Study: Buy BAJAJFINSV when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy BAJAJFINSV when 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
1-11240.8639182146.153123.776922.5-3212.79-9865.940.970.83-0.021-288.23
2-20004.2839182146.154237.729264.38-4584.92-13931.270.920.79-0.029-512.93
3-27138.1839192048.724718.3611051.17-5839.35-23732.470.810.77-0.03-695.85
4-4659.3239201951.286017.7213786.98-6579.67-24503.010.910.96-0.0043-119.47
532747.3739211853.856735.9214707.54-6039.27-20218.831.121.30.031839.68
676612.5339231658.978296.6618780.25-7138.17-20064.721.161.670.0631964.42
710955839231658.979615.3325879.2-6974.65-24687.931.381.980.082809.18
812900539261366.679385.9128020.5-8848.34-24102.331.062.120.0863307.83
911085139241561.549354.1321593.92-7576.55-32208.351.231.980.0752842.33
1089187.8439231658.9710320.223273.45-9261.05-36122.671.111.60.0542286.87
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
BAJAJFINSV Performance, X=8, Profit Factor:2.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019308 Jul 2019 (3.35%), 22 Jul 2019 (-1.12%), 25 Oct 2019 (10.04%)
2018416 Jan 2018 (-0.9%), 10 May 2018 (14.01%), 31 Aug 2018 (-4.96%), 19 Sep 2018 (-8.86%)
2017419 May 2017 (0.53%), 22 Sep 2017 (0.52%), 25 Oct 2017 (0.25%), 15 Nov 2017 (5.08%)
2016418 Jan 2016 (1.62%), 09 Feb 2016 (-6.23%), 08 Nov 2016 (-7.37%), 14 Dec 2016 (-5.69%)
2015320 Mar 2015 (3.46%), 24 Aug 2015 (7.9%), 09 Dec 2015 (3.49%)
2014317 Jan 2014 (-1.55%), 03 Feb 2014 (2.74%), 16 Oct 2014 (4.79%)
2013314 Jan 2013 (-1.49%), 08 Feb 2013 (-0.07%), 16 Dec 2013 (7.41%)
2012223 May 2012 (-3.83%), 09 Nov 2012 (1.85%)
2011304 May 2011 (0.02%), 05 Aug 2011 (0.22%), 05 Oct 2011 (5.32%)
2010628 Jan 2010 (12.03%), 18 Jun 2010 (8.23%), 08 Oct 2010 (-3.39%), 27 Oct 2010 (1.7%), 12 Nov 2010 (1.08%), 20 Dec 2010 (2.72%)
2009407 Jul 2009 (5.32%), 06 Aug 2009 (-12.05%), 20 Aug 2009 (6.39%), 10 Sep 2009 (11.93%)

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
atrnil312.5113422047153231.9125237.0538996.41-7635.49-13261.943.311.550.0532855.75
atrnil28.081153385021294215970.2425997.6-7587.49-13261.942.11.520.0572306.76
atrtrail24.6847402.4756233341.0710934.522684.82-6184.58-12209.711.771.230.026846.47
atrtrail35.5739945.3656223439.2911255.5234027.23-6108.12-12209.711.841.190.02713.31
atrtrail-16.24-10035.1455213438.189411.4741175.63-6108.12-12209.711.540.95-0.0056-182.46

In the table above, row 1 shows the best exit criterion. Profit factor is 1.55. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 31.91%, which is not acceptable. Avoid this strategy. Average return per trade is 1.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.053, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BAJAJFINSV Performance, Profit Factor:1.55

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019308 Jul 2019 (-2.65%), 22 Jul 2019 (-3.21%), 25 Oct 2019 (9.1%)
2018510 May 2018 (7.18%), 31 Aug 2018 (-2.14%), 04 Sep 2018 (-2.35%), 10 Sep 2018 (-2.51%), 21 Sep 2018 (-3.99%)
2017519 May 2017 (-3.64%), 22 May 2017 (-4.09%), 22 Sep 2017 (-2.81%), 25 Sep 2017 (-3.0%), 25 Oct 2017 (-3.48%)
2016618 Jan 2016 (-3.21%), 09 Feb 2016 (-3.76%), 08 Nov 2016 (-3.89%), 15 Nov 2016 (-5.97%), 21 Dec 2016 (-4.1%), 22 Dec 2016 (12.9%)
2015420 Mar 2015 (-4.62%), 23 Mar 2015 (-4.92%), 24 Aug 2015 (13.77%), 09 Dec 2015 (9.04%)
2014317 Jan 2014 (-3.02%), 27 Jan 2014 (9.64%), 16 Oct 2014 (-4.25%)
2013414 Jan 2013 (-2.98%), 16 Jan 2013 (-3.43%), 12 Feb 2013 (-2.57%), 16 Dec 2013 (9.15%)
2012223 May 2012 (14.33%), 09 Nov 2012 (9.28%)
2011304 May 2011 (13.85%), 05 Aug 2011 (-3.56%), 05 Oct 2011 (14.05%)
2010628 Jan 2010 (12.39%), 18 Jun 2010 (18.06%), 08 Oct 2010 (-3.32%), 12 Oct 2010 (-3.62%), 27 Oct 2010 (-3.42%), 12 Nov 2010 (-3.54%)
2009607 Jul 2009 (-5.72%), 13 Jul 2009 (17.01%), 06 Aug 2009 (-5.66%), 10 Aug 2009 (-6.1%), 11 Aug 2009 (-6.63%), 20 Aug 2009 (19.5%)



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