Study: Buy BAJAJ-AUTO when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy BAJAJ-AUTO when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
11191.69482424502801.687581.54-2752.03-8371.191.021.020.002124.83
230789.148252352.084696.3816494.41-3766.1-14432.191.251.360.033641.44
38843.2548232547.924864.2415153.18-4121.37-21609.341.181.090.0089184.23
428959.63482424506161.9717986.91-4955.32-27663.851.241.240.024603.33
516868.3648222645.837063.0118461.69-5327.61-29123.951.331.120.013351.42
62756.7148212743.758048.420516.41-6157.76-36242.71.311.020.001857.43
713386.748272156.257557.7320516.41-9079.62-30538.610.831.070.0078278.89
815723.0748282058.337873.1528161.02-10236.26-32972.10.771.080.0086327.56
923821.948282058.337785.9833612.44-9709.28-33024.010.81.120.013496.29
1023116.1748272156.258285.2930347.2-9551.74-381830.871.120.012481.59
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
atrnil38.1113083945162935.5616804.2241424.49-4759.6-6581.613.531.950.0772907.54
atrnil25.4984479.0151213041.1810871.0327616.33-4793.75-6581.612.271.590.061656.45
atrtrail34.6947152.0858233539.667947.6820193.8-3875.56-6503.622.051.350.034812.97
atrtrail24.1431521.6758233539.667268.113931.24-3875.56-6503.621.881.230.026543.48
atrtrail-15.5216351.958233539.666608.5429742.91-3875.56-6503.621.711.120.013281.93
50trail22.2110085.966224433.335744.367950.62-2642.95-3775.832.171.090.011152.82
50trail32.88646.4764204431.256105.4411925.93-2578.69-3775.832.371.080.0088135.1
50nil22.314350.0665214432.316058.177950.62-2792.54-3775.832.171.040.004766.92
50trail-13.78-3171.8264204431.255514.5318668.82-2578.69-3775.832.140.97-0.0031-49.56
50nil33.13-21510.6263144922.228434.2711925.93-2848.78-3899.832.960.85-0.021-341.44

In the table above, row 1 shows the best exit criterion. Profit factor is 1.95. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 35.56%, which is not acceptable. Avoid this strategy. Average return per trade is 1.45%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.077, 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:1.95

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019402 Apr 2019 (6.6%), 08 May 2019 (6.05%), 21 May 2019 (-2.49%), 04 Jun 2019 (-2.73%)
2018122 Jan 2018 (-1.84%)
20171204 Jan 2017 (7.16%), 28 Feb 2017 (5.27%), 28 Mar 2017 (-1.62%), 07 Apr 2017 (4.92%), 06 Jun 2017 (-2.23%), 25 Jul 2017 (-1.59%), 01 Aug 2017 (4.81%), 09 Aug 2017 (-1.97%), 14 Aug 2017 (-1.99%), 31 Aug 2017 (5.83%), 01 Dec 2017 (-2.05%), 18 Dec 2017 (-2.33%)
2016418 Feb 2016 (-2.67%), 19 May 2016 (-2.24%), 27 Sep 2016 (-2.43%), 08 Dec 2016 (-2.53%)
2015313 Aug 2015 (-2.48%), 05 Oct 2015 (8.83%), 13 Nov 2015 (-2.71%)
2014721 Jan 2014 (-1.82%), 28 Jan 2014 (-1.8%), 07 Feb 2014 (-2.37%), 28 Apr 2014 (-1.93%), 22 May 2014 (-3.24%), 05 Jun 2014 (8.31%), 05 Aug 2014 (-2.2%)
2013223 Jan 2013 (-2.31%), 02 May 2013 (-2.87%)
2012225 Jan 2012 (-3.13%), 18 Apr 2012 (-2.69%)
2011319 Aug 2011 (9.34%), 28 Sep 2011 (9.89%), 25 Nov 2011 (-3.29%)
2010627 Jan 2010 (9.79%), 24 Feb 2010 (10.1%), 24 May 2010 (9.05%), 27 Oct 2010 (7.78%), 08 Dec 2010 (-2.97%), 31 Dec 2010 (-2.48%)
2009112 Aug 2009 (20.71%)



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