Study: Buy DIVISLAB when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy DIVISLAB when near 200 SMA and above 200 SMA" 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
123706.0639211853.853236.669117.98-2459.1-5850.611.321.540.042607.85
219278.7339211853.854149.1910893.53-3769.68-8543.231.11.280.025494.33
352656.4139241561.544987.0716726.36-4468.89-10163.51.121.790.0581350.16
456287.8639251464.15432.9514903.38-5681.13-15016.20.961.710.0551443.28
542981.2939241561.546573.9319809.85-7652.86-25913.370.861.370.0311102.08
671113.5339241561.547575.9134307.91-7380.56-33510.861.031.640.0441823.42
751049.2139221756.417954.6530040.62-7291.36-26114.481.091.410.0331308.95
836331.239221756.417870.1529978.13-8047.77-31767.90.981.270.023931.57
9-3529639221756.416866.924568.14-10962.81-50128.30.630.81-0.018-905.03
10-82031.6438211755.26647624523.5-12825.15-67385.730.50.62-0.035-2158.73
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.

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
200trail32.2962958.9659203933.98283.9811709.67-2633.86-3849.383.151.610.0481067.1
200nil32.4351292.656183832.148986.7811709.67-2907.09-3849.383.091.460.04915.94
200trail21.8326047.0660223836.675972.57806.45-2772.31-3979.722.151.250.025434.12
200nil21.924455.3458223637.935972.57806.45-2970.55-3979.722.011.230.024421.64
atrtrail24.7132684.5349222744.98071.2413442.87-5366.03-11253.431.51.230.022667.03
atrnil26.3737846.1341172441.4612234.0720322.03-7088.88-11943.531.731.220.023923.08
atrnil39.8523958.2234102429.4119277.2830483.04-7033.94-11943.532.741.140.014704.65
200trail-13.666457.2556164028.577020.0223686.42-2646.58-3849.382.651.060.0055115.31
atrtrail-15.42-22105.1248212743.755846.5526940.66-5366.03-11253.431.090.85-0.016-460.52
atrtrail35.23-27016.948212743.755612.6617771.67-5366.03-11253.431.050.81-0.021-562.85

In the table above, row 1 shows the best exit criterion. Profit factor is 1.61. 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 33.9%, which is not acceptable. Avoid this strategy. Average return per trade is 0.53%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.048, 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:1.61

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019714 Jun 2019 (3.02%), 19 Jun 2019 (5.73%), 05 Aug 2019 (3.14%), 27 Aug 2019 (-1.06%), 17 Sep 2019 (-0.78%), 23 Sep 2019 (4.84%), 01 Oct 2019 (5.85%)
2018311 Jun 2018 (4.79%), 22 Jun 2018 (-1.78%), 02 Jul 2018 (4.46%)
2016822 Apr 2016 (-1.3%), 13 May 2016 (-1.4%), 27 May 2016 (4.7%), 24 Nov 2016 (-1.43%), 01 Dec 2016 (-1.53%), 06 Dec 2016 (-1.71%), 12 Dec 2016 (-0.1%), 19 Dec 2016 (-1.7%)
20131117 Jan 2013 (-1.86%), 18 Jan 2013 (-0.58%), 28 Jan 2013 (-0.96%), 30 Jan 2013 (-1.55%), 01 Feb 2013 (-1.38%), 13 Feb 2013 (-1.18%), 07 May 2013 (-1.73%), 13 May 2013 (0.95%), 04 Oct 2013 (1.01%), 14 Oct 2013 (-0.59%), 23 Oct 2013 (-1.52%)
2012217 Feb 2012 (-1.12%), 03 Apr 2012 (5.12%)
2011701 Apr 2011 (-1.68%), 06 Apr 2011 (3.05%), 19 Apr 2011 (-0.97%), 25 Aug 2011 (4.62%), 24 Nov 2011 (-1.33%), 09 Dec 2011 (3.67%), 20 Dec 2011 (5.73%)
2010605 Feb 2010 (-1.68%), 29 Sep 2010 (-1.72%), 01 Oct 2010 (4.01%), 18 Oct 2010 (-1.0%), 21 Oct 2010 (-0.25%), 05 Nov 2010 (3.09%)
2009702 Jan 2009 (-1.06%), 21 May 2009 (-1.92%), 27 May 2009 (4.71%), 25 Jun 2009 (-1.84%), 22 Jul 2009 (4.49%), 28 Aug 2009 (-1.74%), 07 Sep 2009 (-1.62%)
2008322 Aug 2008 (-1.32%), 08 Sep 2008 (-1.84%), 09 Sep 2008 (-1.32%)
2005205 Jan 2005 (-1.16%), 08 Jul 2005 (-1.07%)
2004308 Jun 2004 (5.85%), 27 Sep 2004 (-1.43%), 05 Oct 2004 (-1.11%)



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