Study: Buy BAJFINANCE when near 200 SMA and above 200 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy BAJFINANCE when near 200 SMA and above 200 SMA and RSI is above 50" 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
1-17948.691971236.845352.8415974.44-4618.21-15916.961.160.68-0.028-944.67
2-37398.441971236.847615.9330351.44-7559.16-20069.21.010.59-0.038-1968.34
39048.421991047.37849646006.39-6741.56-16621.41.261.130.0077476.23
434630.231991047.378935.339297.12-4578.75-18865.31.951.760.0331822.64
553758.361912763.167634.0733865.81-5407.21-17844.31.412.420.0562829.39
672802.941991047.3713582.2638658.15-4943.74-19700.662.752.470.0613831.73
779554.961910952.6312413.5538435.37-4953.39-21247.632.512.780.0674187.1
890098.611991047.3715798.7435143.77-5209.01-13621.073.032.730.0734742.03
91212851912763.1613889.4137414.97-6484.01-13148.792.143.670.0946383.42
101437141991047.3721981.4437414.97-5411.9-14186.854.063.660.17563.89
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
BAJFINANCE Performance, X=9, Profit Factor:3.67

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018226 Feb 2018 (-0.58%), 21 Mar 2018 (12.38%)
2017111 Jan 2017 (3.75%)
2013422 Apr 2013 (4.85%), 20 Sep 2013 (-3.47%), 08 Oct 2013 (0.38%), 23 Oct 2013 (4.34%)
2011223 Sep 2011 (-3.66%), 05 Dec 2011 (-2.94%)
2009115 Apr 2009 (0.87%)
2003124 Apr 2003 (6.99%)
2001401 Feb 2001 (-1.92%), 15 May 2001 (1.79%), 31 May 2001 (1.31%), 31 Oct 2001 (18.71%)
1999213 Aug 1999 (12.78%), 07 Oct 1999 (15.18%)
1998211 May 1998 (-3.55%), 08 Jul 1998 (-6.57%)

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
200nil31.6644983.8135122334.299297.1711750.71-2894.88-3981.863.211.680.0451285.25
200trail31.6644983.8135122334.299297.1711750.71-2894.88-3981.863.211.680.0451285.25
200trail-12.7347360.23382524.2414795.532159.74-2840.15-3981.865.211.670.0311435.16
atrnil36.9548094.262271531.8225543.8549991.41-8714.18-14680.612.931.370.0262186.1
atrtrail-15.6221061.282681830.7719171.249161.16-7350.46-14680.612.611.160.011810.05
200nil21.517795.1435122334.296198.117833.8-2894.88-3981.862.141.120.01222.72
200trail21.517795.1435122334.296198.117833.8-2894.88-3981.862.141.120.01222.72
atrnil26.05-11508.072271531.8217029.2433327.61-8714.18-14680.611.950.91-0.0084-523.09
atrtrail34.42-22051.622681830.7713782.0922602.67-7350.46-14680.611.870.83-0.015-848.14
atrtrail24.23-56119.272681830.779523.6315068.45-7350.46-14680.611.30.58-0.05-2158.43

In the table above, row 1 shows the best exit criterion. Profit factor is 1.68. 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 34.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, 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:1.68

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018226 Feb 2018 (-1.55%), 21 Mar 2018 (-1.59%)
2017211 Jan 2017 (4.51%), 20 Jan 2017 (5.59%)
2013822 Apr 2013 (5.88%), 30 Apr 2013 (4.87%), 20 Sep 2013 (-1.27%), 08 Oct 2013 (-1.57%), 14 Oct 2013 (-1.96%), 21 Oct 2013 (-1.6%), 25 Oct 2013 (-1.47%), 29 Oct 2013 (5.49%)
2011323 Sep 2011 (-1.54%), 05 Dec 2011 (3.18%), 12 Dec 2011 (-1.34%)
2009215 Apr 2009 (-1.14%), 22 Apr 2009 (-1.99%)
2003224 Apr 2003 (3.43%), 28 Apr 2003 (5.32%)
2001901 Feb 2001 (-1.78%), 07 Feb 2001 (-1.04%), 09 Feb 2001 (-1.25%), 13 Feb 2001 (-1.06%), 15 May 2001 (-1.7%), 21 May 2001 (-1.25%), 24 May 2001 (-1.41%), 31 May 2001 (5.15%), 31 Oct 2001 (4.13%)
1999313 Aug 1999 (3.78%), 07 Oct 1999 (-1.63%), 08 Oct 1999 (-1.57%)
1998411 May 1998 (-1.42%), 08 Jul 1998 (-1.09%), 15 Jul 1998 (4.46%), 20 Jul 1998 (-1.07%)



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