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

home > technical-strategy > pnb > 32

In this study, we evaluate the performance of strategy "Buy PNB when RSI is above 50 and 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
175250.6428131546.4310753.4992402.32-4302.98-13515.362.52.170.0362687.52
214122428151353.5713889.73109117-5163.2-13366.922.693.10.0555043.73
310994428161257.1411960.4184587.55-6785.18-20822.841.762.350.0523926.59
410851228121642.8615649.1995151.95-4954.92-30125.943.162.370.0463875.41
589217.7128161257.1412392.1785311.14-9088.09-37413.941.361.820.0393186.35
613605328121642.8620051.1887843.7-6535.07-27942.913.072.30.0534859.04
710977328121642.8619739.3685745.3-7943.72-30226.72.481.860.0413920.46
812244328121642.8621502.59100724-8474.23-25591.942.541.90.0434372.98
992302.9828151353.5715791.8791172.21-11121.15-25188.921.421.640.0353296.54
1037237.6828131546.4315955.576121.56-11345.58-26977.871.411.220.0151329.92

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 3.1. Strategy is very good and impressively bullish. Percentage of profitable trades is 53.57%, which is not acceptable. Avoid this strategy. Average return per trade is 2.52%, which is very good. Sharpe Ratio is 0.055, 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=2, Profit Factor:3.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 May 2019 (-4.24%)
2018128 May 2018 (-2.93%)
2017225 Apr 2017 (2.23%), 24 Oct 2017 (54.56%)
2016128 Sep 2016 (-3.96%)
2015209 Apr 2015 (2.25%), 23 Jun 2015 (-3.49%)
2014115 May 2014 (18.56%)
2013101 Jan 2013 (0.49%)
2011216 Feb 2011 (-0.7%), 12 Oct 2011 (-1.35%)
2010214 Sep 2010 (2.4%), 05 Nov 2010 (0.71%)
2009208 May 2009 (4.04%), 09 Nov 2009 (2.42%)
2008229 Jan 2008 (-2.94%), 05 Nov 2008 (0.19%)
2007209 Apr 2007 (-2.27%), 03 Sep 2007 (-0.52%)
2006229 Sep 2006 (-0.81%), 15 Nov 2006 (-2.3%)
2005231 Jan 2005 (-1.36%), 06 Sep 2005 (2.83%)
2004323 Apr 2004 (1.47%), 07 Jun 2004 (-6.68%), 31 Dec 2004 (7.22%)
2003113 Jan 2003 (1.94%)
2002116 Aug 2002 (2.85%)

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-1214122428151353.5713889.73109117-5163.2-13366.922.693.10.0555043.73
atrtrail-15.5210065329101934.4822815.5993970.94-6710.69-16223.723.41.790.0393470.78
atrtrail34.8155185.5431121938.7115224.0633682.03-6710.69-16223.722.271.430.0341780.18
atrnil38.9473554.0331112035.4822599.5633682.03-8752.06-16223.722.581.420.0372372.71
atrtrail24.2923916.1331121938.7112618.2822454.69-6710.69-16223.721.881.190.018771.49
atrnil26.351513031121938.7115168.6822454.69-8783.9-16223.721.731.090.0097488.06

In the table above, row 1 shows the best exit criterion. Profit factor is 3.1. Strategy is very good and impressively bullish. Percentage of profitable trades is 53.57%, which is not acceptable. Avoid this strategy. Average return per trade is 2.52%, which is very good. Sharpe Ratio is 0.055, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play