Study: Sell DIVISLAB when there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell DIVISLAB when there is Bearish Crossover in MACD and ADX is Trending" 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
1-34126.1748202841.673469.1223029.6-3696.74-18930.570.940.67-0.032-710.96
2-83585.4748183037.54373.0616958.79-5410.02-17713.920.810.48-0.064-1741.36
3-11585148163233.336298.2415287.69-6769.47-43784.40.930.47-0.063-2413.57
4-81598.8548212743.756399.8716782.86-7999.86-44098.950.80.62-0.042-1699.98
5-91127.948232547.926144.1518061.52-9297.73-53862.910.660.61-0.041-1898.5
6-93587.0948232547.926690.5625006.79-9898.8-58539.920.680.62-0.037-1949.73
7-12456548232547.928042.2322065.57-12381.44-53803.610.650.6-0.045-2595.1
8-17360848183037.510038.925351.13-11810.26-60066.820.850.51-0.053-3616.83
9-15893948202841.6711138.7935004.23-13632.67-56603.630.820.58-0.046-3311.23
10-20264848163233.3311858.7328810.21-12262.1-52514.470.970.48-0.062-4221.82

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.67. 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
atrnil36.93-89111.7860134721.6720782.7739752.34-7644.42-17843.492.720.75-0.029-1485.2
nilnil-11-34126.1748202841.673469.1223029.6-3696.74-18930.570.940.67-0.032-710.96
atrnil24.66-15614262154724.1913910.7426501.56-7761.77-17843.491.790.57-0.063-2518.42
atrtrail34.02-13093660144623.3311113.739752.34-6228.87-14759.461.780.54-0.059-2182.27
atrtrail23.73-13957062144822.5811726.626501.56-6327.96-15012.111.850.54-0.064-2251.13
atrtrail-14.35-18898960134721.677772.9535801.7-6171-14759.461.260.35-0.1-3149.81

In the table above, row 1 shows the best exit criterion. Profit factor is 0.75. 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 21.67%, which is not acceptable. Avoid this strategy. Average return per trade is -0.74%, 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:0.752

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 Mar 2019 (-2.5%)
2018502 Jan 2018 (-2.92%), 03 Jan 2018 (-2.9%), 26 Apr 2018 (-2.71%), 03 May 2018 (7.45%), 22 Nov 2018 (-3.39%)
2017522 Mar 2017 (-4.91%), 22 May 2017 (6.85%), 24 Jul 2017 (9.96%), 28 Sep 2017 (-5.8%), 16 Nov 2017 (-4.16%)
2016409 Feb 2016 (-3.75%), 02 Sep 2016 (-2.51%), 04 Nov 2016 (7.5%), 23 Dec 2016 (18.3%)
2015226 Aug 2015 (-4.79%), 27 Aug 2015 (-4.68%)
2014828 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%)
2013103 Dec 2013 (-2.66%)
2012408 May 2012 (-2.95%), 31 May 2012 (-2.84%), 08 Aug 2012 (-2.47%), 28 Aug 2012 (-2.86%)
2011116 Jun 2011 (7.39%)
2010111 Jan 2010 (8.97%)
2009222 Oct 2009 (-4.39%), 17 Dec 2009 (-3.43%)
2008207 Mar 2008 (-7.38%), 13 Mar 2008 (-8.92%)
2007621 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%)
2006720 Feb 2006 (-3.53%), 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%)
2005403 Jan 2005 (12.52%), 10 Jun 2005 (-3.08%), 02 Aug 2005 (-3.82%), 09 Sep 2005 (11.69%)
2004405 Mar 2004 (-6.93%), 08 Mar 2004 (19.88%), 29 Jul 2004 (-4.06%), 30 Jul 2004 (-4.18%)
2003311 Jun 2003 (-4.75%), 10 Jul 2003 (-5.34%), 01 Aug 2003 (-4.99%)



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