Study: Buy PNB when there is bullish divergence in RSI and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy PNB when there is bullish divergence in RSI 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
14750.32135838.466494.898803.61-3465.51-10457.521.871.170.015365.41
249612.6139469.238131.8721549.3-5893.55-10065.361.383.10.0943816.35
357487.51138561.5410433.1624950.69-5195.55-10588.242.013.210.14422.12
487554.451310376.929422.3733802.82-2223.09-5217.394.2414.130.176734.96
576310.87139469.2310154.2429577.46-3769.32-7176.412.696.060.145870.07
685157.121310376.9211100.3232957.75-8615.37-9934.641.294.290.136550.55
761902.49139469.2310976.6930422.54-9221.93-16491.751.192.680.0894761.73
883200.271310376.9213156.8437705.46-16122.72-26286.860.822.720.096400.02
91016901310376.9214376.2541222.88-14024.02-29825.091.033.420.117822.34
10120545138561.5420736.8261735.7-9069.95-28145.932.293.660.19272.68
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
PNB Performance, X=4, Profit Factor:14.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018108 Mar 2018 (2.74%)
2016321 Jan 2016 (3.16%), 15 Feb 2016 (-0.46%), 29 Feb 2016 (16.9%)
2015113 Feb 2015 (-0.27%)
2013309 Apr 2013 (6.5%), 03 Jul 2013 (1.66%), 16 Aug 2013 (-2.61%)
2012118 May 2012 (0.4%)
2011130 Aug 2011 (2.58%)
2009109 Mar 2009 (7.89%)
2006120 Jun 2006 (3.06%)
2002124 Oct 2002 (2.22%)

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-19.79110950149564.2917225.371976.04-8815.52-12384.61.953.520.097925.01
atrtrail38.594246.72149564.2915369.3742712.13-8815.52-12384.61.743.140.16731.91
atrtrail27.0766144.47149564.2912246.928474.75-8815.52-12384.61.392.50.094724.61
atrnil211.590042.46148657.1419713.431465.36-11277.46-15174.81.752.330.0956431.6
atrnil314.0797717.96146842.8630529.5447198.05-10682.41-15174.82.862.140.0776979.85

In the table above, row 1 shows the best exit criterion. Profit factor is 3.52. Strategy is very good and impressively bullish. Percentage of profitable trades is 64.29%, which is good. Average return per trade is 3.96%, which is very good. Sharpe Ratio is 0.09, 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:3.52

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018108 Mar 2018 (4.03%)
2016321 Jan 2016 (1.45%), 15 Feb 2016 (-5.79%), 23 Feb 2016 (14.15%)
2015113 Feb 2015 (-3.99%)
2013409 Apr 2013 (10.54%), 03 Jul 2013 (2.78%), 16 Aug 2013 (-5.79%), 22 Aug 2013 (-6.19%)
2012118 May 2012 (0.48%)
2011130 Aug 2011 (4.33%)
2009109 Mar 2009 (35.99%)
2006120 Jun 2006 (-0.27%)
2002124 Oct 2002 (3.76%)



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