Study: Sell BEL when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell BEL when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell BEL 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. buy 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
1-33838.4448212743.753762.4612209.69-4179.64-14285.710.90.7-0.027-704.97
2-18604.348232547.924563.8617185.47-4942.93-19078.240.920.85-0.013-387.59
3-51310.1448252352.083952.029820.84-6526.55-22186.50.610.66-0.033-1068.96
4-36408.7848252352.085682.918579.96-7760.06-250000.730.8-0.018-758.52
5-66006.8848222645.837755.2930126.08-9100.89-475000.850.72-0.024-1375.14
6-13047448232547.927061.2833480.13-11715.35-725000.60.55-0.038-2718.22
7-14240048222645.838221.234771.07-12433.34-81071.430.660.56-0.039-2966.68
8-16767748252352.087342.8731585.93-15271.71-1075000.480.52-0.038-3493.28
9-16375548262254.176519.3131984.07-15148.03-1303570.430.51-0.033-3411.55
10-19889548232547.927656.1535036.5-14999.44-1232140.510.47-0.041-4143.64
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
200nil32.78-12768.0568155322.069466.6311400.63-2920.14-3998.853.240.92-0.0077-187.77
atrnil26.65-59658.3551143727.4517043.9638556.47-8061.45-17347.022.110.8-0.02-1169.77
200nil22.1-43176.4570175324.296427.467775.29-2876.29-3998.852.230.72-0.032-616.81
200trail21.87-46568.4970175324.295846.537775.29-2753.95-3626.822.120.68-0.037-665.26
200trail32.13-50784.9369155421.746416.0211195.35-2722.69-3887.642.360.65-0.037-736.01
atrtrail24.33-84667.157174029.828669.938556.47-5801.39-12232.231.490.64-0.036-1485.39
atrtrail34.95-12519157174029.826286.1228667.54-5801.39-12232.231.080.46-0.063-2196.34
atrnil38.76-1953014984116.3319173.3430199.72-8504.59-19278.242.250.44-0.078-3985.74
atrtrail-15.02-13261357174029.825849.5728667.54-5801.39-12232.231.010.43-0.07-2326.54
200trail-12.62-10103269145520.293428.0713384.91-2709.55-3887.641.270.32-0.1-1464.24

In the table above, row 1 shows the best exit criterion. Profit factor is 0.92. 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 22.06%, which is not acceptable. Avoid this strategy. Average return per trade is -0.094%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BEL Performance, Profit Factor:0.918

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019515 Mar 2019 (-1.34%), 18 Apr 2019 (4.56%), 05 Aug 2019 (-1.62%), 20 Aug 2019 (-1.19%), 22 Aug 2019 (-1.29%)
2016721 Jan 2016 (-1.72%), 13 Apr 2016 (-1.22%), 26 Apr 2016 (-1.59%), 27 May 2016 (-1.71%), 25 Aug 2016 (-1.31%), 08 Sep 2016 (-1.43%), 12 Sep 2016 (-1.63%)
2015102 Sep 2015 (-1.46%)
2014126 Mar 2014 (-1.78%)
2013601 Jan 2013 (-1.1%), 22 Jan 2013 (4.35%), 04 Mar 2013 (-1.94%), 06 Mar 2013 (3.54%), 10 Jul 2013 (-1.3%), 11 Jul 2013 (4.29%)
2012305 Mar 2012 (-1.09%), 27 Mar 2012 (-1.98%), 19 Apr 2012 (5.64%)
2011531 Jan 2011 (-1.27%), 02 Feb 2011 (-1.72%), 20 May 2011 (5.7%), 15 Jul 2011 (-1.71%), 02 Aug 2011 (4.29%)
2010820 May 2010 (4.71%), 15 Jun 2010 (-1.05%), 18 Jun 2010 (-1.15%), 22 Jun 2010 (4.57%), 08 Jul 2010 (-1.94%), 26 Jul 2010 (4.93%), 06 Oct 2010 (-1.12%), 12 Oct 2010 (5.6%)
2009211 Feb 2009 (5.63%), 26 Mar 2009 (-1.62%)
2006706 Jun 2006 (-1.27%), 26 Jul 2006 (-1.63%), 11 Sep 2006 (-1.73%), 19 Sep 2006 (-1.35%), 27 Sep 2006 (-1.35%), 04 Oct 2006 (-1.0%), 23 Oct 2006 (-1.4%)
2005131 Oct 2005 (-1.46%)
2004622 Mar 2004 (-1.59%), 23 Mar 2004 (-1.78%), 28 Apr 2004 (-1.38%), 05 May 2004 (-1.15%), 30 Aug 2004 (-1.14%), 31 Aug 2004 (-1.64%)
2003327 Jan 2003 (-1.63%), 27 Mar 2003 (4.98%), 01 Apr 2003 (-1.57%)
2002430 Oct 2002 (-1.1%), 05 Dec 2002 (-1.16%), 09 Dec 2002 (-2.0%), 17 Dec 2002 (-1.58%)
2001428 Sep 2001 (-1.53%), 04 Oct 2001 (5.22%), 10 Oct 2001 (-1.39%), 12 Oct 2001 (-1.18%)
2000205 May 2000 (-1.66%), 12 Dec 2000 (-1.6%)
1999110 Mar 1999 (-1.81%)
1998231 Mar 1998 (-1.0%), 01 Apr 1998 (3.0%)



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