Study: Sell DIVISLAB when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell DIVISLAB when RSI is below 50 and 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
1-368.9863333052.384163.1423029.6-4591.75-18930.570.911-0.00024-5.86
2-18739.2563303347.625596.7119995.97-5655.77-19616.80.990.9-0.0097-297.45
3-21235.8663323150.796264.8523809.04-7151.97-21754.630.880.9-0.0098-337.08
4-3588.2763323150.797419.4918111.54-7774.58-22455.620.950.99-0.0015-56.96
5962.2963303347.628688.8822771.38-7869.82-26346.791.110.0003715.27
6-7937.3463313249.219497.4225006.79-9448.67-30237.971.010.97-0.0026-125.99
7-18702.963362757.149102.6627839.74-12829.57-35353.850.710.95-0.0056-296.87
817028.9562362658.069542.8651781.76-12558.23-37640.490.761.050.0047274.66
9-53541.3962342854.849280.4341312.66-13181.28-50895.280.70.85-0.014-863.57
10-73484.446231315010638.0550106.7-13008.52-52251.760.820.82-0.018-1185.23
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil26.54-42182.7471244733.814435.2924401.5-8268.72-17843.491.750.89-0.013-594.12
atrnil310.27-55661.264154923.4423028.1536602.25-8185.38-17843.492.810.86-0.015-869.71
atrtrail34.53-53971.1172234931.9410525.1230303.03-6041.81-14759.461.740.82-0.02-749.6
atrtrail24.12-70934.1874245032.4310005.2824401.5-6221.22-15012.111.610.77-0.027-958.57
atrtrail-14.97-10572572225030.568810.5739955.42-5991.16-14759.461.470.65-0.042-1468.41

In the table above, row 1 shows the best exit criterion. Profit factor is 0.89. 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 33.8%, which is not acceptable. Avoid this strategy. Average return per trade is -0.3%, 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:0.891

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019628 May 2019 (6.63%), 24 Jul 2019 (-2.28%), 01 Aug 2019 (-2.62%), 14 Aug 2019 (-3.46%), 19 Sep 2019 (-2.83%), 04 Oct 2019 (-2.98%)
2018307 Mar 2018 (-2.86%), 27 Jun 2018 (-3.46%), 09 Aug 2018 (-3.41%)
2017221 Mar 2017 (9.76%), 24 Jul 2017 (6.64%)
2016606 Jan 2016 (4.48%), 08 Feb 2016 (7.06%), 20 May 2016 (-2.76%), 04 Nov 2016 (5.0%), 23 Dec 2016 (12.2%), 26 Dec 2016 (-7.51%)
2015707 Jan 2015 (-2.57%), 21 Jan 2015 (-2.29%), 03 Feb 2015 (-2.76%), 20 Apr 2015 (6.29%), 03 Jun 2015 (-2.98%), 08 Oct 2015 (-3.56%), 26 Nov 2015 (-3.08%)
2014309 May 2014 (5.14%), 05 Nov 2014 (-3.19%), 17 Dec 2014 (-2.72%)
2013711 Jan 2013 (5.97%), 28 Feb 2013 (-2.88%), 01 Mar 2013 (5.8%), 21 May 2013 (6.39%), 22 Jul 2013 (5.16%), 22 Aug 2013 (-3.3%), 25 Sep 2013 (-3.12%)
2012106 Nov 2012 (-3.19%)
2011612 Jan 2011 (5.7%), 22 Feb 2011 (7.45%), 24 Oct 2011 (-2.36%), 14 Nov 2011 (4.91%), 13 Dec 2011 (-2.62%), 20 Dec 2011 (-2.67%)
2010520 May 2010 (-3.12%), 16 Sep 2010 (4.85%), 19 Oct 2010 (-2.32%), 28 Oct 2010 (-2.33%), 16 Nov 2010 (5.38%)
2009409 Jan 2009 (10.1%), 20 Apr 2009 (-5.98%), 03 Aug 2009 (-6.89%), 22 Oct 2009 (-4.39%)
2008707 Mar 2008 (-7.38%), 13 Mar 2008 (-8.92%), 09 May 2008 (-5.1%), 20 Jun 2008 (11.29%), 26 Aug 2008 (-4.39%), 25 Nov 2008 (-7.22%), 03 Dec 2008 (-7.31%)
2007109 Nov 2007 (-6.97%)
2006213 Apr 2006 (-5.44%), 19 Jul 2006 (-5.34%)
2005424 Mar 2005 (-3.71%), 18 Apr 2005 (-4.94%), 19 Apr 2005 (-5.39%), 13 Oct 2005 (9.71%)
2004705 Mar 2004 (-6.93%), 12 May 2004 (8.46%), 03 Jun 2004 (9.62%), 24 Jun 2004 (9.22%), 29 Jul 2004 (-4.06%), 30 Jul 2004 (-4.18%), 25 Aug 2004 (-4.51%)



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