531073706993.2812439.98-8996.82-21409.70.781.810.0682196.25
941245.5610737010018.6716158.94-9628.39-20141.61.042.430.124124.56
1038112.311082807813.1411722.54-12196.41-20226.140.642.560.123811.23

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 15.17. Strategy is very good and impressively bearish. Percentage of profitable trades is 70%, which is good. Average return per trade is 2.29%, which is very good.
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.
MARICO Performance, X=2, Profit Factor:15.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015114 Jan 2015 (0.45%)
2014111 Sep 2014 (-0.54%)
2012204 Sep 2012 (1.65%), 13 Nov 2012 (5.09%)
2009204 Jun 2009 (6.29%), 09 Jul 2009 (8.27%)
2007104 Oct 2007 (2.7%)
2006308 Feb 2006 (-1.04%), 07 Mar 2006 (0.07%), 29 Mar 2006 (-0.04%)

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
nilnil-1245825.691073707008.6616547.62-1078.31-2080.926.515.170.224582.57
atrnil27.274360.26114736.3614491.3819498.59-7657.89-10268.941.891.080.011396.39
atrtrail24.18-18967.13113827.275509.618493.16-4436.99-9169.81.240.47-0.098-1724.28
atrtrail34.18-18967.13113827.275509.618493.16-4436.99-9169.81.240.47-0.098-1724.28
atrtrail-14.18-18967.13113827.275509.618493.16-4436.99-9169.81.240.47-0.098-1724.28
atrnil312.45-60180.7111109.0916805.4716805.47-7698.62-10268.942.180.22-0.22-5470.97

In the table above, row 1 shows the best exit criterion. Profit factor is 15.17. Strategy is very good and impressively bearish. Percentage of profitable trades is 70%, which is good. Average return per trade is 2.29%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.