Study: Buy BAJFINANCE when RSI is below 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy BAJFINANCE when RSI is below 50 and there is Bullish Crossover in MACD" 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
1-46109.3163273642.864247.9413011.15-4466.77-13857.290.950.71-0.027-731.89
2-56368.0163214233.338615.1826215.64-5649.68-21091.641.520.76-0.021-894.73
3-31240.0863224134.9211051.9462639.41-6692.26-29758.631.650.89-0.0079-495.87
4-73619.263253839.6810920.8270446.1-9122.1-39841.121.20.79-0.016-1168.56
5-73341.4363263741.2712060.3179182.16-10457.01-46504.961.150.81-0.014-1164.15
6-85930.4763263741.2710594.6852788.1-9767.35-68379.271.080.76-0.018-1363.98
7-17280.0863303347.6210769.0564312.27-10313.68-50738.71.040.95-0.0036-274.29
8-28420.963293446.0312282.3847026.02-11312.06-64785.011.090.93-0.0056-451.13
9-49909.1963293446.0313109.9259665.43-12649.91-67673.651.040.88-0.0088-792.21
10-98823.4963273642.8614055.8668401.49-13286.99-72216.11.060.79-0.016-1568.63
Although, strategy looks good but profit factor on day 1 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
atrnil37.31-24743374146018.9226421.1243805.35-10288.8-21639.192.570.6-0.045-3343.68
atrtrail-15.23-20888474175722.9717151.4154195.79-8779.96-21639.191.950.58-0.04-2822.75
atrnil25.89-26715274185624.3217536.0929203.57-10407.18-21639.191.680.54-0.059-3610.17
atrtrail34.73-23169374175722.9715809.6743805.35-8779.96-21639.191.80.54-0.05-3130.99
atrtrail24.42-25523374175722.9714424.9729203.57-8779.96-21639.191.640.49-0.064-3449.1

In the table above, row 1 shows the best exit criterion. Profit factor is 0.6. 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:0.599

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019107 Aug 2019 (-3.71%)
2018315 Feb 2018 (-3.66%), 27 Feb 2018 (-3.19%), 12 Oct 2018 (-6.67%)
2017115 Dec 2017 (-2.49%)
2016228 Nov 2016 (-5.92%), 28 Dec 2016 (13.97%)
2015111 Sep 2015 (-3.4%)
2013415 Feb 2013 (-2.5%), 18 Apr 2013 (-3.36%), 14 Aug 2013 (-5.62%), 05 Sep 2013 (19.54%)
2011408 Feb 2011 (-5.44%), 31 May 2011 (-4.37%), 28 Jun 2011 (12.58%), 12 Sep 2011 (-4.47%)
2010218 Feb 2010 (-5.68%), 20 Dec 2010 (-4.91%)
2009422 Jan 2009 (-7.97%), 29 Jan 2009 (-8.29%), 02 Mar 2009 (-6.46%), 17 Mar 2009 (21.9%)
2008403 Apr 2008 (-9.2%), 20 May 2008 (-4.98%), 25 Jun 2008 (-10.82%), 29 Dec 2008 (-9.21%)
2007528 Jun 2007 (-4.88%), 14 Sep 2007 (-3.52%), 10 Oct 2007 (-4.35%), 09 Nov 2007 (-4.44%), 21 Nov 2007 (-5.0%)
2006331 May 2006 (-8.01%), 27 Jul 2006 (-6.26%), 13 Dec 2006 (11.14%)
2004316 Feb 2004 (-6.46%), 27 Feb 2004 (-6.66%), 26 Mar 2004 (13.53%)
2003107 Apr 2003 (8.97%)
2002207 Aug 2002 (-6.55%), 13 Nov 2002 (-3.96%)
2001529 Mar 2001 (-3.43%), 09 Apr 2001 (-3.31%), 17 Apr 2001 (11.04%), 05 Oct 2001 (-3.76%), 09 Oct 2001 (12.08%)
2000621 Mar 2000 (-8.56%), 17 Apr 2000 (-6.05%), 18 Apr 2000 (-6.24%), 26 Apr 2000 (-6.26%), 10 May 2000 (-6.0%), 27 Oct 2000 (8.43%)
1999226 Feb 1999 (-6.27%), 08 Apr 1999 (-5.02%)
1998406 Feb 1998 (10.13%), 25 Jun 1998 (-5.09%), 31 Aug 1998 (-4.63%), 03 Sep 1998 (-4.71%)
1997611 Apr 1997 (-4.89%), 14 May 1997 (-4.21%), 13 Jun 1997 (12.88%), 04 Sep 1997 (-3.46%), 11 Sep 1997 (-3.47%), 01 Oct 1997 (-3.33%)
1996701 Apr 1996 (-4.55%), 10 Jun 1996 (-3.55%), 15 Jul 1996 (-3.82%), 26 Aug 1996 (15.02%), 11 Oct 1996 (-4.87%), 14 Oct 1996 (-5.39%), 12 Dec 1996 (13.74%)
1995409 May 1995 (-3.45%), 19 May 1995 (-3.36%), 14 Sep 1995 (-3.51%), 27 Nov 1995 (-5.04%)



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