Study: Buy DIVISLAB when there is bullish divergence in RSI and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy DIVISLAB when there is bullish divergence in RSI 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
111856.76124833.338556.8724323.23-2796.34-5119.83.061.530.032988.06
2196.77124833.3310422.0922731.42-5186.45-13253.22.0110.0004416.4
3-8569.08127558.336194.0915664.61-10385.55-20646.840.60.83-0.017-714.09
4-39934.53127558.334350.239921.9-14077.23-22418.160.310.43-0.08-3327.88
5-75820.56125741.674532.667201.1-14069.12-37324.060.320.23-0.12-6318.38
6-30289.661266506119.3410187.97-11167.61-36928.670.550.55-0.05-2524.14
7-10953.44128466.676998.4914598.15-16735.33-39862.410.420.84-0.016-912.79
835333.8812937510350.6724211.7-19274.05-32302.70.541.610.0492944.49
974274.8512937513628.8348859.37-16128.21-23114.030.852.540.0886189.57
1010695012937515954.8850248.4-12214.66-21208.291.313.920.128912.5
Although, strategy looks good but profit factor on day 5 is less than minimum accepted value so avoid this, see below for further analysis.
DIVISLAB Performance, X=10, Profit Factor:3.92

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017302 Jan 2017 (-7.5%), 18 Jan 2017 (-0.22%), 29 Mar 2017 (3.53%)
2016124 Feb 2016 (7.91%)
2011129 Aug 2011 (2.17%)
2010205 Feb 2010 (5.14%), 08 Dec 2010 (3.51%)
2009130 Jan 2009 (6.35%)
2008120 Oct 2008 (25.12%)
2007213 Aug 2007 (-10.6%), 17 Sep 2007 (14.72%)
2004102 Nov 2004 (3.34%)

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
atrtrail210.0858862.66139469.2311189.6734450.46-10461.08-18255.691.072.410.0844527.9
atrtrail311.4627420.25139469.237696.0620043.95-10461.08-18255.690.741.660.0512109.25
atrtrail-111.6922115.93139469.237106.714852.06-10461.08-18255.690.681.530.0441701.23
atrnil353.4247960.9912665028769.951675.69-20776.4-64185.521.381.380.0343996.75
atrnil241.0815682.81127558.3318845.8134450.46-23247.57-64185.520.811.130.0131306.9

In the table above, row 1 shows the best exit criterion. Profit factor is 2.41. 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 69.23%, which is good. Average return per trade is 2.26%, which is very good. Sharpe Ratio is 0.084, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
DIVISLAB Performance, Profit Factor:2.41

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017402 Jan 2017 (-6.43%), 06 Jan 2017 (-3.94%), 27 Jan 2017 (8.42%), 29 Mar 2017 (1.82%)
2016124 Feb 2016 (8.69%)
2011129 Aug 2011 (0.66%)
2010205 Feb 2010 (3.21%), 08 Dec 2010 (6.68%)
2009230 Jan 2009 (-9.13%), 06 Feb 2009 (17.23%)
2008120 Oct 2008 (1.82%)
2007113 Aug 2007 (-1.42%)
2004102 Nov 2004 (1.83%)



View performance of other stocks for this trading system.

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