Study: Sell DIVISLAB when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell DIVISLAB when below 200 SMA and 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
1-7778.7664266.671797.763550.88-7484.91-9992.740.240.48-0.068-1296.46
2-11184.33633501363.492258.33-5091.6-10519.150.270.27-0.11-1864.05
3-11779.72633501323.912191.32-5250.48-7660.190.250.25-0.14-1963.29
4-19080.7561516.671859.261859.26-4188-12243.260.440.089-0.17-3180.13
5-14695.0162433.332170.193116.55-4758.85-8422.580.460.23-0.16-2449.17
6-23061.9662433.33968.781828.78-6249.88-9184.970.160.078-0.22-3843.66
7-35131.8661516.672575.532575.53-7541.48-14454.680.340.068-0.28-5855.31
8-28105.5261516.674008.084008.08-6422.72-13335.570.620.12-0.22-4684.25
9-21811.9662433.332968.053848.25-6937.02-10782.380.430.21-0.17-3635.33
10-97.6562433.338200.2212918.14-4124.52-6747.71.990.99-0.0006-16.28
Although, strategy looks good but profit factor on day 7 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
atrnil35.12-23387.798262515406.615752.6-9033.5-11762.311.710.57-0.067-2923.47
atrtrail-14.25-26060.1681712.519474.6619474.66-6504.97-11762.312.990.43-0.09-3257.52
atrnil25-33658.858262510271.0710501.73-9033.5-11762.311.140.38-0.12-4207.36
atrtrail33.25-29782.2281712.515752.615752.6-6504.97-11762.312.420.35-0.12-3722.78
atrtrail23.12-35033.0981712.510501.7310501.73-6504.97-11762.311.610.23-0.18-4379.14

In the table above, row 1 shows the best exit criterion. Profit factor is 0.57. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
DIVISLAB Performance, Profit Factor:0.568

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017210 Jul 2017 (-2.82%), 19 Jul 2017 (7.88%)
2011130 Mar 2011 (7.53%)
2009220 May 2009 (-5.88%), 25 May 2009 (-5.82%)
2005125 May 2005 (-3.49%)
2004108 Sep 2004 (-3.99%)
2003122 Dec 2003 (-5.1%)



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