Study: Sell DIVISLAB when RSI is above 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell DIVISLAB when RSI is above 50 and there is Bearish Crossover in MACD" 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
1-63199.6581324939.512725.7513999.26-3069.87-11572.440.890.58-0.048-780.24
2-10723881344741.984103.6918568.55-5250.29-19541.90.780.57-0.05-1323.93
3-13545681334840.745865.1526486.57-6854.29-43784.40.860.59-0.045-1672.3
4-16124781324939.516366.9618778.14-7448.76-44098.950.850.56-0.052-1990.7
5-19325481315038.276858.0224670.08-8117.05-53862.910.840.52-0.056-2385.85
6-20878181324939.517988.6830597.37-9477.93-58539.920.840.55-0.051-2577.54
7-307689803248408164.7132049.3-11853.34-53803.610.690.46-0.07-3846.12
8-30157380275333.751231741531.84-11964.74-60066.821.030.52-0.055-3769.66
9-24010480305037.514080.1257126.22-13250.15-56603.631.060.64-0.039-3001.3
10-27559780265432.516573.7661385.67-13083.6-52514.471.270.61-0.043-3444.96
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
atrnil36-16316395177817.8921916.4839752.34-6868.51-14063.393.190.7-0.037-1717.51
atrtrail34.04-18157497207720.6212208.8839752.34-5529.24-11345.12.210.57-0.052-1871.9
atrtrail-14.49-20884396197719.7911348.8945726.32-5512.62-11345.12.060.51-0.059-2175.44
atrnil24.97-27634097187918.5614551.9426501.56-6813.61-14063.392.140.49-0.081-2848.87
atrtrail23.82-22415398207820.4110190.0426501.56-5486.59-11345.11.860.48-0.077-2287.28

In the table above, row 1 shows the best exit criterion. Profit factor is 0.7. 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:0.695

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019418 Feb 2019 (-2.87%), 20 Mar 2019 (-2.5%), 20 Sep 2019 (-2.91%), 07 Oct 2019 (-2.9%)
2018902 Jan 2018 (-2.92%), 03 Jan 2018 (-2.9%), 26 Apr 2018 (-2.71%), 03 May 2018 (7.45%), 10 Aug 2018 (-3.36%), 05 Sep 2018 (-3.18%), 10 Sep 2018 (-3.26%), 28 Sep 2018 (-3.98%), 22 Nov 2018 (-3.39%)
2017328 Jun 2017 (-2.36%), 28 Sep 2017 (-5.8%), 16 Nov 2017 (-4.16%)
2016705 Jan 2016 (6.78%), 03 May 2016 (-2.76%), 19 May 2016 (-2.73%), 14 Jun 2016 (-2.68%), 08 Jul 2016 (-2.19%), 01 Aug 2016 (-2.23%), 02 Sep 2016 (-2.51%)
2015726 Mar 2015 (-2.62%), 04 Jun 2015 (-2.92%), 28 Jul 2015 (-2.32%), 26 Aug 2015 (-4.79%), 27 Aug 2015 (-4.68%), 29 Sep 2015 (-3.9%), 11 Nov 2015 (-3.36%)
2014628 Jan 2014 (-2.26%), 14 Feb 2014 (-2.6%), 06 Mar 2014 (6.3%), 14 Jul 2014 (-3.54%), 23 Sep 2014 (-2.7%), 08 Oct 2014 (-2.96%)
2013320 May 2013 (7.79%), 17 Oct 2013 (-2.7%), 03 Dec 2013 (-2.66%)
2012813 Jan 2012 (-2.43%), 31 Jan 2012 (8.29%), 08 May 2012 (-2.95%), 31 May 2012 (-2.84%), 08 Aug 2012 (-2.47%), 28 Aug 2012 (-2.86%), 07 Nov 2012 (-3.08%), 19 Nov 2012 (-3.0%)
2011520 Apr 2011 (8.77%), 21 Apr 2011 (-3.56%), 29 Apr 2011 (-3.07%), 16 Jun 2011 (7.39%), 21 Jul 2011 (-2.32%)
2010311 Jan 2010 (8.97%), 19 Apr 2010 (-2.92%), 24 Jun 2010 (-2.55%)
2009407 Jan 2009 (13.9%), 12 Jun 2009 (18.6%), 23 Oct 2009 (-4.29%), 17 Dec 2009 (-3.43%)
2008408 Jan 2008 (13.46%), 25 Aug 2008 (-4.46%), 08 Sep 2008 (-4.16%), 26 Nov 2008 (-7.03%)
20071011 Jan 2007 (-4.16%), 29 Jan 2007 (-3.41%), 13 Feb 2007 (-3.72%), 21 May 2007 (-2.8%), 08 Jun 2007 (-3.18%), 11 Jun 2007 (-3.21%), 28 Jun 2007 (-3.84%), 17 Jul 2007 (-3.81%), 18 Jul 2007 (-3.74%), 18 Dec 2007 (-5.83%)
20061020 Feb 2006 (-3.53%), 17 Apr 2006 (-5.44%), 24 Apr 2006 (-4.97%), 08 May 2006 (12.55%), 23 Aug 2006 (-3.97%), 10 Nov 2006 (-3.46%), 13 Nov 2006 (-3.58%), 20 Nov 2006 (-3.64%), 21 Nov 2006 (-3.59%), 29 Nov 2006 (10.57%)
2005503 Jan 2005 (12.52%), 10 Jun 2005 (-3.08%), 02 Aug 2005 (-3.82%), 09 Sep 2005 (11.69%), 15 Dec 2005 (-3.22%)
2004408 Mar 2004 (19.88%), 23 Sep 2004 (-3.54%), 24 Sep 2004 (-3.53%), 06 Oct 2004 (11.38%)
2003311 Jun 2003 (-4.75%), 10 Jul 2003 (-5.34%), 01 Aug 2003 (-4.99%)



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