Study: Sell BAJAJFINSV when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell BAJAJFINSV when 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 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
19035.9194524255.322910.439739.57-3388.24-12585.970.861.060.00796.13
2-59606.2794445046.814412.9114765.49-5075.49-17331.560.870.77-0.033-634.11
3-11431694445046.815251.7219866.08-6907.83-16657.980.760.67-0.048-1216.13
4-18558993425145.165826.9216691.9-8437.65-26538.330.690.57-0.066-1995.58
5-97427.2593435046.247723.6123481.57-8590.85-33557.310.90.77-0.029-1047.6
6-8519693484551.617897.1724145.56-10316.89-31462.450.770.82-0.024-916.09
7-78570.1493435046.249562.2331584.95-9794.92-31213.480.980.84-0.021-844.84
8-93994.3393435046.249983.3646750.29-10465.58-35613.610.950.82-0.022-1010.69
9-11499193444947.319680.8747149.37-11039.78-32451.010.880.79-0.027-1236.46
10-13593093435046.2410306.6658133.79-11582.34-42198.580.890.77-0.029-1461.62

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.06. 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 55.32%, which is not acceptable. Avoid this strategy. Average return per trade is 0.048%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.007, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-119035.9194524255.322910.439739.57-3388.24-12585.970.861.060.00796.13
atrtrail-15.05-78537.74106287826.4213362.97148048-5803.86-13839.842.30.83-0.013-740.92
atrtrail34.29-149014106287826.4210845.9834017.15-5803.86-13839.841.870.67-0.045-1405.79
atrnil25.76-205074103267725.2414380.4325978.33-7519.03-15854.771.910.65-0.06-1991.01
atrnil37.96-21923110019811920798.838967.5-7585.29-15854.772.740.64-0.056-2192.31
atrtrail24.02-186100107287926.179749.1522678.1-5811.09-13839.841.680.59-0.065-1739.25

In the table above, row 1 shows the best exit criterion. Profit factor is 1.06. 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 55.32%, which is not acceptable. Avoid this strategy. Average return per trade is 0.048%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.007, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BAJAJFINSV Performance, X=1, Profit Factor:1.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019704 Jan 2019 (0.05%), 28 Mar 2019 (-1.22%), 22 Apr 2019 (-0.3%), 06 Jun 2019 (-0.95%), 03 Jul 2019 (-1.27%), 23 Aug 2019 (-4.45%), 11 Oct 2019 (1.07%)
2018601 Jan 2018 (1.37%), 22 Feb 2018 (-1.37%), 18 Apr 2018 (-0.25%), 05 Jun 2018 (-2.49%), 07 Aug 2018 (-0.82%), 10 Dec 2018 (-2.34%)
2017720 Feb 2017 (0.48%), 20 Apr 2017 (1.18%), 15 Jun 2017 (-2.47%), 14 Sep 2017 (0.11%), 24 Oct 2017 (4.87%), 15 Nov 2017 (-1.67%), 05 Dec 2017 (0.78%)
2016907 Jan 2016 (-3.81%), 09 Feb 2016 (-0.3%), 06 May 2016 (-0.37%), 10 Jun 2016 (2.22%), 03 Aug 2016 (-0.87%), 14 Sep 2016 (-2.16%), 24 Oct 2016 (-0.86%), 07 Nov 2016 (2.21%), 14 Dec 2016 (2.34%)
20151011 Feb 2015 (-6.29%), 10 Mar 2015 (-0.09%), 20 Apr 2015 (-0.5%), 12 Jun 2015 (0.13%), 21 Jul 2015 (0.55%), 17 Aug 2015 (1.14%), 22 Sep 2015 (1.18%), 15 Oct 2015 (-1.33%), 11 Nov 2015 (1.1%), 07 Dec 2015 (1.13%)
2014910 Jan 2014 (1.64%), 17 Apr 2014 (-1.2%), 07 May 2014 (-1.48%), 30 May 2014 (-3.17%), 13 Jun 2014 (-0.27%), 07 Aug 2014 (1.38%), 15 Sep 2014 (4.34%), 10 Oct 2014 (-1.52%), 18 Dec 2014 (-2.32%)
2013908 Feb 2013 (0.28%), 14 Mar 2013 (0.04%), 05 Apr 2013 (0.03%), 03 May 2013 (-0.62%), 16 May 2013 (2.04%), 25 Jul 2013 (1.46%), 20 Aug 2013 (0.39%), 25 Oct 2013 (0.97%), 09 Dec 2013 (2.42%)
2012930 Jan 2012 (-2.94%), 07 Mar 2012 (-0.98%), 17 Apr 2012 (-5.26%), 04 May 2012 (-2.5%), 15 Jun 2012 (0.09%), 24 Aug 2012 (4.02%), 12 Oct 2012 (0.66%), 29 Oct 2012 (1.22%), 20 Dec 2012 (1.45%)
2011907 Jan 2011 (1.7%), 18 Mar 2011 (1.83%), 02 May 2011 (2.93%), 23 May 2011 (-1.33%), 20 Jun 2011 (3.01%), 11 Jul 2011 (-0.49%), 28 Jul 2011 (0.33%), 23 Sep 2011 (2.03%), 08 Nov 2011 (1.83%)
2010913 Jan 2010 (-0.21%), 15 Feb 2010 (1.72%), 12 Mar 2010 (0.26%), 16 Apr 2010 (0.68%), 24 May 2010 (1.0%), 31 Aug 2010 (-1.17%), 30 Sep 2010 (1.41%), 11 Nov 2010 (2.2%), 10 Dec 2010 (-0.16%)
2009922 Jan 2009 (4.05%), 06 Mar 2009 (-4.04%), 06 May 2009 (-4.43%), 12 Jun 2009 (-0.15%), 30 Jul 2009 (2.44%), 14 Sep 2009 (-0.73%), 26 Oct 2009 (2.5%), 27 Nov 2009 (0.5%), 11 Dec 2009 (0.62%)
2008104 Sep 2008 (0.24%)



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