Study: Buy PNB when RSI is above 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy PNB when RSI is above 50 and 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
110499791444748.356011.4692402.32-3393.78-13515.361.771.660.0261153.81
210383991424946.157503.83109117-4312.7-18400.451.741.490.0211141.09
310196891454649.458017.9684587.55-5626.96-20822.841.421.390.0231120.53
499035.3691454649.459040.7395151.95-6691.25-30125.941.351.320.0191088.3
548544.8591474451.659542.7985311.14-9090.14-37413.941.051.120.0091533.46
621699.2891444748.3510726.1687843.7-9579.82-31717.091.121.050.0036238.45
7-32060.3791415045.0512057.0985745.3-10528.02-41294.331.150.94-0.005-352.31
816543.8991424946.1512943.69100724-10756.96-34722.51.21.030.0025181.8
99712.6291454649.4512786.7391172.21-12297.62-39230.621.041.020.0014106.73
10-30032.8391434847.2513399.7976121.56-12629.66-39802.631.060.95-0.0044-330.03

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.66. 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 48.35%, which is not acceptable. Avoid this strategy. Average return per trade is 0.58%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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-1110499791444748.356011.4692402.32-3393.78-13515.361.771.660.0261153.81
atrnil38.216711096316532.2922494.4136326.51-8157.18-16223.722.761.320.0281740.73
atrtrail-15.0411630210035653515759.4293970.94-6696.59-16223.722.351.270.0161163.02
atrnil26.21100.31102366635.2914924.824217.67-8124.13-16223.721.8410.0002310.79
atrtrail34.4-15991.45103386536.8911065.4633682.03-6715.06-16223.721.650.96-0.0035-155.26
atrtrail23.88-56791.88106406637.749648.9723732.47-6708.34-16223.721.440.87-0.014-535.77

In the table above, row 1 shows the best exit criterion. Profit factor is 1.66. 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 48.35%, which is not acceptable. Avoid this strategy. Average return per trade is 0.58%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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:1.66

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019220 May 2019 (-2.55%), 22 Oct 2019 (0.91%)
2018405 Jan 2018 (-0.17%), 28 May 2018 (-3.44%), 24 Aug 2018 (-0.64%), 13 Dec 2018 (1.82%)
2017416 Mar 2017 (-2.29%), 25 Apr 2017 (3.76%), 14 Sep 2017 (-0.41%), 24 Oct 2017 (46.2%)
2016621 Apr 2016 (1.69%), 31 May 2016 (-2.91%), 06 Sep 2016 (4.9%), 28 Sep 2016 (-6.76%), 24 Oct 2016 (-0.51%), 10 Nov 2016 (-2.26%)
2015522 Jan 2015 (-2.66%), 09 Apr 2015 (1.02%), 23 Jun 2015 (-3.6%), 30 Jul 2015 (-0.07%), 09 Nov 2015 (-1.11%)
2014515 May 2014 (7.34%), 28 Jul 2014 (4.1%), 21 Aug 2014 (1.95%), 11 Sep 2014 (1.97%), 14 Oct 2014 (-0.92%)
2013401 Jan 2013 (1.46%), 28 May 2013 (-1.04%), 02 Dec 2013 (0.12%), 23 Dec 2013 (1.69%)
2012214 Mar 2012 (-2.91%), 29 Nov 2012 (2.37%)
2011416 Feb 2011 (0.42%), 28 Jun 2011 (1.08%), 12 Oct 2011 (-0.52%), 31 Oct 2011 (3.73%)
2010704 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%)
2009508 May 2009 (-1.25%), 29 Jun 2009 (-0.34%), 17 Jul 2009 (4.78%), 01 Sep 2009 (-0.76%), 09 Nov 2009 (-0.44%)
2008702 Jan 2008 (-1.27%), 29 Jan 2008 (0.72%), 16 May 2008 (-0.95%), 02 Sep 2008 (0.75%), 19 Sep 2008 (-1.5%), 16 Oct 2008 (-0.95%), 05 Nov 2008 (-4.92%)
2007612 Jan 2007 (0.63%), 02 Feb 2007 (0.86%), 09 Apr 2007 (-1.28%), 22 Jun 2007 (-0.43%), 03 Sep 2007 (-0.47%), 26 Oct 2007 (2.85%)
2006427 Feb 2006 (-2.75%), 03 May 2006 (-0.82%), 29 Sep 2006 (-0.12%), 15 Nov 2006 (1.39%)
2005431 Jan 2005 (-0.47%), 07 Jul 2005 (0.19%), 06 Sep 2005 (0.7%), 13 Dec 2005 (3.58%)
2004808 Mar 2004 (2.05%), 23 Apr 2004 (0.96%), 07 Jun 2004 (-3.29%), 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%)
2002316 Aug 2002 (1.43%), 27 Sep 2002 (-0.45%), 25 Nov 2002 (-1.14%)



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