Study: Buy BAJAJFINSV when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy BAJAJFINSV when RSI is above 50 and there is Bullish 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: 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
127261.2330161453.333350.1812140.82-1881.54-4842.241.782.030.074908.71
284231.3730201066.675510.5819607.74-2598.03-4557.52.124.240.162807.71
398456.1830191163.336722.3815750.12-2660.83-6145.352.534.360.173281.87
420501.3130161453.335102.7711231.34-4367.35-10358.791.171.340.037683.38
5-8260.05301218407518.3617808.96-5471.13-21781.351.370.92-0.01-275.33
6-11342.8430131743.336655.5523707.91-5756.76-15623.661.160.88-0.014-378.09
7-18977.7830111936.679079.2930671.58-6255.26-20252.21.450.84-0.019-632.59
8-14124.4530131743.338979.9622883.95-7697.88-20545.591.170.89-0.013-470.81
9467.1830161453.337810.8934060.78-8893.36-20014.440.8810.0004215.57
1037228.583015155010133.6945767.9-7651.79-19512.411.321.320.031240.95

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 4.36. Strategy is very good and impressively bullish. Percentage of profitable trades is 63.33%, which is good. Average return per trade is 1.64%, which is not very high, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
BAJAJFINSV Performance, X=3, Profit Factor:4.36

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019301 Apr 2019 (2.23%), 17 May 2019 (2.86%), 01 Jul 2019 (0.19%)
2018111 Jun 2018 (-0.67%)
2017823 Feb 2017 (1.99%), 22 Mar 2017 (-1.53%), 10 Apr 2017 (5.46%), 28 Apr 2017 (-0.13%), 02 Jun 2017 (-1.2%), 28 Aug 2017 (-1.35%), 12 Sep 2017 (-0.08%), 17 Nov 2017 (0.91%)
2016331 Aug 2016 (3.58%), 21 Sep 2016 (3.53%), 29 Dec 2016 (5.03%)
2015213 Feb 2015 (-2.89%), 31 Jul 2015 (7.88%)
2014422 Apr 2014 (4.17%), 09 May 2014 (0.21%), 05 Jun 2014 (-1.25%), 01 Oct 2014 (-1.19%)
2013121 Feb 2013 (1.43%)
2012303 Apr 2012 (7.11%), 28 Apr 2012 (1.42%), 24 Sep 2012 (3.31%)
2011117 Oct 2011 (5.05%)
2010203 Sep 2010 (-1.28%), 28 Sep 2010 (-3.07%)
2009208 May 2009 (5.71%), 31 Dec 2009 (1.78%)

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-1398456.1830191163.336722.3815750.12-2660.83-6145.352.534.360.173281.87
atrnil26.4215137633181554.5513554.9921887.88-6174.25-8222.392.22.630.134587.15
atrtrail-16.3111173532171553.1210936.6597025.32-4945.85-7618.442.212.510.0573491.73
atrtrail24.8292262.3433171651.5210156.7919944.27-5025.2-7618.442.022.150.0962795.83
atrnil310.431268653012184020242.1832831.82-6446.7-8222.393.142.090.0924228.85
atrtrail35.6650428.0132171553.127330.3429916.4-4945.85-7618.441.481.680.0531575.88

In the table above, row 1 shows the best exit criterion. Profit factor is 4.36. Strategy is very good and impressively bullish. Percentage of profitable trades is 63.33%, which is good. Average return per trade is 1.64%, which is not very high, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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