Study: Buy BAJAJFINSV when ADX is Trending and there is Golden Cross (50 DMA > 200 DMA)

home > technical-strategy > bajajfinsv > 55

In this study, we evaluate the performance of strategy "Buy BAJAJFINSV when ADX is Trending and there is Golden Cross (50 DMA > 200 DMA)" 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
1-8117.15413251272.191272.19-3129.78-6371.020.410.14-0.21-2029.29
21466.87422503001.344896.45-2267.91-4310.961.321.320.033366.72
3292.91422503525.186878.7-3378.72-5658.131.041.040.004973.23
43500.344132513786.9813786.98-3428.88-9303.434.021.340.032875.09
56978.69422506923.3812130.18-3434.03-6593.232.022.020.0771744.67
64392.95431753456.027825.44-5975.12-5975.120.581.740.0661098.24
78295.22431755908.4810710.06-9430.22-9430.220.631.880.0852073.81
813245.47431756702.7114822.49-6862.67-6862.670.982.930.133311.37
91877.064132515857.9915857.99-4660.31-10175.133.41.130.015469.27
103361.034132519733.7319733.73-5457.57-10286.083.621.210.022840.26
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
BAJAJFINSV Performance, X=8, Profit Factor:2.93

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2013116 Dec 2013 (7.41%)
2012113 Mar 2012 (-3.43%)
2011131 Mar 2011 (0.22%)
2009105 Jun 2009 (2.42%)

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
atrtrail25.8-9118.01523407096.0512206.34-7770.04-9256.740.910.61-0.067-1823.6
atrnil39.6-21601.025142018309.518309.5-9977.63-11458.521.840.46-0.11-4320.2
atrtrail36.2-13878.91523404715.67445.44-7770.04-9256.740.610.4-0.13-2775.78
atrtrail-16.2-13878.91523404715.67445.44-7770.04-9256.740.610.4-0.13-2775.78
atrnil28.4-27704.195142012206.3412206.34-9977.63-11458.521.220.31-0.19-5540.84

In the table above, row 1 shows the best exit criterion. Profit factor is 0.61. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BAJAJFINSV Performance, Profit Factor:0.609

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2013116 Dec 2013 (6.1%)
2012113 Mar 2012 (-4.63%)
2011131 Mar 2011 (-2.43%)
2009205 Jun 2009 (-4.6%), 08 Jun 2009 (0.99%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play