Study: Buy BAJFINANCE when there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy BAJFINANCE when there is Golden 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: 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
1-13073.991661037.55119.519896.95-4379.1-12154.851.170.7-0.024-817.12
253161.8216885010107.7341934.21-3462.5-6246.232.922.920.0593322.61
347130.811661037.515836.3266191.04-4788.71-16688.773.311.980.0342945.68
471546.5167943.7519289.9579508.52-7053.68-14457.832.732.130.0424471.66
545659.741661037.523573.9377051.13-9578.39-27986.352.461.480.0252853.73
644483.83167943.7520928.1382917.16-11334.79-20883.531.851.440.0242780.24
756290.18167943.7522475.1279904.88-11226.19-26238.2921.560.033518.14
820280.511661037.523468.1469599.68-12052.83-22489.961.951.170.0121267.53
942082.05167943.7518948.1462068.97-10061.66-18741.631.881.460.0262630.13
10518.53167943.7515675.2352080.86-12134.23-27576.971.2910.0003432.41
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=2, Profit Factor:2.92

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018124 Apr 2018 (-1.34%)
2017121 Feb 2017 (-2.53%)
2013210 May 2013 (-1.48%), 21 Nov 2013 (0.27%)
2012102 Feb 2012 (1.76%)
2011229 Aug 2011 (2.78%), 03 Nov 2011 (-1.07%)
2009128 May 2009 (20.97%)
2008121 Jan 2008 (9.48%)
2007102 Mar 2007 (-3.12%)
2003112 May 2003 (-1.84%)
2001227 Jun 2001 (2.39%), 12 Dec 2001 (2.16%)
1999123 Aug 1999 (-1.47%)
1998225 May 1998 (-1.01%), 08 Dec 1998 (0.63%)

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
atrtrail-15.639453.87207133518700.6964056.43-7034.69-25426.852.661.430.0221972.69
atrtrail24.3537846.59207133518471.0857979.3-7034.69-25426.852.631.410.0231892.33
atrtrail35.3519783.47207133515890.6341714.95-7034.69-25426.852.261.220.014989.17
atrnil25.516080.84206143024350.8857979.3-9287.46-25426.852.621.120.009804.04
atrnil311.8-26825.11205152526437.841714.95-10600.94-28989.652.490.83-0.016-1341.26

In the table above, row 1 shows the best exit criterion. Profit factor is 1.43. 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 35%, which is not acceptable. Avoid this strategy. Average return per trade is 0.99%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, 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:1.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018124 Apr 2018 (-2.35%)
2017121 Feb 2017 (-2.12%)
2013210 May 2013 (9.16%), 21 Nov 2013 (4.46%)
2012102 Feb 2012 (2.81%)
2011229 Aug 2011 (1.89%), 03 Nov 2011 (-2.0%)
2009128 May 2009 (32.03%)
2008221 Jan 2008 (-12.71%), 22 Jan 2008 (14.81%)
2007202 Mar 2007 (-5.09%), 05 Mar 2007 (-4.09%)
2003212 May 2003 (-3.42%), 13 May 2003 (-3.78%)
2001227 Jun 2001 (-0.26%), 12 Dec 2001 (0.3%)
1999223 Aug 1999 (-4.62%), 24 Aug 1999 (-2.43%)
1998225 May 1998 (-1.36%), 08 Dec 1998 (-1.51%)



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