Study: Sell PNB when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell PNB when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA" 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
1-1939.35157846.672123.853911.98-2100.79-4323.681.010.88-0.013-129.29
220145.561596604423.6513498.55-3277.88-7307.691.352.020.0631343.04
340626.331596607513.4316943.83-4499.09-6147.41.672.50.0872708.42
446760.46157846.6714168.2139033.57-6552.12-11632.012.161.890.0563117.36
557622.2815966012702.4242422.34-9449.91-20890.611.342.020.0613841.49
675524.2115966015482.2753780.99-10636.04-19081.191.462.180.0685034.95
793580.1215966018058.8253718.23-11491.55-22072.521.572.360.0826238.67
869888.915966015471.4752776.91-11559.06-23974.641.342.010.0614659.26
970580.8315966015734.1256165.67-11837.71-23736.871.331.990.0584705.39
1030870.32157846.6719091.8557609.04-12846.58-28833.271.491.30.0232058.02
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=3, Profit Factor:2.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019127 Jun 2019 (-3.01%)
2018108 Feb 2018 (8.47%)
2017210 Aug 2017 (-3.07%), 31 Aug 2017 (0.14%)
2016128 Dec 2016 (-1.45%)
2015130 Jan 2015 (6.62%)
2013228 Feb 2013 (0.11%), 14 Mar 2013 (3.36%)
2011118 Jan 2011 (1.89%)
2007230 Jul 2007 (1.85%), 13 Aug 2007 (4.06%)
2006126 Apr 2006 (-1.73%)
2005131 Oct 2005 (-1.92%)
2004212 Jul 2004 (-2.32%), 18 Aug 2004 (7.32%)

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-17.574433.47167943.7519101.4772658.28-6586.31-13529.432.92.260.0564652.09
atrnil26.266770.72158753.3315889.6420967.49-8620.91-13529.431.842.110.0864451.38
atrtrail35.4459356.4716885014300.3331451.24-6880.77-13529.432.082.080.0693709.78
atrnil39.5364368.1515694023534.1331451.24-8537.41-13529.432.761.840.0644291.21
atrtrail24.7545758.6616885012600.620967.49-6880.77-13529.431.831.830.0642859.92
200nil21.745303.042381534.786372.477765.98-3045.12-3800.962.091.120.012230.57
200trail32.094280.22251722.739503.5110798.5-2543.37-3800.963.741.10.0091194.55
200trail21.7796.822371630.436316.037765.98-2713.46-3800.962.331.020.00234.64
200nil32.2530.2920515259164.9310798.5-3052.96-3882.99316.8e-051.51
200trail-12.73-3753.292251722.737896.8216755.33-2543.37-3800.963.10.91-0.008-170.6

In the table above, row 1 shows the best exit criterion. Profit factor is 2.26. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 43.75%, which is not acceptable. Avoid this strategy. Average return per trade is 2.33%, which is very good. Sharpe Ratio is 0.056, 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:2.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019127 Jun 2019 (-3.52%)
2018108 Feb 2018 (36.33%)
2017210 Aug 2017 (-2.03%), 24 Aug 2017 (1.5%)
2016128 Dec 2016 (-2.99%)
2015130 Jan 2015 (12.53%)
2013228 Feb 2013 (-1.97%), 14 Mar 2013 (6.77%)
2011118 Jan 2011 (1.36%)
2007330 Jul 2007 (-1.3%), 07 Aug 2007 (-4.45%), 13 Aug 2007 (5.67%)
2006126 Apr 2006 (-2.12%)
2005131 Oct 2005 (-4.5%)
2004212 Jul 2004 (-6.76%), 18 Aug 2004 (2.69%)



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