Study: Sell BAJAJ-AUTO when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell BAJAJ-AUTO when RSI is below 50 and there is Bearish Crossover in MACD" 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
115274.9552272551.923314.9310948.73-2969.13-13903.651.121.210.02293.75
26992.6452232944.235048.8822461.15-3763.15-18715.881.341.060.0064134.47
3-4551.8852252748.085273.5825314.03-5051.53-16014.021.040.97-0.0036-87.54
4-51736.5552223042.315383.4118671.49-5672.39-22551.190.950.7-0.04-994.93
5-45727.69522626505370.2728252.08-7129.03-24435.260.750.75-0.031-879.38
6-9126.36522626507497.0438641.69-7848.05-26165.530.960.96-0.0051-175.51
7-21797.2552232944.238238.2541962.96-7285.42-25242.721.130.9-0.012-419.18
8-29166.1252252748.088282.2446731.96-8748.97-31875.420.950.88-0.014-560.89
9-19079.95522626508480.3249329.36-9214.17-34663.080.920.92-0.009-366.92
10-52327.7552272551.927433.2444560.36-10121.01-33374.990.730.79-0.026-1006.3

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.21. 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 51.92%, which is not acceptable. Avoid this strategy. Average return per trade is 0.15%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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
atrnil25.7174440.95522334011985.2544669.31-5734.38-14069.252.091.390.0411353.47
atrtrail24.4344625.9956213537.59655.344669.31-4518.15-14069.252.141.280.027796.89
nilnil-1115274.9552272551.923314.9310948.73-2969.13-13903.651.121.210.02293.75
atrtrail35.0227435.9955203536.369278.5667003.97-4518.15-14069.252.051.170.014498.84
atrnil310.9420205.5751123923.5319895.8367003.97-5603.7-14069.253.551.090.0091396.19
atrtrail-15.36-5745.4355193634.558160.7756051.08-4466.67-14069.251.830.96-0.0033-104.46

In the table above, row 1 shows the best exit criterion. Profit factor is 1.39. 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 0.68%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.041, 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:1.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019329 May 2019 (-2.68%), 08 Jul 2019 (4.96%), 19 Sep 2019 (-2.53%)
20181003 Jan 2018 (-2.25%), 05 Feb 2018 (5.57%), 06 Feb 2018 (6.08%), 20 Mar 2018 (4.51%), 10 May 2018 (-2.03%), 21 Jun 2018 (4.03%), 20 Jul 2018 (6.63%), 24 Sep 2018 (5.18%), 22 Nov 2018 (-2.48%), 24 Dec 2018 (5.28%)
2017424 Mar 2017 (-1.62%), 22 May 2017 (4.01%), 11 Aug 2017 (-2.02%), 01 Dec 2017 (4.1%)
2016507 Jan 2016 (4.14%), 26 Feb 2016 (-3.1%), 16 Mar 2016 (-2.71%), 10 Nov 2016 (5.52%), 20 Dec 2016 (-2.41%)
2015503 Feb 2015 (5.03%), 13 Mar 2015 (-2.8%), 22 Apr 2015 (-2.57%), 02 Nov 2015 (-2.76%), 09 Dec 2015 (-2.63%)
2014603 Jan 2014 (-2.35%), 03 Feb 2014 (-2.34%), 04 Feb 2014 (-2.46%), 14 Feb 2014 (-2.59%), 19 May 2014 (-3.24%), 09 Jul 2014 (5.22%)
2013608 Feb 2013 (4.8%), 13 Mar 2013 (5.59%), 14 May 2013 (-2.65%), 15 May 2013 (-2.63%), 23 May 2013 (5.65%), 16 Dec 2013 (-2.24%)
2012426 Apr 2012 (6.12%), 22 May 2012 (-3.55%), 09 Jul 2012 (4.41%), 29 Aug 2012 (-2.28%)
2011705 Jan 2011 (6.57%), 02 Feb 2011 (-4.05%), 11 Apr 2011 (-2.58%), 03 May 2011 (6.1%), 21 Jun 2011 (-2.47%), 04 Aug 2011 (-2.42%), 12 Dec 2011 (-3.3%)
2010227 Jan 2010 (-3.26%), 11 Aug 2010 (-2.56%)
2009110 Aug 2009 (-7.03%)
2008221 Aug 2008 (-6.03%), 04 Nov 2008 (22.33%)



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