Study: Buy PVR 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 PVR 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 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
171403.1135201557.144905.9725008.29-1781.08-5210.922.753.670.0942040.09
217300.6635161945.715706.2521296.93-3894.7-8605.611.471.230.02494.3
346418.9135181751.437549.2424573.38-5262.79-13948.231.431.520.0411326.25
474766.0535191654.299443.6139044.37-6541.4-16655.231.441.710.0552136.17
577741.5135201557.149742.3630443.69-7807.04-20935.661.251.660.0542221.19
665160.28352114608746.5433174.06-8465.5-14121.021.031.550.0481861.72
765748.2935201557.149927.5439726.96-8853.5-18634.11.121.50.0411878.52
874214.15352114609967.9637542.66-9650.94-18905.471.031.550.0452120.4
960476.735201557.1410864.9837406.14-10454.86-27046.591.041.390.0341727.91
1070909.1535181751.4313496.238634.81-10118.96-26594.31.331.410.0382025.98

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.67. Strategy is very good and impressively bullish. Percentage of profitable trades is 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 1.02%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.094, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
PVR Performance, X=1, Profit Factor:3.67

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019326 Feb 2019 (-0.09%), 02 Jul 2019 (0.55%), 22 Aug 2019 (2.6%)
2018421 Feb 2018 (-0.88%), 14 Mar 2018 (-1.12%), 04 Apr 2018 (-0.35%), 03 Aug 2018 (2.11%)
2017302 Aug 2017 (-0.26%), 31 Aug 2017 (0.15%), 13 Dec 2017 (-0.27%)
2016401 Feb 2016 (-0.8%), 18 Feb 2016 (0.98%), 03 Mar 2016 (-0.94%), 30 Nov 2016 (-1.45%)
2015105 May 2015 (1.52%)
2014101 Apr 2014 (6.25%)
2011401 Mar 2011 (0.32%), 24 Mar 2011 (2.38%), 29 Apr 2011 (-0.48%), 26 May 2011 (0.7%)
2010503 Jun 2010 (12.5%), 20 Jul 2010 (-0.13%), 09 Aug 2010 (1.64%), 03 Nov 2010 (0.56%), 16 Dec 2010 (-1.05%)
2009117 Mar 2009 (1.35%)
2008502 Apr 2008 (-1.54%), 20 May 2008 (1.64%), 17 Jun 2008 (-1.4%), 03 Nov 2008 (0.1%), 11 Dec 2008 (10.1%)
2007204 Jan 2007 (2.48%), 31 Oct 2007 (0.94%)
2006222 Jun 2006 (0.19%), 17 Nov 2006 (-2.61%)

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-1171403.1135201557.144905.9725008.29-1781.08-5210.922.753.670.0942040.09
atrtrail36.9516411837162143.2419515.4770728.78-7053.8-11718.832.772.110.0714435.61
atrnil314.7117638734132138.2429947.5470728.78-10139.58-26998.62.951.830.0665187.85
atrtrail-1811444237162143.2416410.7380652.24-7053.8-11718.832.331.770.0513093.02
atrtrail26.0510111237162143.2415577.6247152.52-7053.8-11718.832.211.680.0572732.76
atrnil28.4713180036162044.4420494.8547152.52-9805.88-26998.62.091.670.063661.11

In the table above, row 1 shows the best exit criterion. Profit factor is 3.67. Strategy is very good and impressively bullish. Percentage of profitable trades is 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 1.02%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.094, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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