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

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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 and RSI is below 50" 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
19334.2927161159.263066.917352.94-3612.38-11806.80.851.230.018345.71
23083.4627151255.563475.568653.3-4087.49-10714.290.851.060.0052114.2
331845.8227151255.565482.9915588.24-4199.92-10041.351.311.630.0441179.47
416768.8927141351.855918.5220808.25-5083.88-12280.71.161.250.018621.07
514498.5127131448.157608.3218322.52-6029.26-22807.021.261.170.012536.98
6-6449.527161159.265888.3316302.14-9151.16-34908.450.640.94-0.0049-238.87
7-40654.7927111640.745822.5219235.1-6543.91-28352.040.890.61-0.034-1505.73
8-17659.3727151255.565338.1120697.41-8144.25-28942.710.660.82-0.015-654.05
9-10007.8927161159.266714.5419411.76-10676.41-29415.240.630.91-0.0074-370.66
1011394.7327161159.268221.1120000-10922.1-27052.570.751.090.0078422.03
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
50trail22.0510436.5439142535.95476.887288.24-2649.59-3839.672.071.160.014267.6
atrtrail24.584471.5433122136.368650.2922735.8-4730.09-11591.331.831.050.0037135.5
50nil22.362507.0239142535.95961.957288.24-3238.41-3919.571.841.030.003164.28
atrnil26.5-14745.7530102033.3312890.222735.8-7182.39-12489.181.790.9-0.011-491.52
50nil33.68-9546.783892923.689109.7410932.35-3156.36-3919.572.890.9-0.01-251.23
atrtrail34.85-11975.1133122136.367279.7419563.61-4730.09-11591.331.540.88-0.011-362.88
50trail32.69-11913.2339112828.215349.8810932.35-2527.21-3839.672.120.83-0.016-305.47
atrnil39.17-36735.32962320.6920743.3934103.69-7008.51-12489.182.960.77-0.023-1266.73
atrtrail-15.27-24476.5833122136.366237.9514574.1-4730.09-11591.331.320.75-0.025-741.71
50trail-13.13-23734.939102925.644985.6615723.28-2537.64-3839.671.960.68-0.031-608.59

In the table above, row 1 shows the best exit criterion. Profit factor is 1.16. 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 35.9%, which is not acceptable. Avoid this strategy. Average return per trade is 0.13%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.014, 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, Profit Factor:1.16

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019416 Jan 2019 (2.53%), 24 Apr 2019 (-1.06%), 26 Apr 2019 (-1.11%), 09 May 2019 (3.28%)
2016118 May 2016 (2.43%)
2013325 Jan 2013 (-1.4%), 30 Apr 2013 (-1.46%), 13 Sep 2013 (-1.51%)
20121024 Jan 2012 (2.43%), 28 Mar 2012 (-0.47%), 03 Apr 2012 (2.32%), 24 Jul 2012 (3.46%), 03 Aug 2012 (-1.92%), 07 Aug 2012 (0.05%), 31 Oct 2012 (-1.34%), 02 Nov 2012 (3.21%), 22 Nov 2012 (3.38%), 29 Nov 2012 (-0.15%)
2011524 Jan 2011 (-1.59%), 25 Jan 2011 (-1.82%), 27 Jan 2011 (3.05%), 23 Mar 2011 (-1.82%), 03 Aug 2011 (-1.59%)
2010705 Jul 2010 (-1.46%), 11 Aug 2010 (-0.43%), 15 Oct 2010 (-1.74%), 20 Oct 2010 (-1.07%), 26 Oct 2010 (2.29%), 15 Dec 2010 (-1.41%), 27 Dec 2010 (-0.93%)
2009218 Mar 2009 (-1.68%), 24 Mar 2009 (-1.87%)
2008113 May 2008 (-1.56%)
2006127 Oct 2006 (3.0%)
2003103 Jan 2003 (-1.54%)
2000219 Jul 2000 (3.64%), 21 Nov 2000 (-1.54%)
1998205 Oct 1998 (-0.64%), 19 Oct 1998 (3.27%)



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