Study: Buy BAJAJFINSV when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy BAJAJFINSV when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1-11705.230111936.672226.166395.86-1904.89-4760.311.170.68-0.047-390.17
2-30772.92301218402643.028067.53-3471.62-7444.240.760.51-0.084-1025.76
3-8840.1630111936.675535.8210261.75-3670.22-11851.591.510.87-0.017-294.67
4-1900.71301218406922.7317619.17-4720.75-13412.031.470.98-0.0026-63.36
530630.06301515508226.9522126.23-6184.94-19136.621.331.330.0331021
655040.2330161453.339341.1324604.97-6744.13-15619.291.391.580.0531834.67
752062.3130161453.339961.1432208.64-7665.43-17905.631.31.490.0461735.41
848562.7930141646.6712205.7734078.93-7644.88-21755.231.61.40.0371618.76
968699.1630171356.6711579.9734919.9-9858.48-20968.311.171.540.0482289.97
1041870.3230161453.3311211.0836596.5-9821.93-24674.911.141.30.0281395.68
Although, strategy looks good but profit factor on day 2 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
50trail-13.858563.844473715.9122379.7148631.78-2651.19-3982.058.441.60.0351331
atrtrail-16.6564367.8937132435.1415085.8650463.2-5489.51-9374.642.751.490.0381739.67
atrnil38.2237474.3732102231.2518319.7325550.72-6623.77-9374.642.771.260.031171.07
atrnil25.6832652.6634132138.2412896.2517778.53-6428.5-9374.642.011.240.03960.37
50nil334584.8942103223.819989.911982.33-2978.57-3982.053.351.050.0058109.16
atrtrail24.785421.7637132435.1410551.5417778.53-5489.51-9374.641.921.040.0052146.53
atrtrail35.27-2293.1337132435.149958.0920583.47-5489.51-9374.641.810.98-0.0022-61.98
50nil22.51-32338.8643103323.266659.937988.22-2998.13-3982.052.220.67-0.054-752.07
50trail32.57-46123.474473715.917424.3811982.33-2651.19-3982.052.80.53-0.076-1048.26
50trail22.32-53218.094483618.1857857988.22-2763.84-3982.052.090.47-0.1-1209.5

In the table above, row 1 shows the best exit criterion. Profit factor is 1.6. 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 15.91%, which is not acceptable. Avoid this strategy. Average return per trade is 0.67%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BAJAJFINSV Performance, Profit Factor:1.6

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019307 Feb 2019 (-1.29%), 25 Feb 2019 (8.66%), 13 Sep 2019 (-1.25%)
2018415 Feb 2018 (-1.65%), 27 Feb 2018 (-1.57%), 12 Mar 2018 (-0.74%), 14 Sep 2018 (-1.01%)
2017606 Jan 2017 (-0.62%), 02 Jun 2017 (-1.18%), 12 Jul 2017 (24.32%), 12 Oct 2017 (-1.59%), 30 Nov 2017 (-1.84%), 15 Dec 2017 (-1.72%)
2016305 Jan 2016 (-1.02%), 12 Jan 2016 (-1.51%), 09 Jun 2016 (-1.59%)
2015810 Apr 2015 (-1.74%), 30 Apr 2015 (-0.98%), 08 May 2015 (-0.93%), 12 May 2015 (0.25%), 09 Sep 2015 (-1.13%), 18 Sep 2015 (-1.54%), 20 Oct 2015 (-0.09%), 22 Dec 2015 (0.74%)
2014818 Feb 2014 (-1.13%), 20 Feb 2014 (-1.01%), 11 Mar 2014 (-1.73%), 18 Mar 2014 (8.34%), 07 Aug 2014 (-1.99%), 14 Aug 2014 (-1.34%), 21 Aug 2014 (15.14%), 21 Nov 2014 (20.89%)
2012429 Jun 2012 (-1.39%), 05 Jul 2012 (-1.64%), 10 Jul 2012 (-1.07%), 11 Jul 2012 (-0.95%)
2011503 Jan 2011 (-1.64%), 28 Jun 2011 (-1.64%), 04 Jul 2011 (-1.24%), 13 Oct 2011 (-1.59%), 04 Nov 2011 (-1.21%)
2010303 Mar 2010 (-1.68%), 30 Mar 2010 (-1.24%), 28 Dec 2010 (-1.59%)



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