Study: Buy PNB when RSI is below 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 below 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
149069.7556352162.53114.2114478.66-2853.7-8894.541.091.820.052876.25
250798.2156302653.575048.4913886.95-3871.4-11796.351.31.50.041907.11
377890.1356312555.365637.224604.61-3874.53-8071.281.451.80.0531390.9
446504.9656302653.575753.1928328.45-4849.64-23082.651.191.370.026830.45
537474.5656292751.797133.0432263.9-6273.46-21593.451.141.220.018669.19
613579756342260.718700.9229597.83-7274.3-25643.81.21.850.0542424.94
722288556352162.511012.628017.58-7740.75-17999.781.422.370.0833980.09
836148756381867.8613916.3837529.08-9296.4-22621.671.53.160.116455.13
940148956352162.516398.9351604.16-8213.03-30496.4523.330.17169.45
1041961456381867.8616089.1163039.55-10654.02-33015.411.513.190.0947493.1
Although, strategy looks good but profit factor on day 5 is less than minimum accepted value so avoid this, see below for further analysis.
PNB Performance, X=9, Profit Factor:3.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019622 Feb 2019 (14.48%), 25 Jun 2019 (-5.58%), 09 Aug 2019 (-1.2%), 27 Aug 2019 (-3.43%), 12 Sep 2019 (-1.94%), 18 Oct 2019 (11.45%)
2018618 Jan 2018 (-1.73%), 13 Mar 2018 (-2.19%), 30 Apr 2018 (-6.39%), 25 May 2018 (3.3%), 17 Jul 2018 (9.15%), 12 Oct 2018 (-0.53%)
2017604 Jan 2017 (13.02%), 09 Jun 2017 (-4.34%), 06 Jul 2017 (10.47%), 01 Sep 2017 (0.55%), 09 Oct 2017 (-4.59%), 26 Dec 2017 (0.8%)
2016327 Jan 2016 (-6.4%), 23 Feb 2016 (12.1%), 30 May 2016 (9.07%)
2015425 May 2015 (-4.9%), 24 Jun 2015 (5.11%), 16 Sep 2015 (-2.97%), 10 Nov 2015 (3.18%)
2014224 Feb 2014 (17.52%), 16 Oct 2014 (-0.13%)
2013311 Apr 2013 (8.83%), 11 Jul 2013 (0.17%), 05 Sep 2013 (25.8%)
2012404 Jan 2012 (10.94%), 17 Apr 2012 (-9.73%), 24 May 2012 (6.11%), 07 Sep 2012 (16.41%)
2011415 Feb 2011 (-3.01%), 26 May 2011 (1.04%), 08 Sep 2011 (3.9%), 01 Dec 2011 (-3.6%)
2010114 Dec 2010 (-1.53%)
2009210 Feb 2009 (-15.25%), 13 Mar 2009 (23.19%)
2008325 Mar 2008 (0.95%), 09 Jul 2008 (21.52%), 05 Dec 2008 (16.96%)
2007302 Jan 2007 (1.5%), 12 Mar 2007 (11.05%), 31 Aug 2007 (2.4%)
2006228 Feb 2006 (3.75%), 25 Jun 2006 (4.2%)
2005205 May 2005 (3.13%), 07 Nov 2005 (5.15%)
2004204 Jun 2004 (-6.48%), 18 Jun 2004 (8.15%)
2003101 Dec 2003 (0.97%)
2002214 Aug 2002 (0.67%), 17 Sep 2002 (-0.34%)

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-17.12350276027334515100.349041.96-5232.75-9601.542.892.360.0673917.12
atrnil311.9137503058243441.3827721.3344922.71-8537.7-17259.863.252.290.0836466.04
atrtrail36.382167866027334514424.6944922.71-5232.75-9601.542.762.260.0653613.1
atrnil29.3322143758273146.5518110.8529948.48-8630.84-17259.862.11.830.0663817.88
atrtrail25.81170456027334510730.629948.48-5232.75-9601.542.051.680.0471950.76

In the table above, row 1 shows the best exit criterion. Profit factor is 2.36. 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 45%, which is not acceptable. Avoid this strategy. Average return per trade is 1.96%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.067, 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:2.36

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019622 Feb 2019 (-3.18%), 25 Jun 2019 (3.09%), 09 Aug 2019 (-1.99%), 26 Aug 2019 (-2.41%), 11 Sep 2019 (-3.94%), 18 Oct 2019 (-2.12%)
2018718 Jan 2018 (9.65%), 13 Mar 2018 (2.65%), 30 Apr 2018 (-3.43%), 25 May 2018 (1.59%), 17 Jul 2018 (-4.0%), 18 Jul 2018 (15.34%), 12 Oct 2018 (-0.36%)
2017804 Jan 2017 (11.49%), 09 Jun 2017 (-3.46%), 15 Jun 2017 (-3.2%), 06 Jul 2017 (10.53%), 01 Sep 2017 (-3.3%), 13 Sep 2017 (-1.21%), 09 Oct 2017 (-2.84%), 26 Dec 2017 (-3.79%)
2016327 Jan 2016 (-4.12%), 23 Feb 2016 (14.15%), 30 May 2016 (-1.35%)
2015425 May 2015 (-0.33%), 24 Jun 2015 (-3.64%), 16 Sep 2015 (-2.22%), 10 Nov 2015 (2.32%)
2014224 Feb 2014 (13.73%), 16 Oct 2014 (1.05%)
2013311 Apr 2013 (7.43%), 11 Jul 2013 (1.43%), 05 Sep 2013 (19.33%)
2012404 Jan 2012 (9.21%), 17 Apr 2012 (-3.26%), 24 May 2012 (0.08%), 07 Sep 2012 (14.23%)
2011415 Feb 2011 (-2.51%), 26 May 2011 (-1.0%), 08 Sep 2011 (0.79%), 01 Dec 2011 (0.04%)
2010114 Dec 2010 (-3.84%)
2009210 Feb 2009 (-4.8%), 13 Mar 2009 (22.99%)
2008325 Mar 2008 (-2.54%), 09 Jul 2008 (24.52%), 05 Dec 2008 (1.63%)
2007302 Jan 2007 (-2.96%), 12 Mar 2007 (-3.88%), 31 Aug 2007 (7.89%)
2006228 Feb 2006 (1.86%), 25 Jun 2006 (-0.71%)
2005205 May 2005 (2.67%), 07 Nov 2005 (2.24%)
2004204 Jun 2004 (-1.46%), 17 Jun 2004 (1.92%)
2003101 Dec 2003 (-2.33%)
2002314 Aug 2002 (-0.58%), 17 Sep 2002 (-3.03%), 30 Sep 2002 (-2.55%)



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