Study: Sell PNB when there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell PNB when there is Bearish Crossover in MACD and ADX is Trending" 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
11836.9951222943.145559.6124083.77-4154.29-11650.491.341.020.001436.02
2-78077.7651183335.295782.9522105.88-5520.33-15087.681.050.57-0.049-1530.94
3-10312551193237.256388.2526061.66-7015.69-18551.670.910.54-0.058-2022.07
4-93964.1651213041.187793.5222401.02-8587.6-20976.180.910.64-0.045-1842.43
5-65294.9951183335.2912479.126013.02-8785.42-23097.041.420.77-0.025-1280.29
6-61673.8951193237.2510582.8727694.26-8210.89-24230.11.290.77-0.026-1209.29
7-24010.7551252649.029569.8429068.69-10125.26-30215.530.950.91-0.009-470.8
88494.2151262550.9811519.8559651.92-11640.88-35509.520.991.030.0025166.55
976738.1551242747.0614662.0478729.91-10190.77-35300.271.441.280.0211504.67
1034919.3551282354.912481.7759492.49-13676.96-40531.490.911.110.0095684.69
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
atrnil38.7-26274.0657144324.5624881.1634758.28-8711.87-19507.742.860.93-0.0074-460.95
atrnil24.83-11742258154325.8616867.5323172.19-8614.76-19507.741.960.68-0.042-2024.51
atrtrail23.45-98362.7658144424.1413453.9323172.19-6516.31-19507.742.060.66-0.041-1695.91
atrtrail33.98-11845258144424.1412018.9732437.37-6516.31-19507.741.840.59-0.049-2042.28
atrtrail-14.26-13243957144324.5610464.1127857.14-6486.9-19507.741.610.53-0.061-2323.49

In the table above, row 1 shows the best exit criterion. Profit factor is 0.93. 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 24.56%, which is not acceptable. Avoid this strategy. Average return per trade is -0.23%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
PNB Performance, Profit Factor:0.93

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019521 Jan 2019 (9.58%), 05 Apr 2019 (10.7%), 30 May 2019 (14.42%), 22 Aug 2019 (-4.71%), 03 Sep 2019 (-5.27%)
2018426 Apr 2018 (-3.65%), 15 May 2018 (11.83%), 16 May 2018 (-5.28%), 13 Aug 2018 (-4.46%)
2017515 Feb 2017 (-3.59%), 21 Apr 2017 (-3.38%), 12 May 2017 (-3.6%), 03 Aug 2017 (11.51%), 10 Nov 2017 (17.09%)
2016511 Feb 2016 (-5.63%), 21 Jul 2016 (-3.91%), 21 Sep 2016 (-3.36%), 22 Sep 2016 (-3.3%), 30 Sep 2016 (-4.02%)
2015124 Aug 2015 (17.38%)
2014503 Jan 2014 (10.82%), 17 Apr 2014 (-3.21%), 23 Apr 2014 (-3.11%), 30 May 2014 (-4.63%), 16 Dec 2014 (-3.33%)
2013211 Jan 2013 (-2.26%), 14 Jan 2013 (6.98%)
2012323 Feb 2012 (10.42%), 09 Oct 2012 (-3.29%), 28 Dec 2012 (-2.32%)
2011318 Apr 2011 (-2.49%), 27 Jul 2011 (7.9%), 04 Oct 2011 (-3.99%)
2010231 Aug 2010 (-2.73%), 23 Sep 2010 (-2.52%)
2009518 Feb 2009 (16.22%), 29 Apr 2009 (-6.85%), 01 Jun 2009 (-5.2%), 22 Oct 2009 (-3.29%), 19 Nov 2009 (-3.65%)
2007104 Apr 2007 (-5.36%)
2006207 Sep 2006 (-3.58%), 10 Oct 2006 (-2.84%)
2005410 Jan 2005 (-5.44%), 16 Mar 2005 (13.87%), 28 Apr 2005 (-3.75%), 08 Aug 2005 (-3.06%)
2004620 Jan 2004 (-6.02%), 19 Apr 2004 (-4.05%), 03 May 2004 (-5.31%), 04 May 2004 (15.45%), 14 Jun 2004 (-8.89%), 13 Dec 2004 (-4.24%)
2003427 Jan 2003 (-6.36%), 10 Apr 2003 (-5.36%), 03 Jun 2003 (-9.75%), 22 Oct 2003 (-6.26%)



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