Study: Buy BAJAJ-AUTO when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy BAJAJ-AUTO when above 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
1-45913.9625718282232.825563.51-3419.09-17841.410.650.25-0.13-1836.56
2-16594.95251312523558.749495.12-5238.22-17288.670.680.74-0.032-663.8
3-17622.86251213484154.528343.46-5190.54-15834.380.80.74-0.035-704.91
4-23966.21251411563787.0611718.56-6998.64-23506.780.540.69-0.037-958.65
5-21436.53251114445030.7915306.8-5483.95-17359.070.920.72-0.038-857.46
6-36020.05251312525582.0416231.73-9048.88-19981.820.620.67-0.048-1440.8
7-19698.36251312525597.6815030.14-7705.68-20037.770.730.79-0.029-787.93
8-58244.94251015406968.8114305.36-8528.87-25597.990.820.54-0.072-2329.8
9-30833.82251015408052.2317953.59-7423.74-22576.581.080.72-0.04-1233.35
10-36371.46251015408101.9417193.82-7826.06-18897.751.040.69-0.047-1454.86
Although, strategy looks good but profit factor on day 1 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
atrnil26.66-20157.9835102528.5711239.917348.49-5302.28-7061.272.120.85-0.022-575.94
atrtrail24.42-30687.5138102826.327954.1417348.49-3936.75-7061.272.020.72-0.039-807.57
atrtrail-15.29-43384.7738102826.326684.4133480.79-3936.75-7061.271.70.61-0.05-1141.7
atrtrail35.11-50842.8238102826.325938.6126022.73-3936.75-7061.271.510.54-0.068-1337.97
atrnil310.21-107272333309.0917335.6726022.73-5309.31-7061.273.270.33-0.14-3250.68

In the table above, row 1 shows the best exit criterion. Profit factor is 0.85. 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 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is -0.29%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BAJAJ-AUTO Performance, Profit Factor:0.848

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019114 Jun 2019 (-2.49%)
2018106 Feb 2018 (-3.04%)
2017303 Apr 2017 (3.28%), 23 May 2017 (-2.21%), 06 Dec 2017 (4.16%)
2016523 May 2016 (-2.2%), 29 Sep 2016 (-2.54%), 17 Oct 2016 (-2.54%), 10 Nov 2016 (-2.76%), 11 Nov 2016 (-3.01%)
2015409 Jan 2015 (-2.16%), 12 Jan 2015 (4.53%), 21 Aug 2015 (-2.74%), 13 Nov 2015 (5.42%)
2014411 Jul 2014 (-2.69%), 17 Jul 2014 (5.39%), 12 Dec 2014 (-2.04%), 17 Dec 2014 (-2.15%)
2013816 Jan 2013 (-2.3%), 23 Jan 2013 (-2.31%), 15 Feb 2013 (-2.47%), 26 Feb 2013 (5.32%), 13 Mar 2013 (-2.8%), 11 Nov 2013 (-2.5%), 20 Nov 2013 (-2.52%), 21 Nov 2013 (-2.63%)
2012228 Mar 2012 (6.82%), 26 Apr 2012 (-3.06%)
2011404 Jan 2011 (-3.07%), 05 Jan 2011 (-3.28%), 06 Jan 2011 (-3.53%), 22 Nov 2011 (6.36%)
2010210 Dec 2010 (-3.23%), 16 Dec 2010 (6.25%)
2009129 Oct 2009 (8.67%)



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