Study: Buy BAJAJFINSV when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy BAJAJFINSV when near 200 SMA and above 200 SMA" 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
119328.5925178682614.316922.5-3139.34-11622.570.831.770.062773.14
26239.0425169643508.346649.46-5543.83-13102.130.631.130.014249.56
38119.4325169644086.319192.59-6362.38-13219.870.641.140.016324.78
447727.2225169645231.3213786.98-3997.1-11243.811.312.330.0991909.09
511672325196767535.1333316.51-4407.42-10209.741.715.410.174668.92
611247625178688430.5718780.25-3855.43-9309.492.194.650.184499.05
716595325205809556.8427112.61-5036.84-8593.51.97.590.236638.1
8205490252058011425.7138472.19-4604.84-12453.762.489.920.228219.6
9218562251967613148.6948842.27-5210.58-17251.432.527.990.218742.46
10246517251877216578.9461310.11-7414.88-18871.22.245.750.199860.67
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
BAJAJFINSV Performance, X=8, Profit Factor:9.92

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019331 Jan 2019 (0.07%), 21 Feb 2019 (7.13%), 28 Aug 2019 (4.52%)
2018625 Jan 2018 (1.6%), 21 Feb 2018 (0.14%), 09 Mar 2018 (3.33%), 10 May 2018 (14.01%), 03 Oct 2018 (-2.06%), 21 Nov 2018 (3.73%)
2016409 Feb 2016 (-6.23%), 13 Apr 2016 (1.16%), 17 May 2016 (-1.15%), 02 Jun 2016 (1.22%)
2014103 Feb 2014 (2.74%)
2013328 Feb 2013 (-1.06%), 14 Nov 2013 (2.72%), 16 Dec 2013 (7.41%)
2012108 Feb 2012 (15.09%)
2011405 May 2011 (2.74%), 23 May 2011 (5.87%), 22 Aug 2011 (9.86%), 04 Oct 2011 (5.77%)
2010215 Apr 2010 (-1.02%), 22 Dec 2010 (5.9%)
2009112 May 2009 (19.24%)

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
200trail-15.0313785239182146.1510734.6240756.81-2636.72-3796.894.073.490.113534.67
atrtrail-16.4119759537201754.0514056.8127537-4914.17-9172.212.863.370.0725340.41
atrnil38.4820386527141351.8521239.5133331.92-7191.4-11098.12.953.180.157550.55
atrtrail24.4614726637201754.0511540.3322221.28-4914.17-9172.212.352.760.133980.16
200trail32.6796330.9139182146.158489.9711603.53-2689.93-3865.293.162.710.132470.02
200nil33.0397243.2935171848.579202.711851.41-3289.04-3978.572.82.640.132778.38
200trail22.0580239.3241221953.666009.177735.69-2734.87-3865.292.22.540.131957.06
atrtrail35.2712530537201754.0510442.2833331.92-4914.17-9172.212.122.50.0973386.61
200nil22.1880315.4939221756.416155.67900.94-3241.63-3978.571.92.460.132059.37
atrnil25.6513828831171454.8414012.0722221.28-7136.92-11098.11.962.380.124460.91

In the table above, row 1 shows the best exit criterion. Profit factor is 3.49. Strategy is very good and impressively bullish. Percentage of profitable trades is 46.15%, which is not acceptable. Avoid this strategy. Average return per trade is 1.77%, 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 using the best exit criterion.
BAJAJFINSV Performance, Profit Factor:3.49

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019431 Jan 2019 (-1.23%), 13 Feb 2019 (-1.26%), 21 Feb 2019 (11.55%), 28 Aug 2019 (2.64%)
20181225 Jan 2018 (-1.68%), 02 Feb 2018 (-1.79%), 05 Feb 2018 (-1.37%), 06 Feb 2018 (4.0%), 21 Feb 2018 (1.54%), 01 Mar 2018 (-1.88%), 09 Mar 2018 (0.74%), 16 Mar 2018 (-1.37%), 10 May 2018 (9.06%), 03 Oct 2018 (-1.21%), 21 Nov 2018 (-1.77%), 05 Dec 2018 (-1.9%)
2016709 Feb 2016 (-1.88%), 13 Apr 2016 (1.93%), 25 Apr 2016 (-0.58%), 28 Apr 2016 (3.76%), 17 May 2016 (-1.64%), 02 Jun 2016 (-0.65%), 09 Jun 2016 (-1.35%)
2014103 Feb 2014 (4.45%)
2013428 Feb 2013 (-1.43%), 14 Nov 2013 (0.31%), 21 Nov 2013 (4.94%), 16 Dec 2013 (4.41%)
2012108 Feb 2012 (-0.12%)
2011505 May 2011 (-0.5%), 13 May 2011 (3.51%), 23 May 2011 (5.76%), 22 Aug 2011 (9.27%), 04 Oct 2011 (3.58%)
2010315 Apr 2010 (-1.31%), 27 Apr 2010 (-1.13%), 22 Dec 2010 (4.77%)
2009212 May 2009 (-1.63%), 19 May 2009 (20.38%)



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