Study: Buy DIVISLAB when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy DIVISLAB when below 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
1-40151.4952232944.234094.7813870.49-4632.12-23029.60.880.7-0.03-772.14
2-10009852213140.385049.1813065.64-6649.37-27813.320.760.51-0.059-1924.96
310778.2852252748.087920.8836311.18-6934.95-19789.471.141.060.0052207.27
477853.0752292355.7710009.5562288.95-9235.82-32982.461.081.370.0261497.17
561687.5952302257.699299.7263752.94-9877.45-27620.890.941.280.0211186.3
611677052302257.6910080.2669192.14-8438.08-26953.091.191.630.0392245.57
794864.4652292355.7711591.2265601.62-10490.47-42503.851.11.390.0281824.32
815310752292355.7712965.9668209.02-9691.56-31379.431.341.690.0462944.37
914823052312159.6213083.6568636.46-12255.4-40723.941.071.580.0412850.57
1080149.1252322061.5412226.7855802.52-15555.39-54406.980.791.260.0211541.33
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
atrnil356.8138962937132435.1446748.42277639-9087.51-19027.115.142.790.05410530.52
atrnil247.3822710839152438.4629540.2185093-8999.77-19027.113.282.050.0455823.29
atrtrail35.8871976.9383315237.3514619.6365186.81-7331.38-16355.971.991.190.015867.19
atrtrail25.149487.9883325138.5513443.7743457.87-7464.96-16355.971.81.130.012596.24
atrtrail-16.41-15132.4383305336.1412360.0647516.78-7281.78-16355.971.70.96-0.0037-182.32

In the table above, row 1 shows the best exit criterion. Profit factor is 2.79. 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 35.14%, which is not acceptable. Avoid this strategy. Average return per trade is 5.27%, which is very good. Sharpe Ratio is 0.054, 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:2.79

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019213 Aug 2019 (-3.34%), 16 Aug 2019 (10.37%)
2018128 Jun 2018 (10.51%)
2017923 Jan 2017 (13.52%), 21 Mar 2017 (-4.88%), 19 May 2017 (-2.1%), 22 May 2017 (-2.28%), 23 May 2017 (-2.49%), 24 May 2017 (-2.69%), 25 May 2017 (-2.78%), 09 Aug 2017 (-3.48%), 21 Aug 2017 (10.97%)
2016509 Feb 2016 (-3.75%), 12 Feb 2016 (-4.08%), 24 Feb 2016 (13.03%), 23 Dec 2016 (-6.1%), 26 Dec 2016 (-7.51%)
2007103 Aug 2007 (138.82%)
2006418 May 2006 (-6.42%), 19 May 2006 (-7.53%), 22 May 2006 (-9.51%), 14 Jun 2006 (28.59%)
2005812 Jan 2005 (16.49%), 31 Jan 2005 (-5.98%), 23 Feb 2005 (-3.89%), 22 Mar 2005 (-3.43%), 24 Mar 2005 (-3.71%), 28 Mar 2005 (11.87%), 28 Apr 2005 (14.57%), 30 Jun 2005 (7.75%)
2004707 Jun 2004 (-5.6%), 24 Jun 2004 (-4.61%), 30 Jun 2004 (-4.89%), 29 Jul 2004 (12.18%), 15 Oct 2004 (-3.85%), 20 Oct 2004 (-4.16%), 25 Oct 2004 (15.17%)



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