Study: Buy BAJAJ-AUTO when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

home > technical-strategy > bajaj-auto > 32

In this study, we evaluate the performance of strategy "Buy BAJAJ-AUTO when RSI is above 50 and there is Bullish 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: 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
1-30074.982171433.333293.369942.85-3794.89-170490.870.43-0.081-1432.14
2-490102181338.14396.4313700.09-6475.49-27601.390.680.42-0.086-2333.81
3-70843.712191242.863437.8413241.31-8482.02-36850.80.410.3-0.097-3373.51
4-83295.682181338.15365.2712620.38-9709.06-46962.750.550.34-0.092-3966.46
5-67603.422191242.865701.3215586.62-9909.61-49421.910.580.43-0.071-3219.21
6-76300.732191242.865611.3514613.7-10566.91-43696.090.530.4-0.081-3633.37
7-1010352181338.16296.1215127.85-11646.43-51954.490.540.33-0.1-4811.18
8-1052762191242.866233.7715218.81-13448.36-60910.260.460.35-0.092-5013.16
9-95875.772191242.867325.3714495.05-13483.68-63773.170.540.41-0.081-4565.51
10-97602.992191242.868895.5616481.1-14805.26-67884.020.60.45-0.075-4647.76
Although, strategy looks good but profit factor on day 3 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
atrnil37.7522383.41207133514122.5216943.47-5882.63-19194.182.41.290.0331119.17
atrnil24.64-30685.4225718289415.0111295.65-5366.14-19194.181.750.68-0.05-1227.42
atrtrail33.5-35028.372471729.175800.514340.81-4448.93-19194.181.30.54-0.067-1459.52
atrtrail23.28-36790.5125718285729.7711295.65-4272.16-19194.181.340.52-0.072-1471.62
atrtrail-14.12-42297.592471729.174762.0412296.78-4448.93-19194.181.070.44-0.09-1762.4

In the table above, row 1 shows the best exit criterion. Profit factor is 1.29. 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%, which is not acceptable. Avoid this strategy. Average return per trade is 0.56%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BAJAJ-AUTO Performance, Profit Factor:1.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019115 Oct 2019 (7.17%)
2017206 Mar 2017 (-1.73%), 03 Oct 2017 (6.13%)
2016102 Feb 2016 (-2.44%)
2015204 May 2015 (-2.79%), 05 May 2015 (8.47%)
2014425 Feb 2014 (7.13%), 14 May 2014 (-2.1%), 18 Sep 2014 (-2.27%), 22 Oct 2014 (7.14%)
2013203 Jan 2013 (-2.02%), 24 Dec 2013 (-2.41%)
2012129 Oct 2012 (6.47%)
2010613 May 2010 (-2.77%), 26 Jul 2010 (6.92%), 23 Aug 2010 (-2.44%), 06 Sep 2010 (-2.6%), 01 Oct 2010 (-2.6%), 31 Dec 2010 (-2.48%)
2008131 Oct 2008 (-9.6%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play