Study: Sell BEL when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell BEL when below 200 SMA and near 50 SMA and below 50 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
120846.7647242351.063547.6613059.7-2795.53-11806.81.271.320.023443.55
2-1880.7747232448.943942.9211217.99-3857-10714.291.020.98-0.0018-40.02
37061.5347232448.945323.5815588.24-4807.53-15444.171.111.060.005150.25
414148.3347202742.556603.5123701.85-4367.48-13384.951.511.120.0089301.03
53550.547222546.816268.1920970.23-5373.99-22948.551.171.030.001975.54
6-26245.1747252253.195793.3423368.73-7776.3-34908.450.740.85-0.013-558.41
7-52123.4447212644.686287.5928357.28-7083.18-28352.040.890.72-0.025-1109.01
8-10170.0247262155.326483.1930905.68-8511.1-28942.710.760.94-0.0046-216.38
99767.4547272057.457382.8240907.77-9478.44-29415.240.781.050.0039207.82
1021666.8847262155.328411.833470.75-9382.86-27052.570.91.110.0087461

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.32. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 51.06%, which is not acceptable. Avoid this strategy. Average return per trade is 0.22%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, which is low, don't trade solely on the basis of this study.

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
nilnil-1120846.7647242351.063547.6613059.7-2795.53-11806.81.271.320.023443.55
atrtrail24.8217769.4262253740.327995.922874.8-4922.38-11886.371.621.10.0079286.6
atrtrail35.32484.0961243739.347591.6429851.6-4857.17-11886.371.561.010.001140.72
atrtrail-15.77-5891.6961243739.347242.6530236.93-4857.17-11886.371.490.97-0.0027-96.59
atrnil27.43-14686.6354173731.4814309.0530021.06-6971.37-12489.182.050.94-0.0055-271.97
50trail21.88-15567.181255630.865445.567471.37-2709.04-3950.592.010.9-0.01-192.19
50nil22.05-21199.1681255630.865962.517471.37-3040.39-3950.591.960.88-0.013-261.72
atrnil310.85-38780.1147103721.2821702.5645031.6-6913.67-12489.183.140.85-0.014-825.11
50nil33.12-29311.976175922.378752.8111207.05-3018.81-3950.592.90.84-0.017-385.68
50trail-13.14-39058.0279196024.056166.8122323.05-2603.79-3950.592.370.75-0.021-494.41
50trail32.39-42403.09802060255695.7711207.05-2605.31-3950.592.190.73-0.028-530.04

In the table above, row 1 shows the best exit criterion. Profit factor is 1.32. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 51.06%, which is not acceptable. Avoid this strategy. Average return per trade is 0.22%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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.
BEL Performance, X=1, Profit Factor:1.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019216 Jan 2019 (1.91%), 24 Apr 2019 (1.53%)
2018124 Dec 2018 (-0.85%)
2016218 May 2016 (2.79%), 01 Jun 2016 (-0.69%)
2014105 Mar 2014 (-1.4%)
2013425 Jan 2013 (-5.9%), 10 Apr 2013 (2.89%), 30 Apr 2013 (-1.51%), 04 Sep 2013 (1.06%)
20121011 Jan 2012 (0.44%), 28 Mar 2012 (1.45%), 18 Apr 2012 (-0.47%), 28 Jun 2012 (-2.06%), 24 Jul 2012 (1.7%), 07 Aug 2012 (-0.3%), 03 Oct 2012 (-0.28%), 31 Oct 2012 (-0.06%), 22 Nov 2012 (1.84%), 26 Dec 2012 (-1.4%)
2011724 Jan 2011 (0.22%), 01 Mar 2011 (1.19%), 23 Mar 2011 (-1.7%), 08 Jul 2011 (-0.17%), 03 Aug 2011 (-0.79%), 26 Oct 2011 (-1.63%), 07 Dec 2011 (0.13%)
2010715 Jun 2010 (-2.72%), 05 Jul 2010 (-2.29%), 11 Aug 2010 (1.35%), 06 Sep 2010 (1.09%), 15 Oct 2010 (-1.42%), 02 Dec 2010 (-0.2%), 16 Dec 2010 (0.21%)
2009118 Mar 2009 (0.46%)
2008213 May 2008 (-1.97%), 18 Jun 2008 (2.05%)
2006127 Oct 2006 (1.44%)
2003103 Jan 2003 (-2.27%)
2002130 Oct 2002 (-0.35%)
2001109 Oct 2001 (-1.72%)
2000422 Jun 2000 (4.14%), 19 Jul 2000 (1.25%), 24 Aug 2000 (0.91%), 10 Nov 2000 (6.53%)
1998205 Oct 1998 (2.32%), 19 Oct 1998 (3.68%)



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