Study: Sell BAJAJFINSV when RSI is above 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell BAJAJFINSV when RSI is above 50 and there is Bearish Crossover in MACD" 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
1-30714.7553242945.282732.68680.28-3320.59-12585.970.820.68-0.042-579.52
2-72331.0953223141.513851.9314765.49-5066.89-17331.560.760.54-0.072-1364.74
3-11815053242945.284395.4619866.08-7711.76-20057.880.570.47-0.087-2229.25
4-15033852213140.384756.3815239.75-8071.67-23980.50.590.4-0.11-2891.11
5-13004152193336.547528.4223481.57-8275.2-29742.910.910.52-0.073-2500.8
6-11355352232944.237810.8624145.56-10110.43-24599.290.770.61-0.058-2183.7
7-76475.8752213140.3810116.3431584.95-9319.97-28873.551.090.74-0.036-1470.69
8-98784.5252193336.5411693.4846750.29-9726.08-26424.191.20.69-0.042-1899.7
9-84218.1752232944.239435.8447149.37-10387.67-30629.430.910.72-0.035-1619.58
10-71792.9752242846.1510511.458133.79-11573.81-42198.580.910.78-0.026-1380.63
Although, strategy looks good but profit factor on day 4 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-14.87-59327.686012482018890.38148048-5958.59-13839.843.170.79-0.015-988.79
atrnil36.63-14646760105016.6721841.3338967.5-7297.6-15854.772.990.6-0.063-2441.11
atrnil25.2-13567760134721.6715487.5825978.33-7170.54-15854.772.160.6-0.068-2261.28
atrtrail33.98-1444236012482011799.1133773.68-5958.59-13839.841.980.5-0.082-2407.05
atrtrail23.85-1607856012482010435.5822515.78-5958.59-13839.841.750.44-0.1-2679.75

In the table above, row 1 shows the best exit criterion. Profit factor is 0.79. 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 20%, which is not acceptable. Avoid this strategy. Average return per trade is -0.49%, 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:0.793

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019504 Jan 2019 (-1.64%), 28 Mar 2019 (-1.97%), 22 Apr 2019 (-1.75%), 06 Jun 2019 (-2.22%), 03 Jul 2019 (-1.59%)
2018518 Apr 2018 (-0.84%), 05 Jun 2018 (-3.08%), 14 Jun 2018 (-0.45%), 07 Aug 2018 (-1.57%), 11 Dec 2018 (-3.24%)
2017520 Feb 2017 (-2.3%), 03 Mar 2017 (-3.12%), 20 Apr 2017 (-1.73%), 03 May 2017 (1.22%), 14 Sep 2017 (8.42%)
2016406 May 2016 (-2.06%), 03 Aug 2016 (-2.61%), 14 Sep 2016 (-3.4%), 24 Oct 2016 (-3.38%)
2015711 Feb 2015 (-3.94%), 18 Feb 2015 (1.83%), 10 Mar 2015 (-4.03%), 12 Jun 2015 (-3.01%), 21 Jul 2015 (-2.73%), 17 Aug 2015 (7.99%), 11 Nov 2015 (-1.06%)
20141110 Jan 2014 (4.02%), 17 Apr 2014 (-2.77%), 07 May 2014 (-2.55%), 15 May 2014 (-3.03%), 30 May 2014 (-3.83%), 02 Jun 2014 (-3.82%), 13 Jun 2014 (-3.93%), 07 Aug 2014 (-0.72%), 15 Sep 2014 (1.19%), 10 Oct 2014 (-3.23%), 18 Dec 2014 (-4.37%)
2013225 Oct 2013 (-1.04%), 09 Dec 2013 (4.37%)
2012931 Jan 2012 (-4.37%), 07 Mar 2012 (-4.91%), 17 Apr 2012 (-4.41%), 24 Apr 2012 (-3.85%), 04 May 2012 (-4.45%), 24 Aug 2012 (2.05%), 12 Oct 2012 (-1.7%), 29 Oct 2012 (-0.01%), 20 Dec 2012 (-0.36%)
2011218 Mar 2011 (-4.34%), 28 Jul 2011 (3.9%)
2010413 Jan 2010 (-3.57%), 24 May 2010 (-6.92%), 31 Aug 2010 (-3.09%), 30 Sep 2010 (3.36%)
2009522 Jan 2009 (0.98%), 06 May 2009 (-5.9%), 15 May 2009 (-5.9%), 12 Jun 2009 (-4.78%), 10 Dec 2009 (-3.42%)
2008104 Sep 2008 (74.02%)



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