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

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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 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 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
1168.3628121642.864489.6912067.12-3356.75-11487.481.3410.000246.01
251489.3528151353.577652.5954480.54-4869.19-12141.11.571.810.0321838.91
355554.6328161257.147799.7741342.38-5770.14-13254.791.351.80.0371984.09
452333.3328131546.4311852.2257265.26-6783.04-20324.011.751.510.0271869.05
567187.2828131546.4314259.3663120.31-7878.96-22385.861.811.570.0292399.55
665106.952814145014532.8260335.59-9882.32-33873.341.471.470.0282325.25
784114.1828161257.1414649.4861977.87-12523.13-320001.171.560.0333004.08
813891228151353.5717935.6857885.62-10009.44-28276.881.792.070.0524961.16
920293228171160.7118586.3853032.93-10276.02-25625.921.812.80.0797247.58
1025456028181064.2921286.5171117.46-12859.72-29160.531.662.980.0819091.43
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=10, Profit Factor:2.98

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019308 May 2019 (18.06%), 08 Jul 2019 (-4.88%), 06 Sep 2019 (19.29%)
2017305 Jan 2017 (2.95%), 22 May 2017 (9.74%), 22 Dec 2017 (3.05%)
2016121 Jan 2016 (16.65%)
2015317 Mar 2015 (1.85%), 15 Sep 2015 (-2.66%), 05 Oct 2015 (-3.69%)
2014129 Jan 2014 (-2.0%)
2010227 Jan 2010 (-6.48%), 12 Mar 2010 (-1.38%)
2009113 Jul 2009 (35.56%)
2008123 Jan 2008 (4.0%)
2007118 May 2007 (-6.42%)
2005305 Jan 2005 (6.97%), 20 Jan 2005 (5.72%), 17 Oct 2005 (-11.37%)
2004228 Jun 2004 (4.9%), 25 Aug 2004 (12.52%)
2003219 Sep 2003 (3.7%), 07 Oct 2003 (8.09%)
2002111 Apr 2002 (3.29%)
2001125 Jun 2001 (-10.83%)
1999222 Jan 1999 (4.21%), 15 Mar 1999 (-14.58%)
1998122 Dec 1998 (31.02%)

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
50trail-13.1973037.67369272516549.1454620.45-2811.28-3960.395.891.960.0312028.82
atrnil39.3613225928111739.2926187.0742443.56-9164.63-25543.562.861.850.0534723.54
atrnil27.157944.0229131644.8316192.9128295.71-9535.24-25543.561.71.380.031998.07
atrtrail-15.8131125.531112035.4813313.3838229.14-5766.08-13876.282.311.270.0171004.05
atrtrail35.2921294.8831112035.4812419.6942443.56-5766.08-13876.282.151.180.012686.93
atrtrail24.7710128.3531112035.4811404.5528295.71-5766.08-13876.281.981.090.0066326.72
50nil21.731761.3337142337.845398.136862.96-3209.24-3960.391.681.020.002347.6
50nil32.29-5874.283592625.718324.8110294.44-3107.6-3960.392.680.93-0.0068-167.84
50trail21.68-10119.8637132435.144850.786592.89-3049.17-3960.391.590.86-0.014-273.51
50trail32.05-11366.6137102727.036501.489889.33-2828.94-3960.392.30.85-0.014-307.21

In the table above, row 1 shows the best exit criterion. Profit factor is 1.96. 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 25%, which is not acceptable. Avoid this strategy. Average return per trade is 1.01%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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:1.96

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019508 May 2019 (-1.38%), 08 Jul 2019 (-1.78%), 10 Jul 2019 (-1.74%), 16 Jul 2019 (-1.13%), 06 Sep 2019 (-0.55%)
2018104 Jan 2018 (2.73%)
2017305 Jan 2017 (-1.8%), 22 May 2017 (-1.75%), 22 Dec 2017 (-1.46%)
2016321 Jan 2016 (0.41%), 28 Jan 2016 (0.83%), 02 Feb 2016 (-1.36%)
2015317 Mar 2015 (-1.22%), 15 Sep 2015 (-1.48%), 05 Oct 2015 (-1.28%)
2014129 Jan 2014 (-1.39%)
2010327 Jan 2010 (-1.84%), 28 Jan 2010 (-1.79%), 12 Mar 2010 (-1.86%)
2009113 Jul 2009 (25.9%)
2008123 Jan 2008 (-1.74%)
2007118 May 2007 (-1.98%)
2005405 Jan 2005 (-1.86%), 07 Jan 2005 (-0.52%), 20 Jan 2005 (-0.96%), 17 Oct 2005 (-1.15%)
2004228 Jun 2004 (-0.53%), 25 Aug 2004 (9.81%)
2003319 Sep 2003 (0.35%), 30 Sep 2003 (0.25%), 09 Oct 2003 (6.88%)
2002111 Apr 2002 (-1.67%)
2001125 Jun 2001 (-1.33%)
1999222 Jan 1999 (-1.25%), 15 Mar 1999 (-1.16%)
1998122 Dec 1998 (27.31%)



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