Study: Sell BAJFINANCE when RSI is below 50 and there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell BAJFINANCE when RSI is below 50 and there is Bearish Crossover in MACD 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
1-37773.0342172540.484024.397780.05-4247.51-15959.250.950.64-0.033-899.36
2-32685.3542192345.245924.218644.07-6315.01-21076.920.940.77-0.019-778.22
3-11822.0342222052.386643.3617364.78-7898.79-21538.460.840.93-0.0061-281.48
416.1242222052.388439.0336653.76-9282.12-32948.720.9116.8e-060.38
51129.0642261661.99064.759931.95-14659.57-48205.130.6210.0003326.88
6-36023.5142231954.769553.6941159.22-13460.96-43538.460.710.86-0.012-857.7
73041.2942222052.3812079.3856107-13135.26-32683.250.921.010.000972.41
827304.6942222052.3813040.6659181.04-12979.49-33121.6711.110.0077650.11
994340.9942261661.912937.2464015.02-15126.7-36789.430.861.390.0252246.21
1011665842222052.3815766.2954839.85-11509.99-37351.441.371.510.0322777.58
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
atrnil27.4361251.3744162836.3619720.3233586.68-9081.2-15469.422.171.240.0191392.08
atrnil312.0537321.6343113225.5830111.8650380.02-9184.65-15469.423.281.130.0098867.94
atrtrail24.79759.7744143031.8216598.533586.68-7420.64-14738.622.241.040.0036221.81
atrtrail35.41-31875.8144133129.5514682.850380.02-7185.55-14738.622.040.86-0.012-724.45
atrtrail-15.48-63840.2444123227.2713498.4939764.14-7056.94-14738.621.910.72-0.027-1450.91

In the table above, row 1 shows the best exit criterion. Profit factor is 1.24. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 36.36%, which is not acceptable. Avoid this strategy. Average return per trade is 0.7%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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:1.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019208 Jul 2019 (-2.38%), 22 Aug 2019 (-3.81%)
2018103 Jan 2018 (-2.26%)
2017101 Dec 2017 (4.79%)
2016125 May 2016 (-3.11%)
2015323 Apr 2015 (7.81%), 09 Jul 2015 (-3.88%), 22 Sep 2015 (-3.65%)
2014114 May 2014 (-2.9%)
2013228 Aug 2013 (-7.73%), 01 Oct 2013 (-5.33%)
2011210 Jan 2011 (8.71%), 11 Nov 2011 (6.57%)
2009110 Sep 2009 (-6.51%)
2008122 May 2008 (-6.12%)
2007431 Jan 2007 (-4.17%), 28 Feb 2007 (9.99%), 21 May 2007 (14.45%), 13 Nov 2007 (-5.1%)
2006401 Jun 2006 (16.79%), 11 Oct 2006 (-1.89%), 27 Oct 2006 (-1.74%), 13 Nov 2006 (10.42%)
2005217 Oct 2005 (-7.37%), 18 Oct 2005 (14.34%)
2004124 Jun 2004 (-4.15%)
2003304 Mar 2003 (-4.78%), 10 Jul 2003 (-5.39%), 11 Jul 2003 (-5.94%)
2002123 Oct 2002 (6.09%)
2000204 Jul 2000 (-5.22%), 11 Sep 2000 (6.27%)
1999313 Jan 1999 (-6.31%), 16 Mar 1999 (10.86%), 27 May 1999 (-5.75%)
1998208 Jan 1998 (8.98%), 23 Apr 1998 (12.41%)
1997321 Jan 1997 (-7.11%), 16 Sep 1997 (-3.58%), 13 Oct 1997 (-3.41%)
1996329 Feb 1996 (11.5%), 26 Jun 1996 (7.77%), 17 Jul 1996 (-3.86%)
1995116 May 1995 (-3.7%)



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