Study: Sell BAJAJ-AUTO when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell BAJAJ-AUTO when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA 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: sell BAJAJ-AUTO 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
17622.51064602931.098332.07-2491.01-3292.461.181.770.066762.25
2-5183.951055502463.764424.62-3500.55-9609.120.70.7-0.039-518.39
36750.451073702134.036236.45-2729.27-5516.420.781.820.064675.04
47322.851073702481.954723.43-3350.27-4462.390.741.730.069732.29
522495.71073704501.6210603.07-3005.22-5697.521.53.50.142249.57
625565.081064606454.9114093.87-3291.1-6324.141.962.940.132556.51
717628.641064605846.3916153.57-4362.43-8933.211.342.010.081762.86
818852.871055507052.1113116.19-3281.53-4645.062.152.150.0981885.29
919006.031064605490.6812654.82-3484.52-4490.241.582.360.11900.6
1017647.711073704315.3612874.52-4186.62-6102.121.032.410.0981764.77
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
BAJAJ-AUTO Performance, X=5, Profit Factor:3.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018121 Feb 2018 (-0.27%)
2017105 Apr 2017 (-2.85%)
2016216 Nov 2016 (0.2%), 14 Dec 2016 (2.39%)
2015209 Feb 2015 (0.32%), 10 Sep 2015 (0.23%)
2014112 May 2014 (3.58%)
2013222 Mar 2013 (3.73%), 13 Dec 2013 (-1.39%)
2011107 Jan 2011 (5.3%)

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
atrtrail24.219237.211569408678.9114759.47-3648.47-6566.082.381.590.0541282.48
atrnil29.0915227.79114736.3612529.5114310.89-4984.32-6695.042.511.440.0481384.34
atrtrail35.1313042.341569407646.4322139.2-3648.47-6566.082.11.40.035869.49
atrnil311.0915042.61113827.2718747.9721466.34-5150.16-6695.043.641.370.0381367.51
atrtrail-15.731759.871569405766.0210856.74-3648.47-6566.081.581.050.0064117.32
200nil32.53-2503.571741323.539234.5710939.34-3033.99-3963.063.040.94-0.0083-147.27
200trail32.11-9420.171841422.227429.6210939.34-2795.62-3919.892.660.76-0.035-523.34
200trail21.83-14513.121841422.226156.387292.9-2795.62-3919.892.20.63-0.063-806.28
200nil22-14816.341741323.536156.387292.9-3033.99-3963.062.030.62-0.065-871.55
200trail-12.78-20258.761831516.676566.0912059.62-2663.8-3919.892.460.49-0.087-1125.49

In the table above, row 1 shows the best exit criterion. Profit factor is 1.59. 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 40%, which is not acceptable. Avoid this strategy. Average return per trade is 0.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.054, 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.
BAJAJ-AUTO Performance, Profit Factor:1.59

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018221 Feb 2018 (-1.43%), 27 Feb 2018 (4.97%)
2017105 Apr 2017 (-1.65%)
2016316 Nov 2016 (-0.13%), 22 Nov 2016 (-3.28%), 14 Dec 2016 (0.92%)
2015209 Feb 2015 (6.03%), 10 Sep 2015 (-2.82%)
2014212 May 2014 (-2.01%), 15 May 2014 (-2.46%)
2013322 Mar 2013 (6.31%), 13 Dec 2013 (-0.12%), 19 Dec 2013 (-2.53%)
2011207 Jan 2011 (0.43%), 19 Jan 2011 (7.38%)



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