Study: Sell BAJAJFINSV when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell BAJAJFINSV when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell BAJAJFINSV 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

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.4. This strategy is not profitable and we advice you not to use it.

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

In the table above, row 1 shows the best exit criterion. Profit factor is 0.88. 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 20.83%, which is not acceptable. Avoid this strategy. Average return per trade is -0.11%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BAJAJFINSV Performance, Profit Factor:0.882

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019628 Jan 2019 (-1.25%), 11 Feb 2019 (-1.14%), 12 Feb 2019 (-1.19%), 25 Jul 2019 (-1.26%), 29 Aug 2019 (-1.16%), 05 Sep 2019 (-1.26%)
2018530 Jan 2018 (-0.75%), 19 Mar 2018 (-1.67%), 28 Nov 2018 (-1.1%), 07 Dec 2018 (3.26%), 11 Dec 2018 (-1.59%)
2016227 May 2016 (-1.24%), 30 May 2016 (3.0%)
2013304 Mar 2013 (-1.05%), 06 Mar 2013 (-1.29%), 11 Mar 2013 (4.52%)
2011222 Jun 2011 (-1.17%), 15 Nov 2011 (5.96%)
2010312 Mar 2010 (-1.07%), 16 Mar 2010 (3.64%), 22 Apr 2010 (-1.82%)
2009318 Mar 2009 (-1.0%), 19 Mar 2009 (-1.0%), 14 May 2009 (-1.1%)

View performance of other stocks for this trading system.

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