Study: Sell PNB when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell PNB when 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 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
116082.52131617046.564660.7824083.77-3831.79-15769.711.221.060.0053122.77
2-55413.45131607145.85670.7722111.62-5572.68-19079.391.020.86-0.014-423
3-86342.6130607046.156815.4632235.52-7075.29-32955.30.960.83-0.017-664.17
4-35737.77130646649.237982.3625288.57-8281.95-34756.50.960.93-0.0064-274.91
53237.14130597145.3810904.430054.01-9015.81-43162.111.211.010.0004724.9
6-23437.82130676351.549207.9227694.26-10164.57-35155.540.910.96-0.0035-180.29
7-19970.5130676351.549883.132494.5-10827.59-32314.410.910.97-0.0029-153.62
852149.8130735756.1510595.4759651.92-12654.73-35509.520.841.070.0065401.15
9189191130735756.1512382.1778729.91-12538.74-43293.820.991.260.0211455.31
10165606130735756.1512866.9959492.49-13573.41-48034.930.951.210.0171273.89
Although, strategy looks good but profit factor on day 3 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
atrnil39.06147901135409529.6324271.0543912.03-8662.53-19507.742.81.180.0171095.56
atrtrail-15.4865426.44147499833.3313816.2881576.29-6240.52-19507.742.211.110.008445.08
atrnil25.7158181.33148539535.8116306.529274.69-8484.87-19507.741.921.070.0076393.12
atrtrail34.6139414.12148499933.1113444.2135805.06-6256.08-19507.742.151.060.0057266.31
atrtrail24.0310030.511505010033.3312793.8523870.04-6296.62-19507.742.031.020.001666.87

In the table above, row 1 shows the best exit criterion. Profit factor is 1.18. 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 29.63%, which is not acceptable. Avoid this strategy. Average return per trade is 0.55%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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:1.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019721 Jan 2019 (9.58%), 05 Apr 2019 (10.7%), 30 May 2019 (14.42%), 22 Aug 2019 (-4.71%), 03 Sep 2019 (-5.27%), 01 Oct 2019 (-4.87%), 13 Nov 2019 (-3.93%)
2018826 Apr 2018 (-3.65%), 15 May 2018 (11.83%), 16 May 2018 (-5.28%), 21 Jun 2018 (11.92%), 13 Aug 2018 (-4.46%), 29 Aug 2018 (-3.71%), 05 Sep 2018 (11.54%), 28 Nov 2018 (-4.13%)
2017715 Feb 2017 (-3.59%), 21 Mar 2017 (-2.63%), 21 Apr 2017 (-3.38%), 12 May 2017 (-3.6%), 13 Jun 2017 (10.42%), 03 Aug 2017 (11.51%), 10 Nov 2017 (17.09%)
2016911 Feb 2016 (-5.63%), 07 Apr 2016 (-3.9%), 02 May 2016 (11.81%), 21 Jul 2016 (-3.91%), 21 Sep 2016 (-3.36%), 22 Sep 2016 (-3.3%), 30 Sep 2016 (-4.02%), 26 Oct 2016 (9.77%), 21 Nov 2016 (17.22%)
2015527 Jan 2015 (9.84%), 26 Mar 2015 (-3.89%), 08 May 2015 (-4.5%), 05 Jun 2015 (-3.69%), 24 Aug 2015 (17.38%)
2014803 Jan 2014 (10.82%), 17 Apr 2014 (-3.21%), 23 Apr 2014 (-3.11%), 30 May 2014 (-4.63%), 08 Aug 2014 (-3.33%), 05 Sep 2014 (-2.8%), 24 Sep 2014 (9.59%), 16 Dec 2014 (-3.33%)
2013811 Jan 2013 (-2.26%), 14 Jan 2013 (6.98%), 24 May 2013 (-3.33%), 30 May 2013 (9.34%), 29 Jul 2013 (13.46%), 01 Oct 2013 (-5.58%), 12 Nov 2013 (-4.92%), 16 Dec 2013 (-3.67%)
2012623 Feb 2012 (10.42%), 19 Mar 2012 (-4.28%), 23 Apr 2012 (9.64%), 19 Jul 2012 (8.31%), 09 Oct 2012 (-3.29%), 28 Dec 2012 (-2.32%)
2011807 Jan 2011 (8.28%), 18 Apr 2011 (-2.49%), 17 Jun 2011 (-2.31%), 27 Jul 2011 (7.9%), 04 Oct 2011 (-3.99%), 26 Oct 2011 (-3.38%), 11 Nov 2011 (10.1%), 15 Dec 2011 (11.25%)
20101015 Jan 2010 (-3.06%), 12 Apr 2010 (-2.47%), 07 May 2010 (-3.68%), 10 May 2010 (-4.02%), 01 Jul 2010 (-2.48%), 02 Jul 2010 (-2.55%), 09 Jul 2010 (-2.63%), 31 Aug 2010 (-2.73%), 23 Sep 2010 (-2.52%), 12 Nov 2010 (7.43%)
2009807 Jan 2009 (16.75%), 18 Feb 2009 (16.22%), 29 Apr 2009 (-6.85%), 01 Jun 2009 (-5.2%), 07 Jul 2009 (-6.03%), 31 Jul 2009 (-5.24%), 22 Oct 2009 (-3.29%), 19 Nov 2009 (-3.65%)
2008808 Jan 2008 (12.96%), 08 Feb 2008 (21.96%), 08 May 2008 (-4.39%), 23 May 2008 (15.35%), 14 Aug 2008 (-6.51%), 17 Sep 2008 (-5.17%), 23 Sep 2008 (15.11%), 19 Nov 2008 (-6.99%)
2007731 Jan 2007 (-3.57%), 09 Feb 2007 (10.6%), 04 Apr 2007 (-5.36%), 25 May 2007 (-4.51%), 26 Jul 2007 (12.8%), 08 Oct 2007 (-3.96%), 18 Dec 2007 (-5.09%)
2006618 Jan 2006 (-3.43%), 05 Apr 2006 (8.96%), 19 May 2006 (16.46%), 07 Sep 2006 (-3.58%), 10 Oct 2006 (-2.84%), 11 Dec 2006 (-4.36%)
2005710 Jan 2005 (-5.44%), 16 Mar 2005 (13.87%), 28 Apr 2005 (-3.75%), 20 Jun 2005 (-2.77%), 08 Aug 2005 (-3.06%), 07 Oct 2005 (-3.04%), 05 Dec 2005 (-3.06%)
20041020 Jan 2004 (-6.02%), 19 Apr 2004 (-4.05%), 03 May 2004 (-5.31%), 04 May 2004 (15.45%), 14 Jun 2004 (-8.89%), 08 Jul 2004 (-6.98%), 04 Aug 2004 (-5.03%), 20 Sep 2004 (-3.71%), 24 Sep 2004 (10.38%), 13 Dec 2004 (-4.24%)
20031227 Jan 2003 (-6.36%), 26 Feb 2003 (-5.68%), 27 Feb 2003 (-5.62%), 10 Mar 2003 (-6.33%), 01 Apr 2003 (-5.22%), 10 Apr 2003 (-5.36%), 03 Jun 2003 (-9.75%), 09 Jul 2003 (-6.3%), 30 Jul 2003 (-5.81%), 05 Sep 2003 (-5.14%), 18 Sep 2003 (-6.81%), 22 Oct 2003 (-6.26%)
2002103 Sep 2002 (-3.69%)



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