Study: Sell DIVISLAB when RSI is below 50 and 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 RSI is below 50 and 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
1-4922.32136746.156370.5223029.6-6163.64-18930.571.030.89-0.01-378.64
2-3116.47136746.156278.1916958.79-5826.52-15560.891.080.92-0.0074-239.73
318633.56136746.157794.7815287.69-4019.31-10571.061.941.660.0511433.35
449598.8138561.548210.7916782.86-3217.5-7509.392.554.080.133815.29
560789.21310376.927157.518061.52-3595.28-6425.181.996.640.184676.09
692975.531310376.929581.8125006.79-947.54-1667.1410.1133.710.247151.96
795803.231311284.6210214.8219419.62-8279.9-9418.861.236.790.217369.48
879494.7212937510754.1425351.13-5764.18-14928.891.875.60.166624.56
970501.0112937511001.8126532.37-9505.08-19205.051.163.470.125875.08
1063028.13128466.6711438.8928810.21-7120.74-14034.11.613.210.115252.34
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
DIVISLAB Performance, X=6, Profit Factor:33.7

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019105 Nov 2019 (1.83%)
2017322 Mar 2017 (0.65%), 22 May 2017 (1.22%), 24 Jul 2017 (2.93%)
2016309 Feb 2016 (4.37%), 04 Nov 2016 (7.37%), 23 Dec 2016 (7.39%)
2014209 May 2014 (5.01%), 05 Nov 2014 (-0.16%)
2009122 Oct 2009 (4.64%)
2008107 Mar 2008 (12.5%)
2004205 Mar 2004 (-0.43%), 29 Jul 2004 (-0.83%)

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
atrnil39739.041551033.3320130.2336602.25-9991.21-17843.492.011.010.0007949.27
atrtrail34.4-172.09157846.678910.0915421.85-7817.84-14759.461.141-0.00029-11.47
atrtrail24-5008.76167943.7510363.7324401.5-8617.2-15012.111.20.94-0.007-313.05
atrnil24.69-25329.891661037.513682.7424401.5-10742.64-17843.491.270.76-0.031-1583.12
atrtrail-15.27-27959.361569406348.7511571.42-7339.1-14759.460.870.58-0.059-1863.96

In the table above, row 1 shows the best exit criterion. Profit factor is 1.01. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.025%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.00079, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
DIVISLAB Performance, Profit Factor:1.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019105 Nov 2019 (-2.24%)
2017322 Mar 2017 (-4.91%), 22 May 2017 (6.85%), 24 Jul 2017 (9.96%)
2016309 Feb 2016 (-3.75%), 04 Nov 2016 (7.5%), 23 Dec 2016 (18.3%)
2014209 May 2014 (7.71%), 05 Nov 2014 (-3.19%)
2009122 Oct 2009 (-4.39%)
2008207 Mar 2008 (-7.38%), 13 Mar 2008 (-8.92%)
2004305 Mar 2004 (-6.93%), 29 Jul 2004 (-4.06%), 30 Jul 2004 (-4.18%)



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