Study: Sell BAJAJ-AUTO when RSI is below 50 and 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 RSI is below 50 and 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
118976.091610662.53407.8110948.73-2517-6048.521.352.260.081186.01
29850.88167943.756536.3422461.15-3989.27-8816.251.641.270.024615.68
34925.83167943.757431.4925314.03-5232.74-11542.041.421.10.01307.86
4-10287.811661037.56483.5218671.49-4918.89-10424.041.320.79-0.024-642.99
54278.63169756.256055.128252.08-7173.9-13356.490.841.090.0085267.41
67353.57167943.7510756.0938641.69-7548.78-15318.751.421.110.011459.6
7-12024.431651131.2514035.6941962.96-7472.99-18532.641.880.85-0.017-751.53
8-830.56167943.7511451.5546731.96-8999.04-17019.531.270.99-0.0011-51.91
9-2022.7416885010640.0649329.36-10892.9-22755.260.980.98-0.0024-126.42
10-23642.88167943.7510297.6944560.36-10636.3-19402.120.970.75-0.03-1477.68

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.26. 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 62.5%, which is good. Average return per trade is 0.59%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.08, which is low, don't trade solely on the basis of this study.
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:2.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018220 Mar 2018 (0.74%), 20 Jul 2018 (5.47%)
2017124 Mar 2017 (1.22%)
2016120 Dec 2016 (0.03%)
2015313 Mar 2015 (-0.12%), 22 Apr 2015 (-0.37%), 02 Nov 2015 (0.33%)
2014219 May 2014 (0.64%), 09 Jul 2014 (0.8%)
2013116 Dec 2013 (2.05%)
2012129 Aug 2012 (-0.39%)
2011202 Feb 2011 (0.39%), 11 Apr 2011 (-1.2%)
2010111 Aug 2010 (-3.02%)
2009110 Aug 2009 (-2.44%)
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-1118976.091610662.53407.8110948.73-2517-6048.521.352.260.081186.01
atrtrail36.0634433.621651131.2516810.2367003.97-4510.69-14069.253.731.690.0372152.1
atrtrail-16.523480.721651131.2514619.6556051.08-4510.69-14069.253.241.470.0291467.55
atrtrail2522590.561651131.2514441.6244669.31-4510.69-14069.253.21.460.0331411.91
atrnil26.315112.07164122519347.2344669.31-6023.07-14069.253.211.070.0071319.5
atrnil311.5-21632.66161156.2567003.9767003.97-5909.11-14069.2511.340.76-0.023-1352.04

In the table above, row 1 shows the best exit criterion. Profit factor is 2.26. 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 62.5%, which is good. Average return per trade is 0.59%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.08, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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