Study: Sell PNB when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell PNB when RSI is below 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 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
171479.9788484054.554686.3724083.77-3836.65-15769.711.221.470.034812.27
214107.9788464252.275249.622111.62-5413.65-19079.390.971.060.0054160.32
330378.787474054.027253.2932235.52-7763.14-32955.30.931.10.0084349.18
478862.5287493856.328334.2725288.57-8671.49-34756.50.961.240.021906.47
572470.0487444350.5710507.1630054.01-9066.16-43162.111.161.190.016832.99
616893.7987493856.328842.2326924.02-10957.25-35155.540.811.040.0038194.18
726224.4287483955.179938.0832494.5-11559.06-32314.410.861.060.0056301.43
834617.9587503757.4710224.0633422.92-12880.67-35121.650.791.070.0069397.91
911957887523559.7711394.3837087.71-13512.26-43293.820.841.250.0211374.46
1011533787513658.6212513.1150306.39-14523.1-48034.930.861.220.0181325.71

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.47. 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 54.55%, which is not acceptable. Avoid this strategy. Average return per trade is 0.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, 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
atrnil31033028581315038.2725207.3443912.03-9022.84-17786.462.791.730.0574077.6
atrtrail-16.2721856489345538.216128.181576.29-5996.21-17786.462.691.660.0382455.77
atrtrail34.9616800190345637.7814869.8135805.06-6028.08-17786.462.471.50.0371866.68
nilnil-1171479.9788484054.554686.3724083.77-3836.65-15769.711.221.470.034812.27
atrnil26.0316490490385242.221636229274.69-8785.61-17786.461.861.360.0341832.27
atrtrail24.2412521392355738.0413517.0123870.04-6103.19-17786.462.211.360.0311361.01

In the table above, row 1 shows the best exit criterion. Profit factor is 1.73. 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 38.27%, which is not acceptable. Avoid this strategy. Average return per trade is 2.04%, which is very good. Sharpe Ratio is 0.057, 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:1.73

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019622 Jan 2019 (9.68%), 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%)
2018916 Jan 2018 (-3.38%), 31 Jan 2018 (14.1%), 26 Apr 2018 (-3.65%), 15 May 2018 (11.83%), 16 May 2018 (-5.28%), 21 Jun 2018 (11.92%), 13 Aug 2018 (-4.46%), 05 Sep 2018 (11.54%), 28 Nov 2018 (-4.13%)
2017422 Mar 2017 (-2.92%), 13 Jun 2017 (10.42%), 03 Aug 2017 (11.51%), 28 Dec 2017 (-3.71%)
2016411 Feb 2016 (-5.63%), 07 Apr 2016 (-3.9%), 02 May 2016 (11.81%), 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%)
2014308 Aug 2014 (-3.33%), 05 Sep 2014 (-2.8%), 24 Sep 2014 (9.59%)
2013329 Jul 2013 (13.46%), 01 Oct 2013 (-5.58%), 12 Nov 2013 (-4.92%)
2012424 Feb 2012 (-3.79%), 19 Mar 2012 (-4.28%), 23 Apr 2012 (9.64%), 20 Jul 2012 (8.13%)
2011707 Jan 2011 (8.28%), 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%)
2010315 Jan 2010 (-3.06%), 01 Jul 2010 (-2.48%), 12 Nov 2010 (7.43%)
2009307 Jan 2009 (16.75%), 18 Feb 2009 (16.22%), 07 Jul 2009 (-6.03%)
2008608 Feb 2008 (21.96%), 08 May 2008 (-4.39%), 23 May 2008 (15.35%), 14 Aug 2008 (-6.51%), 22 Oct 2008 (17.9%), 19 Nov 2008 (-6.99%)
2007531 Jan 2007 (-3.57%), 09 Feb 2007 (10.6%), 04 Apr 2007 (-5.36%), 26 Jul 2007 (12.8%), 08 Oct 2007 (-3.96%)
2006307 Apr 2006 (9.4%), 19 May 2006 (16.46%), 11 Dec 2006 (-4.36%)
2005611 Jan 2005 (-5.49%), 17 Mar 2005 (15.83%), 28 Apr 2005 (-3.75%), 20 Jun 2005 (-2.77%), 08 Aug 2005 (-3.06%), 05 Dec 2005 (-3.06%)
2004414 Jun 2004 (-8.89%), 08 Jul 2004 (-6.98%), 04 Aug 2004 (-5.03%), 27 Sep 2004 (-3.67%)
2003526 Feb 2003 (-5.68%), 09 Jul 2003 (-6.3%), 05 Sep 2003 (-5.14%), 18 Sep 2003 (-6.81%), 22 Oct 2003 (-6.26%)
2002103 Sep 2002 (-3.69%)



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