Study: Buy BAJAJFINSV when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy BAJAJFINSV when near 200 SMA and above 200 SMA and ADX is Trending" 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
15129.09116554.553440.576922.5-3102.87-7962.731.111.330.033466.28
25771.23116554.554482.26649.46-4224.39-13102.131.061.270.028524.66
3-20691.38115645.454560.066878.7-7248.61-13219.870.630.52-0.082-1881.03
412645.02115645.457361.3213786.98-4026.93-11243.811.831.520.051149.55
538882.4119281.825564.9112130.18-5600.89-10209.740.994.470.183534.76
651206.29118372.738085.9716267.56-4493.83-7291.131.84.80.214655.12
783674.2119281.8210201.9127112.61-4071.51-6989.582.5111.280.287606.75
890203.73119281.8210734.9338472.19-3205.3-4111.263.3515.070.228200.34
9109854119281.8212788.7648842.27-2622.3-3316.824.8821.950.229986.75
10146831119281.8218188.1161310.11-8431.2-12942.22.169.710.2213348.24
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=9, Profit Factor:21.9

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019128 Aug 2019 (3.64%)
2018325 Jan 2018 (2.52%), 03 Oct 2018 (-1.66%), 05 Dec 2018 (4.24%)
2016213 Apr 2016 (2.97%), 17 May 2016 (-0.96%)
2014103 Feb 2014 (2.68%)
2013214 Nov 2013 (4.33%), 16 Dec 2013 (7.93%)
2011104 Oct 2011 (4.83%)
2009112 May 2009 (24.42%)

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
200trail-14.8279947.171710758.8210081.5740756.81-2981.22-3796.893.384.830.144702.77
atrtrail-15.71141188179852.9419845.46127537-4677.61-8553.44.244.770.0818305.19
atrnil39.21130794148657.1421567.7233331.92-6958.04-11098.13.14.130.199342.39
200trail32.4758160.461710758.827902.910443.82-2981.22-3796.892.653.790.183421.2
200nil32.857723.531596608737.7211260.08-3485.99-3935.112.513.760.193848.24
200nil2247509.011611568.755923.247506.72-3529.32-3935.111.683.690.22969.31
200trail21.8847012.251711664.715873.776962.55-2933.2-3796.8923.670.192765.43
atrtrail23.7677605179852.9412780.6622221.28-4677.61-8553.42.733.070.144565
atrnil24.6784238.2315966013998.522221.28-6958.04-11098.12.013.020.165615.88
atrtrail34.7169373.85179852.9411866.0933331.92-4677.61-8553.42.542.850.14080.81

In the table above, row 1 shows the best exit criterion. Profit factor is 4.83. Strategy is very good and impressively bullish. Percentage of profitable trades is 58.82%, which is not acceptable. Avoid this strategy. Average return per trade is 2.35%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BAJAJFINSV Performance, Profit Factor:4.83

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019128 Aug 2019 (2.64%)
2018525 Jan 2018 (-1.68%), 02 Feb 2018 (-1.79%), 06 Feb 2018 (4.0%), 03 Oct 2018 (-1.21%), 05 Dec 2018 (-1.9%)
2016413 Apr 2016 (1.93%), 25 Apr 2016 (-0.58%), 28 Apr 2016 (3.76%), 17 May 2016 (-1.64%)
2014103 Feb 2014 (4.45%)
2013314 Nov 2013 (0.31%), 21 Nov 2013 (4.94%), 16 Dec 2013 (4.41%)
2011104 Oct 2011 (3.58%)
2009212 May 2009 (-1.63%), 19 May 2009 (20.38%)



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