Study: Sell PVR when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell PVR when RSI is below 50 and there is Bearish Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell PVR 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
136806.0559322754.243379.3511146.16-2641.97-6834.641.281.520.041623.83
266322.0659302950.856182.6417790.99-4108.87-13785.411.51.560.0451124.1
340271.2859273245.767351.926550.68-4944.69-21223.671.491.250.023682.56
430937.4859263344.078206.8839750.38-5528.53-23510.531.481.170.015524.36
5-6485.1759253442.379381.3342738.28-7088.78-33536.061.320.97-0.0026-109.92
647994.9759302950.858859.7346369.14-7510.24-21141.041.181.220.02813.47
756420.6959283147.469220.3153933.43-6508-19532.321.421.280.022956.28
8-19302.8359263344.079290.9352269.29-7905.06-29944.981.180.93-0.0073-327.17
9-54506.1459223737.2910457.0556278.37-7690.85-39851.31.360.81-0.019-923.83
10-79096.4759253442.3710413.0665620.27-9983.03-41040.891.040.77-0.024-1340.62

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 1.56. 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 50.85%, which is not acceptable. Avoid this strategy. Average return per trade is 0.56%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, which is low, don't trade solely on the basis of this study.

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-1266322.0659302950.856182.6417790.99-4108.87-13785.411.51.560.0451124.1
atrnil25.66-21626867165123.8817511.8933321.11-9734.46-33291.81.80.56-0.071-3227.87
atrtrail24.4-16790668165223.5312665.9233321.11-7126.16-13278.181.780.55-0.071-2469.2
atrtrail34.76-17440468155322.0613115.1849981.67-7002.49-13278.181.870.53-0.067-2564.77
atrnil37.89-25219464105415.6227085.8349981.67-9686.15-33291.82.80.52-0.075-3940.53
atrtrail-15.04-18349368155322.0612509.2761537.5-7002.49-13278.181.790.51-0.068-2698.42

In the table above, row 1 shows the best exit criterion. Profit factor is 1.56. 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 50.85%, which is not acceptable. Avoid this strategy. Average return per trade is 0.56%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, 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.
PVR Performance, X=2, Profit Factor:1.56

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019226 Mar 2019 (-5.04%), 29 Jul 2019 (8.9%)
2018422 Feb 2018 (1.69%), 19 Mar 2018 (2.8%), 22 Jun 2018 (0.14%), 13 Jul 2018 (4.18%)
2017328 Jun 2017 (-0.23%), 11 Aug 2017 (-3.37%), 21 Sep 2017 (5.17%)
2016511 Jan 2016 (2.58%), 11 Feb 2016 (-0.8%), 03 Nov 2016 (-4.9%), 02 Dec 2016 (1.33%), 21 Dec 2016 (0.03%)
2015720 Jan 2015 (0.8%), 25 Feb 2015 (0.01%), 20 Mar 2015 (-2.36%), 10 Jun 2015 (-0.63%), 16 Sep 2015 (-1.34%), 23 Oct 2015 (-1.05%), 07 Dec 2015 (2.87%)
2014520 Feb 2014 (-0.13%), 29 Apr 2014 (0.77%), 16 May 2014 (-2.48%), 18 Aug 2014 (-2.97%), 25 Nov 2014 (-0.94%)
2013221 Jun 2013 (2.16%), 24 Jul 2013 (-2.91%)
2012322 Feb 2012 (0.6%), 09 Apr 2012 (1.87%), 13 Jun 2012 (-0.03%)
2011731 Jan 2011 (3.22%), 11 Mar 2011 (4.64%), 19 Apr 2011 (-0.05%), 09 May 2011 (-1.82%), 20 Jun 2011 (1.34%), 04 Oct 2011 (3.87%), 17 Nov 2011 (-0.08%)
2010525 Jun 2010 (-2.84%), 09 Jul 2010 (-1.12%), 26 Jul 2010 (-2.32%), 29 Oct 2010 (-4.56%), 16 Nov 2010 (5.02%)
2009322 Jan 2009 (7.66%), 28 Apr 2009 (2.1%), 17 Aug 2009 (0.41%)
2008603 Mar 2008 (8.72%), 13 May 2008 (-1.61%), 23 Jun 2008 (-0.32%), 04 Aug 2008 (-4.69%), 28 Aug 2008 (-2.34%), 28 Nov 2008 (8.85%)
2007319 Jan 2007 (-6.89%), 27 Jul 2007 (2.26%), 17 Sep 2007 (-0.98%)
2006420 Jul 2006 (5.18%), 29 Aug 2006 (0.13%), 09 Nov 2006 (-0.78%), 11 Dec 2006 (3.45%)



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