Study: Sell BAJAJFINSV when there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell BAJAJFINSV when there is Bearish Crossover in MACD 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: 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
1-11844.6146222447.833344.658680.28-3559.46-12585.970.940.86-0.017-257.49
2-84045.2546143230.434634.0114765.49-4653.79-17331.5610.44-0.097-1827.07
3-10162346192741.35006.3119866.08-7286.79-16657.980.690.48-0.087-2209.21
4-128417451827405515.0915239.75-8432.91-23980.50.650.44-0.098-2853.71
5-91925.4645192642.228280.823481.57-9586.95-33557.310.860.63-0.053-2042.79
6-55131.445212446.678893.7224145.56-10079.15-31462.450.880.77-0.031-1225.14
7-5667.3345202544.4411008.7531584.95-9033.69-26951.161.220.97-0.003-125.94
8-5612.034518274013117.6146750.29-8952.93-26424.191.470.98-0.0027-124.71
9-37934.945212446.6710007.6647149.37-10337.32-30629.430.970.85-0.018-843
10-24067.5245202544.4411935.1458133.79-10510.81-42198.581.140.91-0.01-534.83
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
atrtrail-14.79-10226.1552124023.0819960.81148048-6243.9-13839.843.20.96-0.0027-196.66
atrnil25.12-73290.3851133825.4915914.9925978.33-7373.3-15854.772.160.74-0.04-1437.07
atrnil36.9-1134925194217.6522511.7738967.5-7526.13-15854.772.990.64-0.055-2225.32
atrtrail33.71-11131352124023.0811536.8733773.68-6243.9-13839.841.850.55-0.069-2140.64
atrtrail23.56-13052952124023.089935.6122515.78-6243.9-13839.841.590.48-0.094-2510.16

In the table above, row 1 shows the best exit criterion. Profit factor is 0.96. 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 23.08%, which is not acceptable. Avoid this strategy. Average return per trade is -0.098%, 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:0.959

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019604 Jan 2019 (-1.64%), 28 Mar 2019 (-1.97%), 22 Apr 2019 (-1.75%), 06 Jun 2019 (-2.22%), 03 Jul 2019 (-1.59%), 23 Aug 2019 (-4.0%)
2018305 Jun 2018 (-3.08%), 14 Jun 2018 (-0.45%), 07 Aug 2018 (-1.57%)
2017820 Feb 2017 (-2.3%), 03 Mar 2017 (-3.12%), 20 Apr 2017 (-1.73%), 03 May 2017 (1.22%), 14 Sep 2017 (8.42%), 25 Oct 2017 (-3.19%), 15 Nov 2017 (-2.76%), 05 Dec 2017 (-1.77%)
2016406 May 2016 (-2.06%), 03 Aug 2016 (-2.61%), 14 Sep 2016 (-3.4%), 14 Dec 2016 (-1.66%)
2015311 Feb 2015 (-3.94%), 18 Feb 2015 (1.83%), 17 Aug 2015 (7.99%)
2014817 Apr 2014 (-2.77%), 07 May 2014 (-2.55%), 15 May 2014 (-3.03%), 30 May 2014 (-3.83%), 02 Jun 2014 (-3.82%), 15 Sep 2014 (1.19%), 10 Oct 2014 (-3.23%), 18 Dec 2014 (-4.37%)
2013109 Dec 2013 (4.37%)
2012407 Mar 2012 (-4.91%), 04 May 2012 (-4.45%), 24 Aug 2012 (2.05%), 20 Dec 2012 (-0.36%)
2011318 Mar 2011 (-4.34%), 23 Sep 2011 (2.27%), 08 Nov 2011 (12.07%)
2010513 Jan 2010 (-3.57%), 24 May 2010 (-6.92%), 31 Aug 2010 (-3.09%), 30 Sep 2010 (3.36%), 11 Nov 2010 (-1.26%)
2009622 Jan 2009 (0.98%), 06 May 2009 (-5.9%), 15 May 2009 (-5.9%), 12 Jun 2009 (-4.78%), 14 Sep 2009 (-5.52%), 26 Oct 2009 (-3.47%)
2008104 Sep 2008 (74.02%)



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