Study: Sell DIVISLAB when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell DIVISLAB when there is Bearish Crossover in MACD" 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
1-70879.8128567243.753528.5223029.6-3728.85-18930.570.950.74-0.027-553.75
2-153365128557342.974660.8718568.55-5612.5-19616.80.830.63-0.042-1198.16
3-173613128567243.756100.3826486.57-7156.04-43784.40.850.66-0.037-1356.35
4-185489128557342.976875.5718778.14-7721.17-44098.950.890.67-0.037-1449.13
5-201032128537541.417621.0924670.08-8066-53862.910.940.67-0.037-1570.56
6-236246128557342.978388.525006.79-9556.35-58539.920.880.66-0.038-1845.67
7-359041128596946.098396.5927619.93-12383.19-53803.610.680.58-0.052-2805.01
8-341892127557243.3110059.8238995.3-12433.08-60066.820.810.62-0.044-2692.06
9-331631127557243.3111394.5657126.22-13310.17-56603.630.860.65-0.037-2611.27
10-398275127527540.9412278.761385.67-13823.57-52514.470.890.62-0.043-3136.02

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.74. This strategy is not profitable and we advice you not to use it.

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
atrnil37.72-207819150301202022475.5539752.34-7350.71-17843.493.060.76-0.027-1385.46
nilnil-11-70879.8128567243.753528.5223029.6-3728.85-18930.570.950.74-0.027-553.75
atrnil25.55-2929381594011925.1614480.6126501.56-7329.1-17843.491.980.66-0.046-1842.38
atrtrail34.19-2505941593912024.5311166.0539752.34-5717.24-14759.461.950.63-0.044-1576.06
atrtrail23.91-2955571624012224.6910193.1626501.56-5764.62-15012.111.770.58-0.056-1824.43
atrtrail-14.55-3429041573612122.939594.2945726.32-5688.42-14759.461.690.5-0.064-2184.1

In the table above, row 1 shows the best exit criterion. Profit factor is 0.76. 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 20%, which is not acceptable. Avoid this strategy. Average return per trade is -0.69%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
DIVISLAB Performance, Profit Factor:0.764

