Study: Sell DIVISLAB when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell DIVISLAB when below 200 SMA and near 50 SMA and below 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell DIVISLAB 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
116802.372213959.093439.045378.56-3100.57-6989.71.111.60.051763.74
232281.962215768.183930.6210941.79-3811.04-7006.581.032.210.0781467.36
3-12987.3622101245.454482.3514831.73-4817.57-13830.20.930.78-0.023-590.33
4-8181.8922101245.455724.8215838.12-5452.51-11109.241.050.87-0.013-371.9
512359.332291340.918162.6227620.89-4700.32-10493.981.741.20.016561.79
69165.992291340.918516.1626953.09-5190.72-14013.171.641.140.012416.64
7-5807.272281436.368438.8826140.48-5237.02-20302.211.610.92-0.0071-263.97
8-25132.22281436.367725.722326.82-6209.85-20665.21.240.71-0.032-1142.37
9-66061.072281436.366899.9223622.17-8661.46-21213.910.80.46-0.076-3002.78
10-61086.4922101245.458400.4327049.64-12090.9-33006.440.690.58-0.052-2776.66

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.21. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 68.18%, which is good. Average return per trade is 0.73%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.078, 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.
DIVISLAB Performance, X=2, Profit Factor:2.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017201 Mar 2017 (0.83%), 02 Jun 2017 (-1.91%)
2016101 Apr 2016 (-0.48%)
2013505 Mar 2013 (2.26%), 03 Apr 2013 (1.27%), 11 Jul 2013 (0.41%), 05 Sep 2013 (-2.94%), 24 Oct 2013 (2.48%)
2012127 Mar 2012 (0.89%)
2011403 Jan 2011 (-2.33%), 25 Jan 2011 (1.89%), 09 Feb 2011 (-1.59%), 17 Mar 2011 (0.79%)
2009323 Mar 2009 (5.2%), 04 May 2009 (1.37%), 01 Sep 2009 (0.35%)
2008228 Jul 2008 (0.32%), 04 Dec 2008 (-3.5%)
2006113 Jul 2006 (5.47%)
2005113 Jan 2005 (-0.59%)
2004213 Aug 2004 (4.27%), 15 Oct 2004 (1.7%)

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-1232281.962215768.183930.6210941.79-3811.04-7006.581.032.210.0781467.36
atrtrail24.19-74102781929.6312331.9619963.77-5582.4-13900.952.210.93-0.0074-274.44
50trail32.03-13739.013682822.227059.969805-2507.81-3549.472.820.8-0.022-381.64
50nil32.21-18011.813372621.218067.459805-2864.77-3851.052.820.76-0.03-545.81
atrnil25.6-38017.78257182813948.7719963.77-7536.62-13900.951.850.72-0.037-1520.71
50trail21.81-22659.736927255225.146536.67-2580.96-3549.472.020.67-0.045-629.44
atrtrail34.7-35801.832781929.638782.9823074.27-5582.4-13900.951.570.66-0.04-1325.99
50nil21.86-27881.673592625.715225.146536.67-2881.07-3851.051.810.63-0.055-796.62
50trail-12.75-28099.373663016.677717.4712576.03-2480.14-3549.473.110.62-0.046-780.54
atrtrail-14.81-45612.492781929.637556.6518901.67-5582.4-13900.951.350.57-0.057-1689.35
atrnil37.7-99447.072332013.0418389.2323074.27-7730.74-13900.952.380.36-0.12-4323.79

In the table above, row 1 shows the best exit criterion. Profit factor is 2.21. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 68.18%, which is good. Average return per trade is 0.73%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.078, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

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