Study: Sell BAJFINANCE when there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell BAJFINANCE when there is Dead Cross (50 DMA < 200 DMA)" 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
1-15501.351688502165.876641.39-4103.54-11837.680.530.53-0.045-968.83
2-22769.51661037.53942.577692.31-4642.49-12871.540.850.51-0.055-1423.09
3-134651661037.55953.5113461.54-4918.61-12750.931.210.73-0.026-841.56
411676.831688507064.1722419.69-5604.57-19298.71.261.260.017729.8
53321.23167943.757407.9721053.59-5392.73-15852.51.371.070.005207.58
6-27878.431651131.2511666.3825017.09-7837.3-22307.691.490.68-0.031-1742.4
7-16862.751661037.512481.3234313.06-9175.07-22469.21.360.82-0.016-1053.92
8-17416.31661037.513197.2433766.23-9659.97-28620.661.370.82-0.015-1088.52
9-49345.67167943.7510886.6227751.2-13950.23-32163.570.780.61-0.041-3084.1
10-48183.3716885010557.2520771.78-16580.17-28948.050.640.64-0.04-3011.46
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
atrtrail35.39-23663.91861233.339142.6322990.69-6543.31-10943.71.40.7-0.03-1314.66
atrtrail25.39-31327.471861233.337865.3715327.13-6543.31-10943.71.20.6-0.046-1740.41
atrtrail-15.44-31897.351861233.337770.3914757.24-6543.31-10943.71.190.59-0.047-1772.08
atrnil311.72-58304.351831516.6728305.8639936.19-9548.13-19544.422.960.59-0.044-3239.13
atrnil211.22-86610.211831516.6718870.5726624.12-9548.13-19544.421.980.4-0.087-4811.68

In the table above, row 1 shows the best exit criterion. Profit factor is 0.7. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BAJFINANCE Performance, Profit Factor:0.699

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018116 Mar 2018 (0.52%)
2017109 Jan 2017 (-3.8%)
2013208 May 2013 (-3.48%), 21 Aug 2013 (4.27%)
2012102 Jan 2012 (-3.47%)
2011325 Feb 2011 (-5.47%), 28 Feb 2011 (-5.33%), 31 Oct 2011 (-3.37%)
2008117 Apr 2008 (-3.46%)
2007218 Jul 2007 (-3.77%), 19 Jul 2007 (2.21%)
2006103 Jul 2006 (6.89%)
2002108 Oct 2002 (-1.98%)
2001121 Sep 2001 (-3.78%)
2000102 May 2000 (-0.85%)
1999130 Jul 1999 (-0.5%)
1998129 Jun 1998 (2.04%)
1996116 Jan 1996 (11.5%)



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