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019818 Feb 2019 (-2.87%), 20 Mar 2019 (-2.5%), 28 May 2019 (-3.31%), 01 Aug 2019 (-2.62%), 14 Aug 2019 (-3.46%), 19 Sep 2019 (-2.83%), 20 Sep 2019 (-2.91%), 04 Oct 2019 (-2.98%)
20181102 Jan 2018 (-2.92%), 03 Jan 2018 (-2.9%), 07 Mar 2018 (-2.86%), 26 Apr 2018 (-2.71%), 03 May 2018 (7.45%), 27 Jun 2018 (-3.46%), 09 Aug 2018 (-3.41%), 05 Sep 2018 (-3.18%), 10 Sep 2018 (-3.26%), 28 Sep 2018 (-3.98%), 22 Nov 2018 (-3.39%)
2017521 Mar 2017 (14.65%), 28 Jun 2017 (-2.36%), 24 Jul 2017 (9.96%), 28 Sep 2017 (-5.8%), 16 Nov 2017 (-4.16%)
20161005 Jan 2016 (6.78%), 08 Feb 2016 (10.59%), 03 May 2016 (-2.76%), 19 May 2016 (-2.73%), 14 Jun 2016 (-2.68%), 08 Jul 2016 (-2.19%), 01 Aug 2016 (-2.23%), 02 Sep 2016 (-2.51%), 04 Nov 2016 (7.5%), 23 Dec 2016 (18.3%)
20151307 Jan 2015 (-2.57%), 21 Jan 2015 (-2.29%), 03 Feb 2015 (-2.76%), 26 Mar 2015 (-2.62%), 20 Apr 2015 (-3.15%), 03 Jun 2015 (-2.98%), 28 Jul 2015 (-2.32%), 26 Aug 2015 (-4.79%), 27 Aug 2015 (-4.68%), 29 Sep 2015 (-3.9%), 08 Oct 2015 (-3.56%), 11 Nov 2015 (-3.36%), 26 Nov 2015 (-3.08%)
2014928 Jan 2014 (-2.26%), 14 Feb 2014 (-2.6%), 06 Mar 2014 (6.3%), 09 May 2014 (7.71%), 14 Jul 2014 (-3.54%), 23 Sep 2014 (-2.7%), 08 Oct 2014 (-2.96%), 05 Nov 2014 (-3.19%), 17 Dec 2014 (-2.72%)
2013711 Jan 2013 (8.95%), 20 May 2013 (7.79%), 21 May 2013 (9.59%), 22 Aug 2013 (-3.3%), 25 Sep 2013 (-3.12%), 17 Oct 2013 (-2.7%), 03 Dec 2013 (-2.66%)
2012813 Jan 2012 (-2.43%), 31 Jan 2012 (8.29%), 08 May 2012 (-2.95%), 31 May 2012 (-2.84%), 08 Aug 2012 (-2.47%), 28 Aug 2012 (-2.86%), 06 Nov 2012 (-3.19%), 19 Nov 2012 (-3.0%)
20111112 Jan 2011 (-2.85%), 22 Feb 2011 (-3.73%), 20 Apr 2011 (8.77%), 21 Apr 2011 (-3.56%), 29 Apr 2011 (-3.07%), 16 Jun 2011 (7.39%), 21 Jul 2011 (-2.32%), 24 Oct 2011 (-2.36%), 14 Nov 2011 (-2.45%), 13 Dec 2011 (-2.62%), 20 Dec 2011 (-2.67%)
2010611 Jan 2010 (8.97%), 19 Apr 2010 (-2.92%), 20 May 2010 (-3.12%), 24 Jun 2010 (-2.55%), 16 Sep 2010 (-2.42%), 16 Nov 2010 (8.08%)
2009707 Jan 2009 (13.9%), 20 Apr 2009 (-5.98%), 12 Jun 2009 (18.6%), 03 Aug 2009 (-6.89%), 22 Oct 2009 (-4.39%), 20 Nov 2009 (-3.37%), 17 Dec 2009 (-3.43%)
2008908 Jan 2008 (13.46%), 07 Mar 2008 (-7.38%), 13 Mar 2008 (-8.92%), 09 May 2008 (-5.1%), 20 Jun 2008 (-5.65%), 25 Aug 2008 (-4.46%), 08 Sep 2008 (-4.16%), 25 Nov 2008 (-7.22%), 03 Dec 2008 (-7.31%)
20071111 Jan 2007 (-4.16%), 29 Jan 2007 (-3.41%), 13 Feb 2007 (-3.72%), 21 May 2007 (-2.8%), 08 Jun 2007 (-3.18%), 11 Jun 2007 (-3.21%), 28 Jun 2007 (-3.84%), 17 Jul 2007 (-3.81%), 18 Jul 2007 (-3.74%), 09 Nov 2007 (-6.97%), 18 Dec 2007 (-5.83%)
20061220 Feb 2006 (-3.53%), 13 Apr 2006 (-5.44%), 17 Apr 2006 (-5.44%), 24 Apr 2006 (-4.97%), 08 May 2006 (12.55%), 19 Jul 2006 (-5.34%), 23 Aug 2006 (-3.97%), 10 Nov 2006 (-3.46%), 13 Nov 2006 (-3.58%), 20 Nov 2006 (-3.64%), 21 Nov 2006 (-3.59%), 29 Nov 2006 (10.57%)
2005903 Jan 2005 (12.52%), 24 Mar 2005 (-3.71%), 18 Apr 2005 (-4.94%), 19 Apr 2005 (-5.39%), 10 Jun 2005 (-3.08%), 02 Aug 2005 (-3.82%), 09 Sep 2005 (11.69%), 13 Oct 2005 (14.56%), 15 Dec 2005 (-3.22%)
20041105 Mar 2004 (-6.93%), 08 Mar 2004 (19.88%), 12 May 2004 (12.7%), 03 Jun 2004 (14.43%), 24 Jun 2004 (13.82%), 29 Jul 2004 (-4.06%), 30 Jul 2004 (-4.18%), 25 Aug 2004 (-4.51%), 23 Sep 2004 (-3.54%), 24 Sep 2004 (-3.53%), 06 Oct 2004 (11.38%)
2003311 Jun 2003 (-4.75%), 10 Jul 2003 (-5.34%), 01 Aug 2003 (-4.99%)



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