Study: Buy BAJFINANCE when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy BAJFINANCE when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1-29403.3234151944.123024.618774.58-3935.39-13614.260.770.61-0.037-864.8
2-12912.3334161847.065933.6914005.24-5991.74-18476.50.990.88-0.01-379.77
3-2533.4134201458.825135.3214034.66-7517.12-21086.710.680.98-0.0019-74.51
417134.7234191555.887066.0125076.45-7807.97-22358.780.91.150.01503.96
535417.2434191555.888436.9920489.3-8325.7-26045.851.011.280.0211041.68
667372.0834201458.829112.0837308.87-8204.97-23115.11.111.590.0351981.53
712731034201458.8212884.6861666.67-9313.11-27876.821.381.980.0473744.42
814754334221264.7112040.1458750-9778.37-34359.811.232.260.0544339.49
924591734241070.5915089.35102708-11622.76-34683.951.33.120.0657232.85
1025269034231167.6516409.2489583.33-11338.44-39222.041.453.030.0717432.05
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
BAJFINANCE Performance, X=9, Profit Factor:3.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019220 Feb 2019 (6.16%), 06 Sep 2019 (9.76%)
2018212 Jan 2018 (-3.38%), 19 Nov 2018 (6.26%)
2017205 Jan 2017 (3.4%), 22 Dec 2017 (1.8%)
2015331 Mar 2015 (11.6%), 15 Sep 2015 (-2.21%), 05 Oct 2015 (-4.36%)
2014119 Feb 2014 (1.13%)
2013103 Jul 2013 (0.16%)
2012308 Jun 2012 (1.24%), 22 Jun 2012 (4.25%), 24 Dec 2012 (5.45%)
2011322 Feb 2011 (-2.58%), 13 Oct 2011 (3.09%), 08 Dec 2011 (-3.25%)
2010112 Mar 2010 (-2.02%)
2008214 Feb 2008 (3.99%), 29 Feb 2008 (-14.39%)
2005220 Jan 2005 (6.34%), 09 Nov 2005 (2.94%)
2004331 Mar 2004 (9.82%), 17 Jun 2004 (1.24%), 29 Jul 2004 (3.61%)
2003231 Jul 2003 (4.47%), 07 Oct 2003 (8.71%)
2002122 Apr 2002 (51.35%)
1999509 Feb 1999 (2.87%), 03 Mar 1999 (-4.9%), 08 Jul 1999 (1.77%), 23 Jul 1999 (-3.68%), 14 Oct 1999 (29.66%)
1998101 Jun 1998 (-17.34%)

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
atrtrail36.7719683339201951.2815711.9455298.04-6179.23-11035.62.542.680.0725047.01
atrtrail25.3318135439211853.8513953.8136865.36-6204.22-11035.62.252.620.084650.1
atrnil311.5224004333161748.4824433.3145651.12-8875.89-20462.52.752.590.0847274.02
atrtrail-18.3816086939201951.2813913.6970537.45-6179.23-11035.62.252.370.0574124.83
atrnil27.1717466335191654.2916793.7736865.36-9026.16-20462.51.862.210.0724990.37
50trail-13.5859924.095012382413572.6165484.92-2709.14-3841.475.011.580.0231198.48
50nil32.4155959.2749173234.699056.0511760.91-3062.3-3841.472.961.570.041142.03
50trail32.2211138.4501337268714.1411537.07-2760.69-3841.473.161.110.0088222.77
50nil21.8410932.0751193237.255874.697840.61-3146.47-3841.471.871.110.0098214.35
50trail21.75-11687.7551163531.375578.997691.38-2884.33-3841.471.930.88-0.012-229.17

In the table above, row 1 shows the best exit criterion. Profit factor is 2.68. 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 51.28%, which is not acceptable. Avoid this strategy. Average return per trade is 2.52%, which is very good. Sharpe Ratio is 0.072, 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:2.68

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019220 Feb 2019 (8.68%), 06 Sep 2019 (-1.18%)
2018304 Jan 2018 (2.43%), 12 Jan 2018 (-2.16%), 19 Nov 2018 (4.31%)
2017205 Jan 2017 (11.4%), 22 Dec 2017 (-2.03%)
2015331 Mar 2015 (9.61%), 15 Sep 2015 (-3.19%), 05 Oct 2015 (-3.38%)
2014219 Feb 2014 (-2.69%), 21 Feb 2014 (8.25%)
2013103 Jul 2013 (1.21%)
2012308 Jun 2012 (0.54%), 21 Jun 2012 (8.38%), 24 Dec 2012 (9.12%)
2011322 Feb 2011 (-4.86%), 13 Oct 2011 (2.03%), 08 Dec 2011 (-2.47%)
2010212 Mar 2010 (-4.33%), 26 Mar 2010 (11.41%)
2008214 Feb 2008 (-2.77%), 26 Feb 2008 (-5.52%)
2005220 Jan 2005 (0.68%), 09 Nov 2005 (16.84%)
2004331 Mar 2004 (2.73%), 17 Jun 2004 (3.21%), 29 Jul 2004 (10.31%)
2003331 Jul 2003 (-2.86%), 06 Aug 2003 (27.65%), 07 Oct 2003 (4.99%)
2002122 Apr 2002 (13.34%)
1999609 Feb 1999 (-0.35%), 03 Mar 1999 (-2.71%), 08 Jul 1999 (-1.05%), 14 Jul 1999 (-3.69%), 23 Jul 1999 (-4.04%), 14 Oct 1999 (-4.86%)
1998101 Jun 1998 (-4.55%)



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