Study: Sell BAJAJFINSV when RSI is below 50 and there is Bearish Crossover in MACD

home > technical-strategy > bajajfinsv > 26

In this study, we evaluate the performance of strategy "Sell BAJAJFINSV when RSI is below 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 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
117382.8446271958.73094.489739.57-3482.53-8895.220.891.260.028377.89
2-4397.66462323504998.310310.69-5189.5-10363.630.960.96-0.0047-95.6
3-31363.7646222447.836074.9714589.72-6875.54-16348.930.880.81-0.026-681.82
4-63837.8246222447.836587.3616691.9-8698.33-26538.330.760.69-0.043-1387.78
5-27078.16462323507771.3515129.31-8948.66-33557.310.870.87-0.016-588.66
6-15904.9646252154.358264.3123076.92-10595.85-31462.450.780.93-0.0087-345.76
7-57591.2446222447.839107.6826398.27-10748.35-31213.480.850.78-0.03-1251.98
8-42360.1746252154.358512.3635542.77-12150.92-35613.610.70.83-0.021-920.87
9-92181.6746222447.839503.0336261.68-12552.02-32451.010.760.69-0.043-2003.95
10-13537746202643.489934.9232264.56-12849.06-33115.620.770.59-0.06-2942.98

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.26. 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 58.7%, which is not acceptable. Avoid this strategy. Average return per trade is 0.19%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, 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.

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-1117382.8446271958.73094.489739.57-3482.53-8895.220.891.260.028377.89
atrtrail34.57-34797.651163531.3710131.1334017.15-5625.59-12906.091.80.82-0.022-682.31
atrtrail-15.1-49416.9351163531.379217.4237165.4-5625.59-12906.091.640.75-0.032-968.96
atrtrail24.15-55521.6152163630.779234.3322678.1-5646.41-12906.091.640.73-0.039-1067.72
atrnil26.56-10774048133527.0813273.2822678.1-8008.35-12906.091.660.62-0.069-2244.57
atrnil39.6-111107459362019640.4434017.15-7996.41-12906.092.460.61-0.064-2469.04

In the table above, row 1 shows the best exit criterion. Profit factor is 1.26. 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 58.7%, which is not acceptable. Avoid this strategy. Average return per trade is 0.19%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, 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 using the best exit criterion.
BAJAJFINSV Performance, X=1, Profit Factor:1.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019123 Aug 2019 (-4.45%)
2018301 Jan 2018 (1.37%), 22 Feb 2018 (-1.37%), 10 Dec 2018 (-2.34%)
2017415 Jun 2017 (-2.47%), 24 Oct 2017 (4.87%), 15 Nov 2017 (-1.67%), 05 Dec 2017 (0.78%)
2016507 Jan 2016 (-3.81%), 09 Feb 2016 (-0.3%), 10 Jun 2016 (2.22%), 04 Nov 2016 (1.73%), 14 Dec 2016 (2.34%)
2015420 Apr 2015 (-0.5%), 22 Sep 2015 (1.18%), 15 Oct 2015 (-1.33%), 07 Dec 2015 (1.13%)
2014208 Aug 2014 (-0.03%), 16 Sep 2014 (-3.94%)
2013708 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%)
2012330 Jan 2012 (-2.94%), 15 Jun 2012 (0.09%), 27 Aug 2012 (-0.54%)
2011707 Jan 2011 (1.7%), 02 May 2011 (2.93%), 23 May 2011 (-1.33%), 20 Jun 2011 (3.01%), 11 Jul 2011 (-0.49%), 23 Sep 2011 (2.03%), 08 Nov 2011 (1.83%)
2010515 Feb 2010 (1.72%), 12 Mar 2010 (0.26%), 16 Apr 2010 (0.68%), 11 Nov 2010 (2.2%), 10 Dec 2010 (-0.16%)
2009506 Mar 2009 (-4.04%), 30 Jul 2009 (2.44%), 14 Sep 2009 (-0.73%), 26 Oct 2009 (2.5%), 27 Nov 2009 (0.5%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play