Study: Sell PNB when near 200 SMA and below 200 SMA and RSI is below 50

home > technical-strategy > pnb > 2

In this study, we evaluate the performance of strategy "Sell PNB when near 200 SMA and below 200 SMA and RSI is below 50" 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
19706.421266503605.7313879.86-1987.99-4323.681.811.810.048808.87
237846.98129375525013498.55-3134.33-5541.811.675.020.163153.91
344341.39128466.677395.3614634.15-3705.38-4636.4223.990.153695.12
429006.9812665011448.2819245.98-6613.78-11632.011.731.730.0612417.25
536710.2127558.3311860.7220247.82-9262.97-20890.611.281.790.0633059.18
636298.08127558.3312910.1124202.48-10814.53-19081.191.191.670.0573024.84
740975.1212665018320.7329499.95-11491.55-22072.521.591.590.0543414.59
838722.9512665018012.8834867.39-11559.06-23974.641.561.560.0493226.91
935581.23127558.3315000.1134133.56-13883.91-23736.871.081.510.0442965.1
105267.812665017274.7736460.84-16396.8-28833.271.051.050.0058438.98

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 5.02. Strategy is very good and impressively bearish. Percentage of profitable trades is 75%, which is good. Average return per trade is 1.58%, which is not very high, but percentage of profitable trades compensates for it.
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.
PNB Performance, X=2, Profit Factor:5.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016128 Dec 2016 (-1.32%)
2015130 Jan 2015 (6.75%)
2013228 Feb 2013 (1.1%), 14 Mar 2013 (0.28%)
2011118 Jan 2011 (0.49%)
2009114 Jan 2009 (4.52%)
2007230 Jul 2007 (3.43%), 13 Aug 2007 (3.77%)
2006126 Apr 2006 (1.69%)
2005131 Oct 2005 (-2.77%)
2004212 Jul 2004 (-0.61%), 18 Aug 2004 (1.6%)

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-1237846.98129375525013498.55-3134.33-5541.811.675.020.163153.91
atrnil38.588426.2812665023791.3832909.15-9053.66-13529.432.632.630.117368.86
atrnil25.2567164.19127558.3316101.821939.43-9109.69-13529.431.772.470.115597.02
atrtrail24.3154837.97137653.8514119.2821939.43-7332.84-13529.431.932.250.0964218.31
atrtrail35.2337429.98137653.8511632.4323711.18-7332.84-13529.431.591.850.0662879.23
200nil31.8810805.251751229.419496.0310798.5-3056.24-3800.963.111.290.029635.6
200trail31.7210359.741851327.789459.9610798.5-2841.54-3800.963.331.280.027575.54
atrtrail-16.4611194.71136746.159903.7325054.26-6889.67-13529.431.441.230.022861.13
200nil21.671625.871861233.336383.467199-3056.24-3800.962.091.040.005290.33
200trail-12.44-1823.381841422.228860.9416755.33-2661.94-3800.963.330.95-0.0048-101.3
200trail21.61-5406.861851327.786306.647199-2841.54-3800.962.220.85-0.019-300.38

In the table above, row 1 shows the best exit criterion. Profit factor is 5.02. Strategy is very good and impressively bearish. Percentage of profitable trades is 75%, which is good. Average return per trade is 1.58%, which is not very high, but percentage of profitable trades compensates for it.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.