Study: Sell BAJFINANCE when below 200 SMA and near 50 SMA and below 50 SMA

home > technical-strategy > bajfinance > 17

In this study, we evaluate the performance of strategy "Sell BAJFINANCE when below 200 SMA and near 50 SMA and below 50 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
1-1436.08482424503506.8112612.61-3566.65-14123.010.980.98-0.0012-29.92
2-62446.0848222645.835315.0115678.78-6899.09-46596.860.770.65-0.028-1300.96
3-50342.9648232547.926085.6320140.22-7612.5-53926.70.80.74-0.019-1048.81
4-46242.53482424506575.3130720.2-8502.08-62129.140.770.77-0.016-963.39
51607.848232547.928314.1229190.57-7584.68-37347.291.11.010.0006333.5
61088.99482424508682.2231438.13-8636.85-48167.541.011.010.0003622.69
7-21492.29482424508509.8422817.08-9405.35-31937.170.90.9-0.0079-447.76
8-48802.6548262254.178297.8327915.87-12024.83-43804.540.690.82-0.015-1016.72
9-58329.0848232547.9211235.4234161.89-12669.75-52006.980.890.82-0.015-1215.19
10-89695.084824245011137.738240.92-14874.99-67539.270.750.75-0.021-1868.65
Although, strategy looks good but profit factor on day 2 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
atrnil311.6892912.3444133129.5527194.2545518.15-8406.87-14640.383.231.360.0252111.64
atrnil29.1135146.2747163134.0418519.5830345.43-8424.74-14640.382.21.130.011747.79
atrtrail25.17-42402.0254203437.047889.0121642.8-5887.71-14640.381.340.79-0.019-785.22
atrtrail35.6-50448.7653193435.857835.6932464.2-5862.55-14640.381.340.75-0.02-951.86
50trail31.88-50267.3576175922.376588.2611789.68-2750.3-3984.72.40.69-0.031-661.41
50nil21.81-54480.8477205725.975932.367859.79-3037.33-3991.491.950.69-0.036-707.54
atrtrail-15.91-66048.7653193435.857014.6336562.77-5862.55-14640.381.20.67-0.029-1246.2
50trail21.62-57743.0577195824.685532.347859.79-2807.89-3984.71.970.65-0.041-749.91
50nil32.35-70662.2274136117.578773.1511789.68-3028.09-3991.492.90.62-0.043-954.89
50trail-12.25-74873.2751560205799.7429752.51-2697.82-3984.72.150.54-0.041-998.31

In the table above, row 1 shows the best exit criterion. Profit factor is 1.36. 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 29.55%, which is not acceptable. Avoid this strategy. Average return per trade is 1.06%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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:1.36

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018113 Mar 2018 (-2.74%)
2017109 Jan 2017 (-3.8%)
2013129 Apr 2013 (-3.94%)
2011407 Mar 2011 (-5.25%), 01 Jul 2011 (-4.35%), 23 Aug 2011 (-4.98%), 13 Dec 2011 (9.1%)
2009119 Mar 2009 (-7.32%)
2008112 Aug 2008 (22.76%)
2007223 Jul 2007 (10.17%), 29 Aug 2007 (14.77%)
2006219 Oct 2006 (-1.87%), 27 Oct 2006 (-1.74%)
2003328 Jan 2003 (-3.44%), 05 Mar 2003 (-4.64%), 15 Apr 2003 (-2.74%)
2002414 Oct 2002 (8.87%), 25 Nov 2002 (-4.33%), 27 Nov 2002 (-4.54%), 09 Dec 2002 (-4.73%)
2001609 Jan 2001 (-3.35%), 31 Jan 2001 (-3.25%), 15 Feb 2001 (12.31%), 24 Apr 2001 (-3.73%), 07 May 2001 (-3.93%), 26 Jun 2001 (7.71%)
2000101 Dec 2000 (-2.44%)
1999228 May 1999 (-5.76%), 24 Jun 1999 (-5.15%)
1998614 Jan 1998 (-4.87%), 04 Mar 1998 (-3.85%), 13 May 1998 (-5.27%), 15 May 1998 (17.95%), 05 Aug 1998 (16.23%), 13 Oct 1998 (-4.29%)
1997403 Feb 1997 (-6.57%), 25 Mar 1997 (13.68%), 17 Jul 1997 (-3.95%), 13 Aug 1997 (11.56%)
1996527 Feb 1996 (15.84%), 22 Apr 1996 (-4.98%), 24 May 1996 (-4.21%), 28 Oct 1996 (15.82%), 24 Dec 1996 (-4.28%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play