Study: Sell PNB when RSI is below 50 and ADX is Trending and there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell PNB when RSI is below 50 and ADX is Trending and there is Dead Cross (50 DMA < 200 DMA)" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. buy 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
111635.4674357.145587.436926.41-3571.43-5116.31.562.090.0861662.21
2-20149.3373442.863257.457031.02-7480.42-11799.410.440.33-0.11-2878.48
3-25391.8573442.866336.949217.13-11100.67-13317.860.570.43-0.099-3627.41
4-27402.2273442.866105.866912.85-11429.95-14207.650.530.4-0.11-3914.6
5-10065.2973442.865624.57792.21-6734.7-12222.30.840.63-0.046-1437.9
6-1963872528.573779.663896.1-5439.46-8607.770.690.28-0.14-2805.43
7-21985.772528.579466.4515151.52-8183.72-12888.891.160.46-0.082-3140.81
8-16466.2572528.574887.477647.91-5248.24-7414.410.930.37-0.11-2352.32
9-6840.2273442.864181.147936.51-4845.91-7589.980.860.65-0.045-977.17
109099.8874357.144210.5711399.71-2580.8-5348.421.632.180.0651299.98
Although, strategy looks good but profit factor on day 6 is less than minimum accepted value so avoid this, see below for further analysis.
PNB Performance, X=10, Profit Factor:2.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019129 Jul 2019 (5.7%)
2018106 Mar 2018 (1.02%)
2017104 Oct 2017 (-0.73%)
2015103 Mar 2015 (0.41%)
2013116 Apr 2013 (-0.47%)
2011111 Feb 2011 (-2.67%)
2006113 Jun 2006 (1.29%)

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
atrnil38.88-8814.798262525597.226005.82-10001.53-16252.522.560.85-0.017-1101.85
atrnil27.75-25879.588262517064.817337.21-10001.53-16252.521.710.57-0.063-3234.95
atrtrail23.62-44687.3281712.56329.36329.3-7288.09-11207.620.870.12-0.28-5585.91
atrtrail33.62-44687.3281712.56329.36329.3-7288.09-11207.620.870.12-0.28-5585.91
atrtrail-13.62-44687.3281712.56329.36329.3-7288.09-11207.620.870.12-0.28-5585.91

In the table above, row 1 shows the best exit criterion. Profit factor is 0.85. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 25%, which is not acceptable. Avoid this strategy. Average return per trade is -0.55%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
PNB Performance, Profit Factor:0.853

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019129 Jul 2019 (12.59%)
2018106 Mar 2018 (-8.13%)
2017104 Oct 2017 (-3.01%)
2015203 Mar 2015 (-3.76%), 04 Mar 2015 (13.0%)
2013116 Apr 2013 (-3.2%)
2011111 Feb 2011 (-3.97%)
2006113 Jun 2006 (-7.93%)



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