Study: Buy PNB when there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy PNB when there is Bullish 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: 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
112126758332556.96355.7292402.32-3538.86-13515.361.82.370.0392090.81
219126858332556.99306.39109117-4633.72-11796.352.012.650.053297.72
319874858352360.348724.1784587.55-4634.69-10526.321.882.860.0633426.69
416360558302851.729444.8395151.95-4276.41-23082.652.212.370.0472820.78
515169158312753.4510401.985311.14-6324.73-21593.451.641.890.0432615.37
627643258312753.451407387843.7-5919.69-25643.82.382.730.0684766.06
731829058342458.6214800.9385745.3-7705.91-17423.681.922.720.0755487.75
841890158352360.3418071.33100724-9286.76-25517.751.952.960.0857222.44
939769958352360.3418021.0291172.21-10132.01-30496.451.782.710.0796856.88
1036560958352360.3417836.5876121.56-11246.56-33015.411.592.410.076303.61

From the table above, we see that best results are achieved by holding positions for 8 trading days. Profit factor is 2.96. 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 60.34%, which is good. Average return per trade is 3.61%, which is very good. Sharpe Ratio is 0.085, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
PNB Performance, X=8, Profit Factor:2.96

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019520 May 2019 (-7.81%), 25 Jun 2019 (6.1%), 09 Aug 2019 (-4.43%), 27 Aug 2019 (-6.78%), 12 Sep 2019 (2.48%)
2018413 Mar 2018 (-4.9%), 30 Apr 2018 (-6.92%), 25 May 2018 (1.62%), 12 Oct 2018 (-1.28%)
2017504 Jan 2017 (11.67%), 25 Apr 2017 (9.31%), 06 Jul 2017 (8.06%), 09 Oct 2017 (-5.64%), 24 Oct 2017 (50.36%)
2016327 Jan 2016 (0.59%), 23 Feb 2016 (14.17%), 28 Sep 2016 (-1.4%)
2015209 Apr 2015 (-0.46%), 23 Jun 2015 (-0.63%)
2014224 Feb 2014 (14.47%), 15 May 2014 (16.34%)
2013401 Jan 2013 (-1.31%), 11 Apr 2013 (10.72%), 11 Jul 2013 (4.94%), 05 Sep 2013 (15.04%)
2012224 May 2012 (3.64%), 07 Sep 2012 (17.5%)
2011415 Feb 2011 (-3.05%), 26 May 2011 (1.04%), 08 Sep 2011 (4.25%), 12 Oct 2011 (-1.59%)
2010314 Sep 2010 (2.16%), 05 Nov 2010 (-5.27%), 14 Dec 2010 (-2.27%)
2009410 Feb 2009 (-11.31%), 13 Mar 2009 (18.36%), 08 May 2009 (27.97%), 09 Nov 2009 (-1.02%)
2008429 Jan 2008 (-4.75%), 25 Mar 2008 (-3.44%), 09 Jul 2008 (18.76%), 05 Nov 2008 (-8.58%)
2007312 Mar 2007 (11.64%), 09 Apr 2007 (5.24%), 31 Aug 2007 (0.62%)
2006325 Jun 2006 (4.99%), 29 Sep 2006 (0.35%), 15 Nov 2006 (0.08%)
2005431 Jan 2005 (2.62%), 05 May 2005 (2.93%), 06 Sep 2005 (5.24%), 07 Nov 2005 (5.17%)
2004423 Apr 2004 (-2.24%), 04 Jun 2004 (-8.97%), 18 Jun 2004 (7.61%), 31 Dec 2004 (-12.76%)
2003113 Jan 2003 (8.23%)
2002114 Aug 2002 (2.0%)

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
atrtrail-17.0336022360283246.6719306.2593970.94-5636.01-13149.123.4330.0766003.71
nilnil-1841890158352360.3418071.33100724-9286.76-25517.751.952.960.0857222.44
atrtrail36.0829020762303248.3915685.344922.71-5636.01-13149.122.782.610.0814680.75
atrnil311.4836818761263542.6226167.444922.71-8919.01-17259.862.932.180.0796035.85
atrtrail25.3518125262303248.3912053.4729948.48-5636.01-13149.122.1420.0672923.42
atrnil28.6620547362293346.7717338.7929948.48-9010.66-17259.861.921.690.0583314.08

In the table above, row 1 shows the best exit criterion. Profit factor is 3. 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 46.67%, which is not acceptable. Avoid this strategy. Average return per trade is 3%, which is very good. Sharpe Ratio is 0.076, 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:3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019520 May 2019 (-3.94%), 25 Jun 2019 (3.09%), 09 Aug 2019 (-1.99%), 26 Aug 2019 (-2.41%), 11 Sep 2019 (-3.94%)
2018413 Mar 2018 (2.65%), 30 Apr 2018 (-3.43%), 25 May 2018 (1.59%), 12 Oct 2018 (-0.36%)
2017504 Jan 2017 (11.49%), 25 Apr 2017 (7.86%), 06 Jul 2017 (10.53%), 09 Oct 2017 (-2.84%), 24 Oct 2017 (46.99%)
2016327 Jan 2016 (-4.12%), 23 Feb 2016 (14.15%), 28 Sep 2016 (-3.18%)
2015309 Apr 2015 (-0.73%), 23 Jun 2015 (-3.54%), 24 Jun 2015 (-3.64%)
2014224 Feb 2014 (13.73%), 15 May 2014 (16.46%)
2013401 Jan 2013 (-0.61%), 11 Apr 2013 (7.43%), 11 Jul 2013 (1.43%), 05 Sep 2013 (19.33%)
2012224 May 2012 (0.08%), 07 Sep 2012 (14.23%)
2011415 Feb 2011 (-2.51%), 26 May 2011 (-1.0%), 08 Sep 2011 (0.79%), 12 Oct 2011 (-3.38%)
2010314 Sep 2010 (1.0%), 05 Nov 2010 (-2.18%), 14 Dec 2010 (-3.84%)
2009410 Feb 2009 (-4.8%), 13 Mar 2009 (22.99%), 08 May 2009 (23.31%), 09 Nov 2009 (-1.57%)
2008429 Jan 2008 (-6.57%), 25 Mar 2008 (-2.54%), 09 Jul 2008 (24.52%), 05 Nov 2008 (-5.33%)
2007312 Mar 2007 (-3.88%), 09 Apr 2007 (-4.91%), 31 Aug 2007 (7.89%)
2006325 Jun 2006 (-0.71%), 29 Sep 2006 (-0.69%), 15 Nov 2006 (-1.55%)
2005431 Jan 2005 (2.81%), 05 May 2005 (2.67%), 06 Sep 2005 (1.83%), 07 Nov 2005 (2.24%)
2004523 Apr 2004 (-3.79%), 27 Apr 2004 (-4.14%), 04 Jun 2004 (-1.46%), 17 Jun 2004 (1.92%), 31 Dec 2004 (3.6%)
2003113 Jan 2003 (3.69%)
2002114 Aug 2002 (-0.58%)



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