Study: Sell BAJAJ-AUTO when there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell BAJAJ-AUTO when there is Bearish Crossover in MACD 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
156204.2442291369.053532.5517511.48-3556.91-9809.260.992.220.0811338.2
28562.9842192345.245734.7822461.15-4365.12-17603.831.311.090.0086203.88
322728.0642231954.765443.5425314.03-5393.33-19783.671.011.220.02541.14
45759.0541212051.225046.8818671.49-5011.28-14119.41.011.060.0061140.46
510786.5541212051.225560.6428252.08-5299.35-14866.871.051.10.01263.09
637608.641202148.787364.5138641.69-5222.93-14394.791.411.340.03917.28
7-11988.9241172441.467547.3241962.96-5845.56-13834.021.290.91-0.0091-292.41
820449.3741192246.348336.346731.96-6270.01-14977.211.331.150.014498.77
916561.9641212051.227885.7949329.36-7451.98-18743.311.061.110.01403.95
10-20317.7441182343.98289.0644560.36-7370.47-19402.121.120.88-0.013-495.55

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.22. 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 69.05%, which is good. Average return per trade is 0.67%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.081, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
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.
BAJAJ-AUTO Performance, X=1, Profit Factor:2.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019320 Mar 2019 (-0.0%), 03 Oct 2019 (1.19%), 11 Nov 2019 (0.97%)
2018220 Mar 2018 (0.74%), 20 Jul 2018 (5.47%)
2017407 Feb 2017 (-0.44%), 23 Mar 2017 (0.8%), 28 Sep 2017 (-2.3%), 24 Oct 2017 (-0.69%)
2016120 Dec 2016 (0.03%)
2015413 Mar 2015 (-0.12%), 22 Apr 2015 (-0.37%), 09 Jul 2015 (1.77%), 02 Nov 2015 (0.33%)
2014504 Apr 2014 (0.31%), 19 May 2014 (0.64%), 08 Jul 2014 (2.54%), 16 Sep 2014 (-0.76%), 25 Nov 2014 (1.12%)
2013301 Jan 2013 (-3.3%), 21 Oct 2013 (0.51%), 16 Dec 2013 (2.05%)
2012327 Feb 2012 (-3.54%), 28 Aug 2012 (3.92%), 04 Oct 2012 (0.58%)
2011402 Feb 2011 (0.39%), 18 Mar 2011 (0.21%), 11 Apr 2011 (-1.2%), 16 Sep 2011 (1.49%)
2010719 Apr 2010 (-3.22%), 20 May 2010 (1.76%), 07 Jul 2010 (0.3%), 10 Aug 2010 (3.5%), 30 Aug 2010 (2.3%), 16 Sep 2010 (0.34%), 13 Oct 2010 (1.27%)
2009503 Feb 2009 (0.59%), 13 Apr 2009 (-4.9%), 10 Jun 2009 (1.97%), 07 Aug 2009 (8.76%), 21 Dec 2009 (-2.27%)
2008104 Nov 2008 (5.37%)

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-1156204.2442291369.053532.5517511.48-3556.91-9809.260.992.220.0811338.2
atrtrail24.2953623.7551163531.3712951.9444669.31-4388.78-14069.252.951.350.031051.45
atrtrail35.2417232.7849153430.6110382.2367003.97-4073.55-10940.372.551.120.0094351.69
atrnil25.5111682.4251153629.4114562.8444669.31-5743.34-14069.252.541.060.0063229.07
atrtrail-15.59349.9749153430.619256.7156051.08-4073.55-10940.372.2710.000227.14
atrnil39.2-1140554964312.2421984.8967003.97-5720.11-12540.283.840.54-0.059-2327.66

In the table above, row 1 shows the best exit criterion. Profit factor is 2.22. 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 69.05%, which is good. Average return per trade is 0.67%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.081, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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