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

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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 and ADX is Trending" 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
1-33692.2435132237.144013.9111188.81-3903.32-8904.991.030.61-0.056-962.64
23762.8335171848.574887.2217649.01-4406.66-14188.331.111.050.0047107.51
3-62295.3935132237.145343.2621829.04-5988.99-17695.70.890.53-0.066-1779.87
4-37442.75351421406039.8341402.19-5809.54-21278.941.040.69-0.031-1069.79
517673.7635122334.2913656.342065.69-6356.6-23428.892.151.120.011504.96
612085.4135161945.7112332.1561033.24-9748.9-24655.781.261.070.0059345.3
721189.8435181751.4310824.9964076.89-10215.29-25255.011.061.120.01605.42
8-11068.135152042.8612434.757909.49-9879.43-30483.011.260.94-0.0056-316.23
9-8024.0635161945.7112656.8248938.73-11080.69-30554.561.140.96-0.0042-229.26
10-2053.1835152042.8613290.7946575.89-10070.75-27398.021.320.99-0.0011-58.66
Although, strategy looks good but profit factor on day 3 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
atrtrail24.129524.7642152735.7112784.5321352.7-6009.01-12861.262.131.180.019702.97
atrtrail34.7210137.5540132732.513317.9724036.09-6036.89-12861.262.211.060.0065253.44
atrnil25.1211977.3342152735.7114987.6421352.7-7882.86-12861.261.91.060.007285.17
atrtrail-15.51-4120.8439132633.3311822.3336427.43-6069.66-12861.261.950.97-0.0027-105.66
atrnil37.18-11394.8839102925.6421762.4625220.76-7897.22-12861.262.760.95-0.0061-292.18

In the table above, row 1 shows the best exit criterion. Profit factor is 1.18. 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 35.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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:1.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019211 Jan 2019 (-1.45%), 30 Apr 2019 (-0.27%)
2018524 Jan 2018 (-3.14%), 08 Jun 2018 (-1.68%), 12 Sep 2018 (-3.05%), 12 Oct 2018 (-3.31%), 31 Dec 2018 (-2.8%)
2017205 Apr 2017 (5.5%), 25 Apr 2017 (-1.75%)
2016801 Jun 2016 (0.91%), 30 Jun 2016 (-2.37%), 19 Jul 2016 (-3.79%), 20 Jul 2016 (8.41%), 05 Aug 2016 (-3.54%), 23 Sep 2016 (-3.41%), 21 Oct 2016 (-2.24%), 28 Dec 2016 (7.79%)
2014302 Apr 2014 (-1.11%), 19 Jun 2014 (-4.45%), 20 Jun 2014 (-1.45%)
2013326 Sep 2013 (7.64%), 31 Oct 2013 (0.4%), 29 Nov 2013 (-1.43%)
20121009 May 2012 (-3.68%), 25 May 2012 (6.32%), 28 May 2012 (-1.48%), 05 Jul 2012 (1.16%), 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 (-4.35%)
2011206 Jul 2011 (7.96%), 07 Dec 2011 (-6.43%)
2010330 Apr 2010 (-3.46%), 03 May 2010 (-3.87%), 06 Aug 2010 (8.01%)
2009124 Sep 2009 (-3.44%)
2007216 May 2007 (8.24%), 05 Jun 2007 (-5.47%)
2006116 Nov 2006 (8.45%)



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