Study: Buy DIVISLAB when there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy DIVISLAB when there is Bullish 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: buy 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. sell 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
147219.8849262353.063819.2521986.07-2264.37-7142.861.691.910.049963.67
262918.4249262353.065219.6923225.11-3164.93-8159.751.651.860.0551284.05
371387.8249242548.986495.5827828.52-3380.24-13363.371.921.840.0531456.89
413887149292059.187128.3124789.73-3392.49-8159.752.13.050.0962834.1
511538649262353.068746.3726996.47-4870.41-13031.51.82.030.0652354.82
615064149232646.9412258.9941177.54-5050.59-15853.662.432.150.0643074.31
720962449292059.1811688.2159629.07-6466.72-17863.221.812.620.0784278.03
819925549282157.1412844.4961518.72-7637.66-20554.21.682.240.0664066.42
918302749262353.0614318.0963198.41-8227.98-22202.691.741.970.0573735.24
1024367149272255.116486.1173205.11-9157-22120.261.82.210.0654972.88

From the table above, we see that best results are achieved by holding positions for 4 trading days. Profit factor is 3.05. Strategy is very good and impressively bullish. Percentage of profitable trades is 59.18%, which is not acceptable. Avoid this strategy. Average return per trade is 1.42%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.096, 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=4, Profit Factor:3.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 Jun 2019 (-0.32%)
2018230 Apr 2018 (0.92%), 14 Jun 2018 (-0.16%)
2017513 Jan 2017 (-1.88%), 10 Apr 2017 (-2.77%), 01 Jun 2017 (7.28%), 03 Jul 2017 (1.45%), 22 Dec 2017 (0.77%)
2016427 Jan 2016 (-1.72%), 02 Mar 2016 (4.03%), 26 Oct 2016 (0.96%), 07 Dec 2016 (-0.03%)
2015115 May 2015 (2.58%)
2014506 Feb 2014 (1.47%), 21 Feb 2014 (0.24%), 23 Apr 2014 (1.0%), 30 Sep 2014 (-1.65%), 28 Oct 2014 (-0.63%)
2013114 Jun 2013 (-0.12%)
2012503 Mar 2012 (1.09%), 15 May 2012 (3.42%), 26 Jun 2012 (6.6%), 06 Aug 2012 (0.21%), 03 Oct 2012 (0.03%)
2011105 Sep 2011 (-2.0%)
2010307 Jan 2010 (-1.89%), 17 Feb 2010 (-3.99%), 05 Oct 2010 (1.09%)
2009110 Feb 2009 (3.93%)
2008315 Feb 2008 (-1.8%), 26 Mar 2008 (-1.64%), 31 Oct 2008 (12.39%)
2007419 Mar 2007 (4.39%), 12 Jun 2007 (9.7%), 10 Jul 2007 (0.22%), 27 Aug 2007 (5.0%)
2006519 Jun 2006 (4.59%), 04 Sep 2006 (-1.93%), 09 Oct 2006 (-0.57%), 14 Nov 2006 (-1.98%), 27 Dec 2006 (4.0%)
2005218 Aug 2005 (3.27%), 03 Oct 2005 (1.47%)
2004316 Feb 2004 (5.3%), 08 Jul 2004 (-3.42%), 11 Nov 2004 (-1.35%)
2003319 Jun 2003 (4.85%), 30 Jul 2003 (-4.08%), 21 Aug 2003 (11.13%)

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-1413887149292059.187128.3124789.73-3392.49-8159.752.13.050.0962834.1
atrnil310.8427496656173930.3632583.94133131-7152.86-18891.584.561.990.0514910.1
atrtrail-16.1618014557183931.5820826.5496914.65-4993.14-16992.564.171.930.0433160.44
atrnil27.5415641157193833.3322004.7488753.91-6886.3-16992.563.21.60.042744.05
atrtrail35.4246921.7957183931.5813425.2426739.7-4993.14-16992.562.691.240.02823.19
atrtrail24.8815140.2158184031.0312055.233614.12-5046.33-16992.562.391.080.0068261.04

In the table above, row 1 shows the best exit criterion. Profit factor is 3.05. Strategy is very good and impressively bullish. Percentage of profitable trades is 59.18%, which is not acceptable. Avoid this strategy. Average return per trade is 1.42%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.096, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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