Study: Sell DIVISLAB when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell DIVISLAB when RSI is overbought" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. buy 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
128697.3584463854.763511.3222788.11-3495.35-22302.5511.220.016341.64
2-8479.5584463854.763808.1422309.01-4833-25844.140.790.95-0.004-100.95
3-49825.7684453953.575221.2421746.6-7302.09-30520.350.720.83-0.018-593.16
4-13064684364842.867258.823800.77-8165.89-53581.030.890.67-0.033-1555.31
5-24735784384645.247085.3325805.32-11230.42-60685.480.630.52-0.052-2944.72
6-24803884394546.43803028483.89-12471.28-58794.160.640.56-0.048-2952.83
7-37350584364842.869019.9826820.8-14546.34-61741.550.620.47-0.064-4446.49
8-43784384354941.679044.3726575.63-15395.83-75148.250.590.42-0.072-5212.41
9-34388684354941.6710479.6830224.02-14503.58-89241.430.720.52-0.054-4093.89
10-33080784315336.912472.8229054.36-13537.07-81201.390.920.54-0.053-3938.18

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.22. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 54.76%, which is not acceptable. Avoid this strategy. Average return per trade is 0.17%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, which is low, don't trade solely on the basis of this study.

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-1128697.3584463854.763511.3222788.11-3495.35-22302.5511.220.016341.64
atrtrail-14.65-2017801945314127.3210888.07163681-5523.74-11762.311.970.74-0.018-1040.1
atrnil36.72-2624301743613820.6919456.9537392.34-6977.39-11943.532.790.73-0.034-1508.22
atrnil24.84-2963971794813126.8213077.624928.22-7054.37-11943.531.850.68-0.044-1655.85
atrtrail33.93-2513831955514028.219589.6532957.09-5562.96-11762.311.720.68-0.037-1289.14
atrtrail23.57-2716821985714128.799225.9524928.22-5656.46-11762.311.630.66-0.043-1372.13

In the table above, row 1 shows the best exit criterion. Profit factor is 1.22. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 54.76%, which is not acceptable. Avoid this strategy. Average return per trade is 0.17%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, 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, X=1, Profit Factor:1.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019104 Feb 2019 (-0.42%)
2018417 Apr 2018 (0.48%), 03 Aug 2018 (1.27%), 23 Aug 2018 (-0.53%), 30 Oct 2018 (0.08%)
2017510 Jul 2017 (0.03%), 12 Sep 2017 (-2.88%), 26 Sep 2017 (11.39%), 02 Nov 2017 (2.16%), 27 Dec 2017 (0.82%)
2016321 Apr 2016 (1.98%), 22 Jul 2016 (0.04%), 17 Aug 2016 (-0.11%)
2015407 Apr 2015 (-0.42%), 17 Jul 2015 (0.8%), 11 Aug 2015 (-1.8%), 03 Nov 2015 (1.16%)
2014703 Jan 2014 (-0.35%), 21 Jan 2014 (-1.66%), 06 Feb 2014 (-1.42%), 24 Feb 2014 (-0.01%), 27 Jun 2014 (-1.5%), 02 Sep 2014 (-1.02%), 29 Sep 2014 (-0.55%)
2013215 May 2013 (1.13%), 12 Nov 2013 (-0.09%)
2012827 Jan 2012 (3.91%), 12 Apr 2012 (-0.75%), 28 Apr 2012 (-2.32%), 15 May 2012 (1.19%), 29 Jun 2012 (-1.93%), 16 Jul 2012 (-0.16%), 06 Aug 2012 (1.91%), 23 Aug 2012 (0.38%)
2011430 Mar 2011 (0.56%), 30 May 2011 (-0.85%), 13 Jun 2011 (0.79%), 07 Jul 2011 (1.58%)
2010207 Jan 2010 (2.53%), 06 Apr 2010 (-1.12%)
2009420 May 2009 (-5.0%), 04 Jun 2009 (1.9%), 14 Oct 2009 (3.37%), 02 Dec 2009 (-1.58%)
2008113 Aug 2008 (4.09%)
2007802 Feb 2007 (-2.76%), 16 Apr 2007 (1.85%), 03 May 2007 (-1.72%), 17 May 2007 (0.38%), 31 May 2007 (-0.03%), 14 Jun 2007 (-0.63%), 02 Jul 2007 (0.66%), 16 Jul 2007 (0.36%)
20061216 Jan 2006 (1.67%), 31 Jan 2006 (-0.6%), 15 Feb 2006 (-1.0%), 03 Apr 2006 (0.13%), 01 Aug 2006 (-0.54%), 16 Aug 2006 (-2.97%), 01 Sep 2006 (-11.15%), 18 Sep 2006 (0.7%), 03 Oct 2006 (1.46%), 18 Oct 2006 (-0.39%), 02 Nov 2006 (0.97%), 16 Nov 2006 (1.53%)
2005525 May 2005 (-2.49%), 06 Jul 2005 (2.97%), 20 Jul 2005 (2.35%), 19 Aug 2005 (2.39%), 04 Oct 2005 (1.23%)
2004419 Feb 2004 (-1.33%), 08 Sep 2004 (1.78%), 27 Sep 2004 (1.91%), 15 Dec 2004 (1.74%)
20031026 May 2003 (0.92%), 09 Jun 2003 (3.55%), 23 Jun 2003 (0.75%), 07 Jul 2003 (4.18%), 30 Jul 2003 (2.92%), 26 Aug 2003 (-3.23%), 09 Sep 2003 (-0.07%), 27 Nov 2003 (-3.75%), 11 Dec 2003 (0.82%), 26 Dec 2003 (-7.3%)



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