Study: Buy PVR when RSI is above 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy PVR when RSI is above 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 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. 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
1-73920.5490355538.893616.0419020.17-3645.13-10790.090.990.63-0.048-821.34
2-21659.1490434747.784578.0117649.01-4649.23-14917.450.980.9-0.011-240.66
3-14058.1490375341.117501.9732391.93-5502.47-17695.71.360.95-0.0052-156.2
4-21167.1490405044.447422.4749337.18-6361.32-21278.941.170.93-0.0064-235.19
5-29963.2890385242.229465.4449798.27-7493.27-23428.891.260.92-0.0078-332.93
619186.3790395143.3311451.4685417.87-8380.8-22537.091.371.040.0039213.18
7-17610.390414945.5610577.6964076.89-9210.12-29706.41.150.96-0.0038-195.67
8-49242.9890375341.1112446.257909.49-9617.97-32531.651.290.9-0.01-547.14
97187.3490424846.6712105.7455561.96-10442.79-31595.751.161.010.001579.86
1070495.3290414945.5614583.8572968.3-10764.14-39474.731.351.130.012783.28
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil26.838076.7898336533.6716856.5828852.29-7972.16-14257.692.111.070.0088388.54
atrnil38.9633099.0389226724.7226052.4543278.43-8060.52-14257.693.231.060.0067371.9
atrtrail24.5-9875.66103317230.112947.6427261.09-5711.84-12861.262.270.98-0.0027-95.88
atrtrail35.06-40159.1599287128.2813033.0633462.75-5705.42-12861.262.280.9-0.011-405.65
atrtrail-15.67-83941.3798287028.5711284.2341294.82-5712.86-12861.261.980.79-0.024-856.54

In the table above, row 1 shows the best exit criterion. Profit factor is 1.07. 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 33.67%, which is not acceptable. Avoid this strategy. Average return per trade is 0.19%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0088, 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, Profit Factor:1.07

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019511 Jan 2019 (-2.55%), 28 Mar 2019 (5.94%), 30 Apr 2019 (-2.49%), 21 May 2019 (-2.54%), 01 Jul 2019 (-2.75%)
2018923 Jan 2018 (-2.75%), 24 Jan 2018 (-3.14%), 20 Feb 2018 (-3.84%), 08 Jun 2018 (-3.09%), 04 Jul 2018 (-3.07%), 12 Sep 2018 (-3.41%), 12 Oct 2018 (-4.78%), 28 Nov 2018 (5.9%), 12 Dec 2018 (5.97%)
2017405 Apr 2017 (5.5%), 25 Apr 2017 (-2.5%), 12 Jun 2017 (6.27%), 05 Oct 2017 (7.41%)
2016901 Jun 2016 (5.98%), 30 Jun 2016 (-3.69%), 19 Jul 2016 (-3.79%), 20 Jul 2016 (8.41%), 05 Aug 2016 (-4.26%), 23 Sep 2016 (-3.41%), 21 Oct 2016 (6.17%), 08 Nov 2016 (-2.77%), 28 Dec 2016 (7.79%)
2015813 Feb 2015 (-3.23%), 04 Mar 2015 (-3.86%), 02 Jul 2015 (6.54%), 03 Jul 2015 (-3.46%), 14 Sep 2015 (-4.1%), 05 Oct 2015 (-3.37%), 23 Nov 2015 (-2.98%), 18 Dec 2015 (-3.03%)
2014902 Apr 2014 (-3.57%), 07 May 2014 (-3.62%), 21 May 2014 (-3.94%), 19 Jun 2014 (-4.45%), 20 Jun 2014 (-4.95%), 07 Aug 2014 (-3.92%), 22 Aug 2014 (7.56%), 21 Oct 2014 (-4.19%), 22 Dec 2014 (-4.0%)
20131210 Jan 2013 (-4.65%), 18 Feb 2013 (-4.07%), 28 Mar 2013 (-4.79%), 17 Apr 2013 (9.19%), 19 Jun 2013 (-3.79%), 01 Jul 2013 (-3.7%), 26 Jul 2013 (-3.93%), 29 Jul 2013 (-4.11%), 26 Sep 2013 (7.64%), 31 Oct 2013 (-4.62%), 28 Nov 2013 (-4.26%), 24 Dec 2013 (-3.8%)
20121221 Mar 2012 (8.19%), 09 May 2012 (-3.68%), 25 May 2012 (6.32%), 28 May 2012 (-3.27%), 02 Jul 2012 (6.27%), 05 Jul 2012 (6.85%), 01 Aug 2012 (-3.79%), 02 Aug 2012 (8.1%), 21 Sep 2012 (6.33%), 22 Nov 2012 (-3.9%), 30 Nov 2012 (10.68%), 03 Dec 2012 (-5.5%)
2011506 Jul 2011 (7.96%), 06 Sep 2011 (-4.73%), 19 Oct 2011 (11.15%), 07 Dec 2011 (-6.43%), 26 Dec 2011 (13.92%)
2010730 Apr 2010 (-3.46%), 03 May 2010 (-3.87%), 04 Jun 2010 (-4.84%), 29 Jun 2010 (-4.32%), 19 Jul 2010 (-3.99%), 06 Aug 2010 (8.01%), 02 Nov 2010 (-3.62%)
2009515 May 2009 (14.43%), 20 Jul 2009 (12.95%), 26 Aug 2009 (11.77%), 24 Sep 2009 (-5.45%), 11 Nov 2009 (-5.42%)
2008321 May 2008 (-4.74%), 04 Jul 2008 (-6.14%), 06 Aug 2008 (9.52%)
2007605 Jan 2007 (-3.71%), 23 Jan 2007 (-3.86%), 16 May 2007 (8.24%), 05 Jun 2007 (-5.47%), 09 Jul 2007 (9.13%), 29 Aug 2007 (-7.13%)
2006431 Jul 2006 (13.63%), 15 Sep 2006 (-4.91%), 03 Nov 2006 (-3.67%), 16 Nov 2006 (8.45%)



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