Study: Sell BAJFINANCE when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell BAJFINANCE when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell BAJFINANCE 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
1-6442.9353272650.943960.9413759.27-4361.08-21642.760.910.94-0.0042-121.56
2-7339.8453282552.836207.4733429.05-7245.96-31111.110.860.96-0.0028-138.49
384588.6253322160.388068.4257166.79-8266.71-30740.740.981.490.0261596.01
472845.453302356.68383.3238023.45-7767.58-28915.661.081.410.0251374.44
591222.4153292454.7210585.4253266.33-8989.79-41308.091.181.420.0241721.18
690480.9753282552.8311615.9556401.05-9390.62-37521.511.241.390.0231707.19
759718.8453292454.7210610.8661330.46-10333.17-40275.391.031.240.0151126.77
882678.6553292454.7211658.1551974.16-10641.99-40275.391.11.320.021559.97
975956.3353272650.9413538.6445848.29-11137.96-38898.451.221.260.0171433.14
10-49027.8553272650.9411893.9945242.36-14237.14-44406.20.840.87-0.011-925.05
Although, strategy looks good but profit factor on day 1 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
atrnil3141105525014362831840.7454292.32-9311.61-16822.573.421.330.0232211.05
atrnil29.431288.5751163531.3720601.4136194.88-9380.97-16822.572.210.0003525.27
atrtrail35.31-1705.3267224532.8413213.0252331.1-6497.59-15958.412.030.99-0.00042-25.45
200nil21.61-3970.6596326433.335794.227969.2-2959.15-3922.311.960.98-0.002-41.36
200trail21.53-9148.0697346335.055108.427969.2-2902.13-3922.311.760.95-0.0048-94.31
200nil32.02-23548.8491226924.188238.7811761.31-2968.14-3984.62.780.89-0.011-258.78
atrtrail24.93-41377.7867224532.8411409.7336194.88-6497.59-15958.411.760.86-0.012-617.58
200trail31.77-33331.394286629.795481.9411761.31-2830.69-3922.311.940.82-0.017-354.59
200trail-12.3-38273.8893237024.736819.1133237.62-2787.34-3922.312.450.8-0.013-411.55
atrtrail-15.79-86558.266214531.829879.6936600.83-6534.04-15958.411.510.71-0.027-1311.49

In the table above, row 1 shows the best exit criterion. Profit factor is 1.33. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 28%, which is not acceptable. Avoid this strategy. Average return per trade is 1.11%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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.
BAJFINANCE Performance, Profit Factor:1.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018502 Feb 2018 (-3.25%), 07 Feb 2018 (-3.88%), 19 Feb 2018 (-3.58%), 16 Mar 2018 (-2.69%), 22 Oct 2018 (-6.9%)
2017103 Jan 2017 (-3.99%)
2016123 Nov 2016 (-6.28%)
2013402 Apr 2013 (-3.44%), 29 Apr 2013 (-3.94%), 24 Jul 2013 (13.43%), 09 Oct 2013 (-4.33%)
2012111 Jan 2012 (-3.35%)
2011625 Jan 2011 (13.11%), 18 Feb 2011 (-5.16%), 15 Mar 2011 (-4.73%), 23 Aug 2011 (-4.98%), 15 Nov 2011 (-3.65%), 13 Dec 2011 (9.1%)
2009121 Apr 2009 (-8.41%)
2008107 Mar 2008 (27.15%)
2007508 Jun 2007 (19.31%), 12 Dec 2007 (-4.72%), 13 Dec 2007 (-4.75%), 18 Dec 2007 (-5.47%), 27 Dec 2007 (-5.49%)
2006105 Jun 2006 (26.17%)
2004216 Mar 2004 (-5.27%), 18 May 2004 (-7.3%)
2002211 Sep 2002 (11.03%), 27 Sep 2002 (10.11%)
2001725 Jan 2001 (-3.23%), 08 Feb 2001 (-4.18%), 30 Apr 2001 (-3.68%), 29 May 2001 (-3.51%), 04 Jun 2001 (-3.3%), 14 Jun 2001 (9.39%), 09 Nov 2001 (-3.82%)
2000128 Mar 2000 (21.54%)
1999701 Apr 1999 (-5.53%), 28 May 1999 (-5.76%), 24 Jun 1999 (-5.15%), 26 Jul 1999 (-4.32%), 17 Sep 1999 (-4.74%), 21 Sep 1999 (-5.03%), 22 Nov 1999 (-5.13%)
1998323 Apr 1998 (18.62%), 17 Jul 1998 (15.5%), 02 Nov 1998 (-4.65%)
1997116 Jan 1997 (16.32%)
1996112 Jan 1996 (12.12%)



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