Study: Buy BAJFINANCE when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy BAJFINANCE when below 200 SMA" 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
1-8131.2270323845.715850.6920796.27-5140.87-26964.771.140.96-0.0031-116.16
262445.7470393155.717801.9521076.92-7800.97-46614.4211.260.017892.08
326141.2970383254.297523.0638350.52-8116.71-38798.550.931.10.0068373.45
4-42627.6770343648.579581.2932948.72-10233.1-47651.310.940.88-0.0091-608.97
5-11976.4370323845.7112118.1250066.23-10519.9-66576.331.150.97-0.002-171.09
618325.777035355013238.3848741.72-12714.79-61657.561.041.040.0028261.8
773148.7770373352.8613861.6847706.42-13325.26-70673.951.041.170.0111044.98
811964170383254.2914709.3853951.43-13728.62-47696.481.071.270.0171709.15
951629.3270363451.4313940.7654481.24-13242.3-52845.531.051.110.0078737.56
1043541.8570383254.2913686.255364.24-14891.68-60109.290.921.090.0063622.03
Although, strategy looks good but profit factor on day 4 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
atrtrail-15.1956502.93137439431.3920007.5890699.8-8551.31-27197.422.341.070.0045412.43
atrnil26.24-13154.76116377931.923858.1258397.12-11340.57-27760.172.10.99-0.0013-113.4
atrtrail23.88-23802.24137459232.8517228.9858397.12-8685.94-27197.421.980.97-0.0024-173.74
atrnil39.76-93174.43114288624.5632672.0586391.47-11720.84-29198.562.790.91-0.0081-817.32
atrtrail34.58-146021137439431.3915297.7355607.7-8551.31-27197.421.790.82-0.015-1065.84

In the table above, row 1 shows the best exit criterion. Profit factor is 1.07. 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 31.39%, which is not acceptable. Avoid this strategy. Average return per trade is 0.21%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0045, 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:1.07

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018302 Feb 2018 (-3.25%), 05 Feb 2018 (-3.43%), 05 Oct 2018 (4.95%)
2016215 Nov 2016 (3.25%), 22 Dec 2016 (35.86%)
2013925 Mar 2013 (-3.11%), 26 Mar 2013 (2.62%), 24 Jul 2013 (-4.48%), 26 Jul 2013 (-4.72%), 30 Jul 2013 (-5.2%), 31 Jul 2013 (-5.42%), 02 Aug 2013 (-5.65%), 06 Aug 2013 (15.23%), 28 Aug 2013 (23.82%)
2012202 Jan 2012 (-1.9%), 06 Jan 2012 (27.54%)
20111127 Jan 2011 (-4.33%), 28 Jan 2011 (-4.57%), 01 Feb 2011 (0.85%), 03 May 2011 (-3.09%), 05 May 2011 (-0.45%), 23 May 2011 (-0.13%), 16 Jun 2011 (-4.18%), 20 Jun 2011 (23.69%), 19 Aug 2011 (-1.95%), 26 Aug 2011 (0.19%), 29 Dec 2011 (-2.92%)
2009612 Jan 2009 (-7.95%), 02 Feb 2009 (-2.62%), 25 Feb 2009 (-2.99%), 03 Mar 2009 (-6.45%), 06 Mar 2009 (-7.09%), 09 Mar 2009 (45.35%)
20081721 Jan 2008 (-12.71%), 22 Jan 2008 (14.81%), 22 May 2008 (-2.41%), 02 Jun 2008 (-6.81%), 04 Jun 2008 (-7.82%), 09 Jun 2008 (-10.25%), 11 Jun 2008 (-11.34%), 13 Jun 2008 (1.38%), 30 Jun 2008 (-6.28%), 16 Jul 2008 (-9.78%), 21 Jul 2008 (-6.08%), 31 Jul 2008 (19.36%), 29 Sep 2008 (-4.94%), 06 Oct 2008 (-9.53%), 08 Oct 2008 (-13.6%), 10 Oct 2008 (4.48%), 17 Dec 2008 (-1.32%)
2007730 May 2007 (-3.24%), 18 Jun 2007 (-5.34%), 26 Jun 2007 (0.73%), 23 Aug 2007 (-2.23%), 03 Oct 2007 (1.33%), 18 Oct 2007 (-2.15%), 13 Nov 2007 (3.53%)
2006706 Jun 2006 (-9.39%), 07 Jun 2006 (-11.76%), 08 Jun 2006 (-1.56%), 27 Oct 2006 (20.4%), 13 Nov 2006 (-5.21%), 15 Nov 2006 (-4.04%), 01 Dec 2006 (2.34%)
2004216 Mar 2004 (-5.27%), 23 Mar 2004 (15.84%)
2001612 Apr 2001 (3.18%), 27 Jun 2001 (-0.26%), 03 Jul 2001 (-2.7%), 11 Jul 2001 (-2.89%), 26 Jul 2001 (10.76%), 17 Sep 2001 (6.06%)
20001006 Mar 2000 (-4.44%), 06 Apr 2000 (1.53%), 02 May 2000 (-6.23%), 05 May 2000 (2.78%), 19 Sep 2000 (-1.82%), 26 Sep 2000 (-2.2%), 04 Oct 2000 (-3.02%), 12 Oct 2000 (-0.98%), 18 Oct 2000 (-2.19%), 24 Oct 2000 (4.23%)
1999422 Mar 1999 (-0.39%), 30 Mar 1999 (0.06%), 22 Nov 1999 (1.41%), 26 Nov 1999 (13.45%)
1998815 Jan 1998 (-0.7%), 27 Jan 1998 (8.09%), 10 Jun 1998 (-5.41%), 11 Jun 1998 (-5.76%), 15 Jun 1998 (-5.99%), 03 Jul 1998 (13.42%), 17 Aug 1998 (-5.39%), 18 Aug 1998 (3.95%)
19971903 Feb 1997 (0.2%), 25 Feb 1997 (17.85%), 28 Apr 1997 (-4.49%), 29 Apr 1997 (1.66%), 23 May 1997 (-4.04%), 27 May 1997 (-4.99%), 10 Jun 1997 (4.85%), 19 Aug 1997 (-0.24%), 16 Sep 1997 (-0.24%), 23 Sep 1997 (-2.85%), 13 Oct 1997 (-1.94%), 21 Oct 1997 (-3.01%), 22 Oct 1997 (-3.5%), 23 Oct 1997 (-3.87%), 24 Oct 1997 (-4.38%), 28 Oct 1997 (3.35%), 19 Nov 1997 (-0.93%), 24 Nov 1997 (3.06%), 05 Dec 1997 (-3.64%)
19962416 Jan 1996 (-3.83%), 18 Jan 1996 (-3.93%), 22 Jan 1996 (1.04%), 24 Jan 1996 (-4.91%), 25 Jan 1996 (40.98%), 19 Mar 1996 (-2.9%), 26 Mar 1996 (3.13%), 09 Apr 1996 (17.58%), 20 May 1996 (-2.64%), 02 Jul 1996 (-4.16%), 03 Jul 1996 (-1.88%), 29 Jul 1996 (-4.19%), 30 Jul 1996 (-2.85%), 06 Aug 1996 (-2.11%), 08 Aug 1996 (-4.82%), 12 Aug 1996 (-5.06%), 13 Aug 1996 (-5.47%), 24 Sep 1996 (-2.78%), 26 Sep 1996 (-4.59%), 04 Oct 1996 (-4.78%), 07 Oct 1996 (-4.85%), 21 Nov 1996 (-4.28%), 25 Nov 1996 (-2.87%), 03 Dec 1996 (-1.54%)



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