Study: Sell BAJAJ-AUTO when RSI is above 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell BAJAJ-AUTO when RSI is above 50 and there is Bearish Crossover in MACD" 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
159688.3357391868.422979.6417511.48-3139.88-9809.260.952.060.0731047.16
25717.3557292850.884184.2219048.28-4129.47-17603.831.011.050.005100.3
3-8315.4757302752.634507.4621470.97-5316.27-19783.670.850.94-0.0062-145.89
4-19509.2757332457.894383.3416875.5-6839.98-14119.40.640.88-0.015-342.27
5-35144.2257263145.615661.2820082.61-5881.86-14866.870.960.81-0.026-616.57
6-30726.6657273047.376105.7318007.01-6519.38-18233.680.940.84-0.02-539.06
7-69315.2557243342.116563.7817617.53-6874.12-21045.130.950.69-0.043-1216.06
8-76066.0857233440.357682.8520827.08-7434.46-35346.851.030.7-0.041-1334.49
9-11275656243242.867374.9723930.98-9054.86-28868.290.810.61-0.059-2013.5
10-11796556223439.298017.5719711.18-8657.41-27442.190.930.6-0.062-2106.52

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.06. 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 68.42%, which is good. Average return per trade is 0.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.073, 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:2.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019420 Mar 2019 (-0.0%), 02 May 2019 (-0.96%), 18 Sep 2019 (1.38%), 03 Oct 2019 (1.19%)
2018304 Jan 2018 (-0.47%), 25 Sep 2018 (0.55%), 26 Nov 2018 (1.88%)
2017607 Feb 2017 (-0.44%), 23 Mar 2017 (0.8%), 20 Apr 2017 (0.25%), 14 Aug 2017 (-0.62%), 28 Sep 2017 (-2.3%), 24 Oct 2017 (-0.69%)
2016706 Jan 2016 (2.67%), 29 Apr 2016 (0.56%), 13 Jun 2016 (0.89%), 29 Jun 2016 (-1.67%), 26 Jul 2016 (0.14%), 24 Aug 2016 (0.25%), 12 Sep 2016 (-0.56%)
2015203 Jun 2015 (0.98%), 09 Jul 2015 (1.77%)
2014404 Apr 2014 (0.31%), 08 Jul 2014 (2.54%), 16 Sep 2014 (-0.76%), 25 Nov 2014 (1.12%)
2013401 Jan 2013 (-3.3%), 31 Jul 2013 (0.05%), 27 Sep 2013 (0.29%), 21 Oct 2013 (0.51%)
2012427 Feb 2012 (-3.54%), 28 Aug 2012 (3.92%), 04 Oct 2012 (0.58%), 15 Nov 2012 (1.21%)
2011618 Mar 2011 (0.21%), 13 Apr 2011 (-1.49%), 02 May 2011 (5.1%), 22 Jun 2011 (0.44%), 15 Jul 2011 (0.37%), 16 Sep 2011 (1.49%)
2010912 Mar 2010 (0.68%), 19 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%), 16 Nov 2010 (-0.07%)
2009703 Feb 2009 (0.59%), 04 Mar 2009 (0.74%), 13 Apr 2009 (-4.9%), 10 Jun 2009 (1.97%), 07 Aug 2009 (8.76%), 16 Oct 2009 (-0.98%), 21 Dec 2009 (-2.27%)
2008120 Aug 2008 (4.43%)

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-1159688.3357391868.422979.6417511.48-3139.88-9809.260.952.060.0731047.16
atrtrail24.0118690.3770224831.439520.124654.13-3973.99-11977.772.41.10.011267.01
atrnil25.5-64860.4770195127.1411549.6624654.13-5574.59-12540.282.070.77-0.033-926.58
atrtrail34.65-52174.3469214830.436549.5217035.3-3952.38-10940.371.660.72-0.039-756.15
atrtrail-15.01-61602.4769214830.436100.5715346.52-3952.38-10940.371.540.68-0.048-892.79
atrnil37.54-18879068105814.7114258.618085.78-5713.38-12540.282.50.43-0.11-2776.33

In the table above, row 1 shows the best exit criterion. Profit factor is 2.06. 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 68.42%, which is good. Average return per trade is 0.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.073, 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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