Study: Buy PNB when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy PNB when there is Bullish Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. sell 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
1165967131716054.25101.6292402.32-3270.8-13515.361.561.850.0331266.93
2165809131666550.386700.26109117-4252.43-18400.451.581.60.0271265.72
3209067131696252.677386.1184587.55-4847.98-19307.391.521.70.0371595.93
4185279131686351.918166.1795151.95-5873.33-23082.651.391.50.0281414.35
5137656131686351.919260.7285311.14-7810.67-24849.171.191.280.021050.81
6187233131686351.9110653.8887843.7-8527.47-31717.091.251.350.0231429.26
7229197131686351.9112288.4385745.3-9625.65-41294.331.281.380.0271749.59
8381633131735855.7313841.39100724-10841.17-34722.51.281.610.042913.23
9417705131725954.9615061.2591172.21-11300.08-39230.621.331.630.0413188.59
10385919131716054.215666.5476121.56-12106.77-39802.631.291.530.0362945.94

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.85. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 54.2%, which is not acceptable. Avoid this strategy. Average return per trade is 0.63%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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
nilnil-11165967131716054.25101.6292402.32-3270.8-13515.361.561.850.0331266.93
atrnil39.28534869140518936.4324883.0344922.71-8249.05-17259.863.021.730.0553820.5
atrtrail-15.84395067148598939.8615923.2393970.94-6116.89-13149.122.61.730.0382669.37
atrtrail35.1244533151628941.0612744.1444922.71-6130.38-13149.122.081.450.0321619.42
atrnil27.31218356147588939.4616403.3429948.48-8236.38-17259.861.991.30.0281485.41
atrtrail24.51101144154649041.5610203.4429948.48-6131.95-13149.121.661.180.016656.78

In the table above, row 1 shows the best exit criterion. Profit factor is 1.85. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 54.2%, which is not acceptable. Avoid this strategy. Average return per trade is 0.63%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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, X=1, Profit Factor:1.85

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019722 Feb 2019 (0.41%), 20 May 2019 (-2.55%), 25 Jun 2019 (2.33%), 09 Aug 2019 (-1.8%), 27 Aug 2019 (-2.23%), 12 Sep 2019 (0.54%), 18 Oct 2019 (0.83%)
2018818 Jan 2018 (3.46%), 13 Mar 2018 (1.38%), 30 Apr 2018 (-2.73%), 25 May 2018 (6.42%), 17 Jul 2018 (-4.45%), 24 Aug 2018 (-0.64%), 12 Oct 2018 (1.58%), 13 Dec 2018 (1.82%)
2017904 Jan 2017 (2.08%), 16 Mar 2017 (-2.29%), 25 Apr 2017 (3.76%), 09 Jun 2017 (-2.46%), 06 Jul 2017 (0.63%), 01 Sep 2017 (-1.25%), 09 Oct 2017 (-0.22%), 24 Oct 2017 (46.2%), 26 Dec 2017 (-0.11%)
2016827 Jan 2016 (-2.51%), 23 Feb 2016 (-0.69%), 21 Apr 2016 (1.69%), 30 May 2016 (2.33%), 06 Sep 2016 (4.9%), 28 Sep 2016 (-6.76%), 24 Oct 2016 (-0.51%), 10 Nov 2016 (-2.26%)
2015722 Jan 2015 (-2.66%), 09 Apr 2015 (1.02%), 25 May 2015 (-0.56%), 23 Jun 2015 (-3.6%), 30 Jul 2015 (-0.07%), 16 Sep 2015 (1.5%), 09 Nov 2015 (-1.11%)
2014624 Feb 2014 (-0.21%), 15 May 2014 (7.34%), 28 Jul 2014 (4.1%), 21 Aug 2014 (1.95%), 11 Sep 2014 (1.97%), 14 Oct 2014 (-0.92%)
2013701 Jan 2013 (1.46%), 11 Apr 2013 (0.49%), 28 May 2013 (-1.04%), 11 Jul 2013 (0.53%), 05 Sep 2013 (1.1%), 02 Dec 2013 (0.12%), 23 Dec 2013 (1.69%)
2012604 Jan 2012 (3.53%), 14 Mar 2012 (-2.91%), 17 Apr 2012 (-0.51%), 24 May 2012 (0.18%), 07 Sep 2012 (0.4%), 29 Nov 2012 (2.37%)
2011715 Feb 2011 (0.72%), 26 May 2011 (-0.51%), 28 Jun 2011 (1.08%), 08 Sep 2011 (0.45%), 12 Oct 2011 (-0.52%), 31 Oct 2011 (3.73%), 01 Dec 2011 (1.71%)
2010804 Jan 2010 (1.55%), 05 May 2010 (0.12%), 03 Jun 2010 (1.1%), 05 Jul 2010 (0.02%), 02 Aug 2010 (0.0%), 14 Sep 2010 (1.2%), 05 Nov 2010 (-1.09%), 14 Dec 2010 (-2.82%)
2009710 Feb 2009 (-0.59%), 13 Mar 2009 (1.72%), 08 May 2009 (-1.25%), 29 Jun 2009 (-0.34%), 17 Jul 2009 (4.78%), 01 Sep 2009 (-0.76%), 09 Nov 2009 (-0.44%)
20081002 Jan 2008 (-1.27%), 29 Jan 2008 (0.72%), 25 Mar 2008 (2.55%), 16 May 2008 (-0.95%), 09 Jul 2008 (2.4%), 02 Sep 2008 (0.75%), 19 Sep 2008 (-1.5%), 16 Oct 2008 (-0.95%), 05 Nov 2008 (-4.92%), 05 Dec 2008 (0.86%)
2007702 Jan 2007 (0.78%), 02 Feb 2007 (0.86%), 12 Mar 2007 (1.53%), 09 Apr 2007 (-1.28%), 22 Jun 2007 (-0.43%), 31 Aug 2007 (1.27%), 26 Oct 2007 (2.85%)
2006527 Feb 2006 (-2.75%), 03 May 2006 (-0.82%), 25 Jun 2006 (-3.31%), 29 Sep 2006 (-0.12%), 15 Nov 2006 (1.39%)
2005631 Jan 2005 (-0.47%), 05 May 2005 (-0.62%), 07 Jul 2005 (0.19%), 06 Sep 2005 (0.7%), 07 Nov 2005 (0.05%), 13 Dec 2005 (3.58%)
2004908 Mar 2004 (2.05%), 23 Apr 2004 (0.96%), 04 Jun 2004 (7.24%), 18 Jun 2004 (-0.92%), 06 Aug 2004 (0.6%), 31 Aug 2004 (2.43%), 22 Sep 2004 (-1.9%), 03 Nov 2004 (1.29%), 31 Dec 2004 (3.32%)
20031113 Jan 2003 (-2.07%), 19 Feb 2003 (-2.2%), 12 Mar 2003 (-0.53%), 03 Apr 2003 (2.75%), 28 Apr 2003 (-4.13%), 03 Jul 2003 (-1.22%), 28 Jul 2003 (-4.49%), 26 Aug 2003 (5.02%), 11 Sep 2003 (-1.99%), 29 Sep 2003 (5.47%), 28 Nov 2003 (-1.76%)
2002314 Aug 2002 (1.22%), 17 Sep 2002 (-1.01%), 25 Nov 2002 (-1.14%)



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