Study: Sell BAJFINANCE when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50 and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell BAJFINANCE when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50 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: 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
113911.091082804444.2313759.27-10821.38-21642.760.411.640.0331391.11
2-5875.571055509948.2833429.05-11123.4-25945.240.890.89-0.0079-587.56
319298.5610464019117.0857166.79-9528.3-26075.622.011.340.0191929.86
41847.510555013243.7138023.45-12874.21-24380.71.031.030.0022184.75
525332.3110555018669.6653266.33-13603.2-25162.971.371.370.0232533.23
634484.8810555020708.3556401.05-13811.37-28422.431.51.50.033448.49
730636.5610646016988.4661330.46-17823.55-32464.150.951.430.0263063.66
87326.0510646013709.2551974.16-18732.36-28624.10.731.10.0069732.61
929279.5410555017806.8645848.29-11950.95-25333.871.491.490.0312927.95
10-12204.421055509497.7116535.06-11938.59-24119.950.80.8-0.019-1220.44

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.64. 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 80%, which is excellent. Average return per trade is 0.7%, which is not very high, but percentage of profitable trades compensates for it. Sharpe Ratio is 0.033, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-12.4543806.98113827.2721278.433237.62-2503.53-3742.728.53.190.0633982.45
atrnil315.0990268.69115645.4530561.1752331.1-10422.86-14609.672.932.440.0758206.24
200trail31.8219564.78115645.457132.7211761.31-2683.14-3742.722.662.220.0661778.62
atrtrail35.2740956.23113827.2728819.8452331.1-5687.91-14609.675.071.90.0413723.29
200nil32.2715046.67114736.368704.6311761.31-2824.55-3742.723.081.760.0491367.88
nilnil-1113911.091082804444.2313759.27-10821.38-21642.760.411.640.0331391.11
atrnil29.1839333.41115645.4520374.1134887.4-10422.86-14609.671.951.630.0443575.76
200trail21.647958.61115645.454811.487840.87-2683.14-3742.721.791.490.036723.51
atrtrail2514775.21113827.2720092.8434887.4-5687.91-14609.673.531.320.021343.2
atrtrail-15.4513677.53113827.2719726.9436600.83-5687.91-14609.673.471.30.0191243.41
200nil22.093440.5114736.365803.097840.87-2824.55-3742.722.051.170.015312.77

In the table above, row 1 shows the best exit criterion. Profit factor is 3.19. Strategy is very good and impressively bearish. Percentage of profitable trades is 27.27%, which is not acceptable. Avoid this strategy. Average return per trade is 1.99%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.063, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BAJFINANCE Performance, Profit Factor:3.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018302 Feb 2018 (-0.94%), 07 Feb 2018 (-1.16%), 22 Oct 2018 (-1.35%)
2016123 Nov 2016 (-1.02%)
2011225 Jan 2011 (-1.0%), 15 Nov 2011 (-1.49%)
2007108 Jun 2007 (-1.87%)
2006105 Jun 2006 (16.62%)
2004118 May 2004 (-1.17%)
2002127 Sep 2002 (0.42%)
2001126 Jun 2001 (14.88%)



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