Study: Sell PNB when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell PNB when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell PNB 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
1-19484.337172045.953119.3813879.86-3625.69-15655.580.860.73-0.026-526.6
244120.0637211656.76536815796.14-4288-15003.261.251.640.0441192.43
375556.137241364.866398.5116943.83-6000.62-22961.511.071.970.0612042.06
410144537201754.0511602.8439033.57-7683.07-18656.231.511.780.0522741.74
513948637231462.1611869.7542422.34-9537.02-24005.221.242.040.0663769.89
617322837231462.1613860.2853780.99-10397.01-25716.11.332.190.0724681.84
720613237241364.8615445.9853718.23-12659.3-22072.521.222.250.085571.15
816722637231462.1614860.8852776.91-12469.61-24952.261.191.960.0644519.61
915120937221559.4615658.8356165.67-12885.71-25588.81.221.780.0544086.72
1013891237211656.7616549.9557609.04-13039.83-28833.271.271.670.0473754.37
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
PNB Performance, X=7, Profit Factor:2.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019307 Jan 2019 (-4.59%), 01 Mar 2019 (-10.7%), 27 Jun 2019 (6.67%)
2018108 Feb 2018 (26.86%)
2017310 Aug 2017 (3.6%), 31 Aug 2017 (3.93%), 19 Sep 2017 (9.14%)
2016128 Dec 2016 (-4.48%)
2015230 Jan 2015 (12.36%), 18 Aug 2015 (14.48%)
2014102 Jan 2014 (1.61%)
2013428 Feb 2013 (-2.98%), 14 Mar 2013 (9.11%), 25 Apr 2013 (4.8%), 24 May 2013 (3.49%)
2012424 Jan 2012 (3.97%), 13 Mar 2012 (3.18%), 26 Sep 2012 (4.44%), 18 Oct 2012 (12.36%)
2011418 Jan 2011 (4.64%), 29 Mar 2011 (-2.41%), 29 Apr 2011 (8.23%), 19 Jul 2011 (5.13%)
2009114 Jan 2009 (14.75%)
2008325 Apr 2008 (3.1%), 10 Nov 2008 (14.76%), 16 Dec 2008 (-3.46%)
2007330 Jul 2007 (-3.37%), 13 Aug 2007 (10.21%), 13 Sep 2007 (-8.77%)
2006226 Apr 2006 (-8.07%), 14 Aug 2006 (-7.5%)
2005131 Oct 2005 (-4.54%)
2004312 Jul 2004 (-11.04%), 18 Aug 2004 (3.89%), 09 Sep 2004 (0.65%)
2003110 Feb 2003 (-10.38%)

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
atrnil38.9217024536142238.8924726.0540360.96-7996.34-13529.433.091.970.0694729.04
atrnil25.4114034339192048.7215807.726907.31-8000.16-13529.431.981.880.073598.54
atrtrail24.2812134543202346.5113478.726907.31-6444.76-13529.432.091.820.0622821.97
atrtrail34.9510818643202346.5112820.7931451.24-6444.76-13529.431.991.730.0522515.96
atrtrail-16.310090543182541.8614541.1372658.28-6433.42-13529.432.261.630.0372346.63
200trail-13.0954021.4154144025.9310758.6427956.62-2414.99-3882.414.451.560.0341000.4
200trail32.1128274.0454153927.788303.111581.52-2468.53-3882.413.361.290.025523.59
200trail21.7313033.0955183732.736073.217765.98-2602.29-3882.412.331.140.014236.97
200nil21.7613311.0155193634.556109.767765.98-2854.84-3911.682.141.130.013242.02
200nil32.2112210.1452143826.928728.3911581.52-2894.4-3911.683.021.110.011234.81

In the table above, row 1 shows the best exit criterion. Profit factor is 1.97. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 38.89%, which is not acceptable. Avoid this strategy. Average return per trade is 2.36%, which is very good. Sharpe Ratio is 0.069, 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.
PNB Performance, Profit Factor:1.97

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019307 Jan 2019 (-3.22%), 01 Mar 2019 (-3.56%), 27 Jun 2019 (-3.52%)
2018108 Feb 2018 (15.73%)
2017210 Aug 2017 (-3.91%), 24 Aug 2017 (-3.86%)
2016128 Dec 2016 (-3.77%)
2015230 Jan 2015 (11.86%), 18 Aug 2015 (12.64%)
2014102 Jan 2014 (10.99%)
2013428 Feb 2013 (-3.2%), 14 Mar 2013 (8.34%), 25 Apr 2013 (-2.98%), 24 May 2013 (-3.33%)
2012424 Jan 2012 (-3.24%), 13 Mar 2012 (-3.59%), 21 Mar 2012 (11.99%), 26 Sep 2012 (9.6%)
2011418 Jan 2011 (10.19%), 29 Mar 2011 (-2.54%), 29 Apr 2011 (7.39%), 19 Jul 2011 (-2.17%)
2009114 Jan 2009 (16.45%)
2008325 Apr 2008 (13.23%), 10 Nov 2008 (20.18%), 16 Dec 2008 (-5.94%)
2007230 Jul 2007 (-4.5%), 13 Aug 2007 (-4.39%)
2006326 Apr 2006 (10.06%), 14 Aug 2006 (-4.64%), 18 Aug 2006 (-4.47%)
2005131 Oct 2005 (-4.5%)
2004312 Jul 2004 (-6.76%), 18 Aug 2004 (14.44%), 09 Sep 2004 (-4.1%)
2003110 Feb 2003 (-5.76%)



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