Study: Buy BAJAJFINSV when RSI is below 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy BAJAJFINSV when RSI is below 50 and there is Bullish Crossover in MACD" 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
140421.9830131743.336099.1230408.77-2286.27-4982.542.672.040.0611347.4
252053.9830161453.336430.1114157.53-3630.55-8808.141.772.020.0821735.13
384868.1730171356.677887.6229564.88-3786.26-7170.582.082.720.12828.94
490115.6130161453.339450.0327505.83-4363.2-9846.782.172.480.0993003.85
563462.48301515509678.2421989.12-5447.41-14966.151.781.780.0682115.42
663050.61301812608916.124934.15-8119.94-20251.811.11.650.062101.69
792213.543018126010115.2834152.77-7488.46-18719.561.352.030.0823073.78
81053883018126011152.2145917.47-7945.99-15455.751.42.110.0823512.93
999586.5130161453.3313780.6646883.23-8636-22602.381.61.820.0693319.55
1013195130171356.6713739.5640474.1-7817.04-186791.762.30.0914398.37

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 2.72. 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 56.67%, which is not acceptable. Avoid this strategy. Average return per trade is 1.41%, 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:2.72

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019207 Aug 2019 (-0.89%), 27 Aug 2019 (-0.1%)
2018207 Feb 2018 (4.46%), 25 Oct 2018 (0.44%)
2017206 Jul 2017 (-0.68%), 10 Nov 2017 (-2.48%)
2016411 Jan 2016 (0.28%), 02 Mar 2016 (-2.81%), 30 Nov 2016 (1.39%), 28 Dec 2016 (5.32%)
2015107 Oct 2015 (1.03%)
2014107 Feb 2014 (2.1%)
2013606 Feb 2013 (-2.22%), 22 Feb 2013 (2.54%), 01 Apr 2013 (-3.02%), 09 May 2013 (0.52%), 19 Jun 2013 (-2.1%), 26 Aug 2013 (2.45%)
2012213 Jun 2012 (-2.05%), 27 Jun 2012 (4.82%)
2011419 May 2011 (-3.13%), 08 Jul 2011 (4.34%), 26 Aug 2011 (9.17%), 18 Oct 2011 (3.36%)
2010205 Nov 2010 (-3.59%), 25 Nov 2010 (2.62%)
2009312 Mar 2009 (-0.65%), 27 Aug 2009 (-0.89%), 16 Sep 2009 (14.78%)
2008129 Oct 2008 (7.42%)

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
nilnil-1384868.1730171356.677887.6229564.88-3786.26-7170.582.082.720.12828.94
atrtrail36.3114440232151746.8815350.8937132.37-5050.67-8626.493.042.680.114512.56
atrtrail-17.2212090032151746.8813784.1255156.94-5050.67-8626.492.732.410.0853778.14
atrtrail25.4496694.7732151746.8812170.4124754.91-5050.67-8626.492.412.130.0883021.71
atrnil311.2817183932141843.7523687.9137132.37-8877.31-40007.982.672.080.0915369.98
atrnil28.441032783216165015567.2224754.91-9112.34-40007.981.711.710.0693227.44

In the table above, row 1 shows the best exit criterion. Profit factor is 2.72. 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 56.67%, which is not acceptable. Avoid this strategy. Average return per trade is 1.41%, 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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