Study: Buy BAJFINANCE when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy BAJFINANCE when above 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
151349.6645261957.784663.4616187.99-3678.97-14324.321.271.730.0431141.1
219340.2945232251.115843.8424543.08-5230.36-18108.111.121.170.012429.78
357529.4445261957.786232.7724281.98-5501.19-14065.471.131.550.0331278.43
459617.1345242153.337184.817787.07-5372.28-16216.221.341.530.0351324.83
510929545261957.788418.5935479.5-5767.83-17786.931.4620.0512428.77
611057545252055.5610544.8233670.38-7652.27-23907.071.381.720.0432457.22
710614345252055.5612347.5245321.23-10127.23-31720.351.221.520.0322358.74
811109045232251.1115203.6165502.79-10845.12-40162.771.41.470.0282468.68
915252445242153.3314887.8556215.08-9751.64-29501.641.531.740.0423389.42
1011581145252055.5612709.5236120.91-10096.33-33621.311.261.570.0352573.58
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
atrtrail-16.3220504568284041.1817330.74106077-7005.38-17219.552.471.730.0333015.37
atrtrail23.8714546868303844.1213824.7833050.24-7086.2-17219.551.951.540.0362139.23
atrnil25.4916318563273642.8617837.3634192.36-8845.09-17219.552.021.510.0372590.24
atrtrail35.1264741.5468284041.1812319.8946894.39-7005.38-17219.551.761.230.016952.08
atrnil39.3844418.7660174328.3325340.7151288.53-8985.42-17219.552.821.110.0091740.31

In the table above, row 1 shows the best exit criterion. Profit factor is 1.73. 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 41.18%, which is not acceptable. Avoid this strategy. Average return per trade is 1.51%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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:1.73

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019728 Jan 2019 (-3.02%), 08 May 2019 (-0.75%), 14 May 2019 (19.58%), 08 Jul 2019 (2.75%), 19 Jul 2019 (-3.2%), 22 Jul 2019 (-2.41%), 25 Jul 2019 (2.78%)
2018716 Jan 2018 (-1.65%), 18 Jan 2018 (2.02%), 09 May 2018 (13.07%), 10 Sep 2018 (-3.02%), 12 Sep 2018 (-0.23%), 19 Sep 2018 (-3.4%), 21 Sep 2018 (-4.62%)
2017423 May 2017 (12.05%), 25 Oct 2017 (3.63%), 01 Dec 2017 (-2.4%), 04 Dec 2017 (-0.69%)
2016518 Jan 2016 (4.53%), 29 Sep 2016 (0.82%), 02 Nov 2016 (-2.32%), 04 Nov 2016 (-3.71%), 09 Nov 2016 (-4.81%)
2015416 Mar 2015 (-2.59%), 24 Mar 2015 (11.79%), 24 Aug 2015 (1.0%), 22 Sep 2015 (4.36%)
2014327 Jan 2014 (0.02%), 11 Feb 2014 (3.35%), 15 May 2014 (13.77%)
2013723 Jan 2013 (-3.15%), 05 Feb 2013 (-2.79%), 08 Feb 2013 (0.6%), 22 Mar 2013 (-2.94%), 21 Jun 2013 (-3.25%), 24 Jun 2013 (3.1%), 19 Jul 2013 (-2.81%)
2011110 Jan 2011 (-4.01%)
2010502 Feb 2010 (-5.2%), 06 Feb 2010 (0.26%), 25 Nov 2010 (-3.82%), 29 Nov 2010 (-0.67%), 07 Dec 2010 (-5.13%)
2007122 May 2007 (-3.26%)
2006421 Mar 2006 (6.4%), 26 Apr 2006 (0.93%), 16 May 2006 (-1.66%), 19 May 2006 (-5.9%)
2005308 Sep 2005 (27.02%), 20 Oct 2005 (-4.26%), 31 Oct 2005 (53.04%)
2004707 Jan 2004 (-1.95%), 19 Jan 2004 (-5.48%), 22 Jan 2004 (-1.23%), 30 Jan 2004 (-6.18%), 03 Feb 2004 (-3.52%), 15 Mar 2004 (-5.46%), 01 Nov 2004 (13.63%)
2003314 Jul 2003 (-6.9%), 24 Jul 2003 (11.2%), 18 Sep 2003 (7.5%)
2002129 Jul 2002 (-2.58%)
2001221 Dec 2001 (1.92%), 27 Dec 2001 (17.49%)
2000318 Jan 2000 (4.03%), 25 Jan 2000 (-5.08%), 03 Mar 2000 (-8.61%)
1999119 Mar 1999 (-5.44%)



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