Study: Buy BAJAJ-AUTO when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy BAJAJ-AUTO when near 200 SMA and above 200 SMA 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
1-586.58137653.852231.736518.99-2701.45-5650.390.830.96-0.0043-45.12
2-4285.39136746.151438.993038.17-1845.62-3542.920.780.67-0.05-329.65
318989.05139469.233008.825831.94-2022.59-4612.351.493.350.151460.7
43531.77138561.543088.436097.96-4235.13-10008.60.731.170.019271.67
5-3632.67137653.853817.9310091.18-5059.7-12155.990.750.88-0.014-279.44
61957.52137653.854421.669074.85-4832.35-16019.320.921.070.0071150.58
78298.8138561.544798.848350.75-6018.39-14902.90.81.280.029638.37
810354136746.156815.189301.91-4362.44-12275.421.561.340.037796.46
910732.33136746.157017.7511021.01-4482.02-7779.361.571.340.039825.56
1015916.93135838.468550.6111228.1-3354.51-7155.592.551.590.0561224.38
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
BAJAJ-AUTO Performance, X=3, Profit Factor:3.35

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 Feb 2019 (2.63%)
2017103 Apr 2017 (1.68%)
2016224 Nov 2016 (1.26%), 12 Dec 2016 (0.58%)
2015221 May 2015 (0.91%), 11 Sep 2015 (1.05%)
2014113 May 2014 (-2.31%)
2013202 May 2013 (-0.62%), 30 Jul 2013 (-0.86%)
2012129 Aug 2012 (2.32%)
2011304 Mar 2011 (2.92%), 08 Apr 2011 (0.19%), 12 Jul 2011 (-0.26%)

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
atrnil210.8329218.6412665010436.1114933.17-5566.33-6530.981.871.870.0882434.89
200nil35.216048.331551033.339477.1111033.14-3133.72-3935.53.021.510.0531069.89
atrtrail25.7913737.7146842.866898.2413102.43-3456.47-5744.0621.50.05981.26
atrtrail-17.2112096.27146842.866624.6718012.93-3456.47-5744.061.921.440.041864.02
200nil24.2115601569406521.387537.91-3063.14-3935.52.131.420.048770.67
atrnil315.7316239.1114736.3614257.0519652.22-5827.02-7466.592.451.40.0441476.28
atrtrail36.717738.07146842.865898.313654.74-3456.47-5744.061.711.280.03552.72
200trail33.56114.9716412257486.0511033.14-2485.77-3935.53.0110.000467.19
200trail23.19-5552.0216412256069.37355.43-2485.77-3935.52.440.81-0.027-347
200trail-14.31-6615.9816412255803.3111319.01-2485.77-3935.52.330.78-0.031-413.5

In the table above, row 1 shows the best exit criterion. Profit factor is 1.87. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 1.22%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.088, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BAJAJ-AUTO Performance, Profit Factor:1.87

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 Feb 2019 (4.63%)
2017103 Apr 2017 (3.28%)
2016124 Nov 2016 (6.55%)
2015221 May 2015 (-3.12%), 11 Sep 2015 (-3.27%)
2014113 May 2014 (-2.07%)
2013202 May 2013 (-2.87%), 30 Jul 2013 (-2.92%)
2012129 Aug 2012 (4.55%)
2011304 Mar 2011 (7.47%), 08 Apr 2011 (-2.45%), 12 Jul 2011 (4.83%)



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