Study: Buy DIVISLAB when RSI is above 50 and 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 RSI is above 50 and 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
114719.2530141646.673735.4115124.41-2348.53-7142.861.591.390.029490.64
211796.7330161453.333658.889975.19-3338.95-8159.751.11.250.022393.22
339774.01301515505839.5215304.26-3187.92-8108.111.831.830.0591325.8
410269430219706296.0722251.7-3280.4-8159.751.924.480.123423.13
586541.79301812608299.3125072.18-5237.15-13031.51.582.380.082884.73
61312613015155013466.4641177.54-4715.75-12411.772.862.860.0844375.36
720268130191163.3313810.8759629.07-5429.56-14449.242.544.390.116756.04
819954630191163.3314807.8761518.72-7436.72-20554.21.993.440.0976651.52
919712330171356.6717479.2263198.41-7694.15-19323.542.272.970.0896570.76
102219903018126018605.0573205.11-9408.44-22120.261.982.970.0847399.66
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
DIVISLAB Performance, X=4, Profit Factor:4.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 Jun 2019 (-0.32%)
2018130 Apr 2018 (0.92%)
2017302 Jun 2017 (5.23%), 03 Jul 2017 (1.45%), 22 Dec 2017 (0.77%)
2016127 Jan 2016 (-1.72%)
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%)
2012415 May 2012 (3.42%), 26 Jun 2012 (6.6%), 06 Aug 2012 (0.21%), 03 Oct 2012 (0.03%)
2010107 Jan 2010 (-1.89%)
2008103 Nov 2008 (2.26%)
2007212 Jun 2007 (9.7%), 10 Jul 2007 (0.22%)
2006404 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%)
2004116 Feb 2004 (5.3%)
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
atrtrail-15.6420353636122433.3325704.3896914.65-4371.51-11264.045.882.940.0665653.78
atrtrail34.562832.8836122433.3313979.126739.7-4371.51-11264.043.21.60.0411745.36
atrnil38.5275144.7333102330.322806.1430290.55-6648.55-17483.893.431.490.042277.11
atrtrail23.8431489.3337122532.4311960.5417826.47-4481.48-11264.042.671.280.025851.06
atrnil25.7213774.2336122433.3314423.7820193.7-6637.97-17483.892.171.090.0092382.62

In the table above, row 1 shows the best exit criterion. Profit factor is 2.94. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 2.83%, which is very good. Sharpe Ratio is 0.066, 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:2.94

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 Jun 2019 (-2.76%)
2018130 Apr 2018 (-1.26%)
2017402 Jun 2017 (3.38%), 03 Jul 2017 (-2.39%), 04 Jul 2017 (12.32%), 22 Dec 2017 (0.21%)
2016227 Jan 2016 (-2.82%), 28 Jan 2016 (-1.82%)
2015115 May 2015 (-1.76%)
2014506 Feb 2014 (-1.26%), 21 Feb 2014 (-1.24%), 23 Apr 2014 (-0.29%), 30 Sep 2014 (-2.79%), 28 Oct 2014 (0.62%)
2012615 May 2012 (-3.14%), 16 May 2012 (3.78%), 26 Jun 2012 (3.7%), 06 Aug 2012 (-2.39%), 16 Aug 2012 (-1.72%), 03 Oct 2012 (-3.13%)
2010207 Jan 2010 (-2.95%), 08 Jan 2010 (-2.43%)
2008103 Nov 2008 (-5.63%)
2007212 Jun 2007 (16.61%), 10 Jul 2007 (-0.74%)
2006504 Sep 2006 (-2.12%), 09 Oct 2006 (19.45%), 14 Nov 2006 (-2.78%), 24 Nov 2006 (-1.0%), 27 Dec 2006 (-0.63%)
2005218 Aug 2005 (3.73%), 03 Oct 2005 (-0.59%)
2004116 Feb 2004 (14.87%)
2003319 Jun 2003 (27.1%), 30 Jul 2003 (-4.82%), 21 Aug 2003 (48.46%)



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