Study: Buy BAJAJ-AUTO when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy BAJAJ-AUTO when below 200 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
139715.0639251464.13235.498060.86-2940.87-8332.071.11.960.0821018.33
266892.9339281171.793617.0611766.08-3125.89-6770.591.162.950.131715.2
380972.239231658.975505.6215491.3-2853.57-9644.561.932.770.112076.21
410979439251464.16084.2919370.4-3022.39-5467.662.013.590.142815.23
512417839251464.16958.3920084.9-3555.82-10603.071.963.490.143184.06
612480939271269.236449.7922393.23-4111.29-8126.91.573.530.143200.22
713011639271269.236813.0322249.63-4486.3-11684.781.523.420.143336.31
816829939281171.797603.6827831.37-4054.93-10583.921.884.770.174315.35
91938873930976.928291.7332812.96-6096.1-15807.471.364.530.164971.46
1020415839281171.799263.0628033.87-5018.9-15472.681.854.70.175234.81

From the table above, we see that best results are achieved by holding positions for 8 trading days. Profit factor is 4.77. Strategy is very good and impressively bullish. Percentage of profitable trades is 71.79%, which is good. Average return per trade is 2.16%, which is very good.
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=8, Profit Factor:4.77

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019407 Jan 2019 (2.67%), 25 Jan 2019 (5.48%), 08 Jul 2019 (-5.29%), 23 Jul 2019 (3.04%)
2018722 Feb 2018 (-2.37%), 19 Mar 2018 (-1.42%), 21 May 2018 (1.09%), 28 Jun 2018 (13.92%), 23 Jul 2018 (-0.21%), 05 Oct 2018 (0.19%), 24 Oct 2018 (7.98%)
2017405 Apr 2017 (2.3%), 24 May 2017 (4.85%), 06 Jul 2017 (3.78%), 22 Aug 2017 (6.37%)
2016515 Jan 2016 (-2.53%), 26 Feb 2016 (3.86%), 24 May 2016 (10.92%), 15 Nov 2016 (1.43%), 22 Dec 2016 (2.15%)
2015403 Feb 2015 (0.0%), 13 Mar 2015 (-0.31%), 21 Apr 2015 (5.0%), 24 Aug 2015 (2.59%)
2014203 Feb 2014 (3.94%), 29 Apr 2014 (0.45%)
2013618 Mar 2013 (-1.7%), 03 Apr 2013 (1.91%), 13 Jun 2013 (5.34%), 06 Aug 2013 (-2.87%), 22 Nov 2013 (2.24%), 17 Dec 2013 (2.02%)
2012302 Jan 2012 (-1.26%), 27 Apr 2012 (-4.06%), 09 Jul 2012 (2.8%)
2011407 Jan 2011 (0.39%), 02 Feb 2011 (6.93%), 04 May 2011 (-0.28%), 05 Aug 2011 (2.8%)

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-1816829939281171.797603.6827831.37-4054.93-10583.921.884.770.174315.35
atrnil27.5320321757312654.3911227.4816216.63-5570.59-7791.972.022.40.123565.21
atrnil31222837354243044.4416667.2424324.95-5721.34-7791.972.912.330.114229.14
atrtrail35.5415444365303546.159044.9122869.82-3340.12-7155.452.712.320.092376.05
atrtrail-16.5513051965303546.158247.4327108.05-3340.12-7155.452.472.120.082007.98
atrtrail24.7210535865303546.157408.7315246.54-3340.12-7155.452.221.90.0761620.89

In the table above, row 1 shows the best exit criterion. Profit factor is 4.77. Strategy is very good and impressively bullish. Percentage of profitable trades is 71.79%, which is good. Average return per trade is 2.16%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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