Study: Buy BEL when near 200 SMA and above 200 SMA

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
145719.0953292454.724675.7116224.65-3744.85-12925.171.251.510.031862.62
264938.1253302356.66778.1433697.35-6017.66-27775.481.131.470.0271225.25
395946.0153322160.386831.1433359.56-5840.49-22852.081.171.780.0421810.3
410515853351866.047207.0727694.73-8171.6-23796.870.881.710.0411984.12
591605.3153272650.948830.6943175.64-5647.05-28231.291.561.620.0341728.4
679043.5253312258.498512.2745785.75-8401.67-30612.241.011.430.0261491.39
769006.153282552.839879.0345241.98-8304.27-32777.371.191.330.0221302
847796.4753272650.9410826.1344045.68-9404.2-34693.881.151.20.014901.82
926223.2353242945.2811996.8446655.79-9024.17-47619.051.331.10.0072494.78
10-7239.9553242945.2811917.8642849.37-10112.71-46258.51.180.98-0.0019-136.6
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
200trail-13.5311954977225528.5711812.556467.68-2551.37-3948.014.631.850.0331552.59
atrnil27.813327049212842.8617664.3328676.87-8488.63-27886.112.081.560.0422719.79
200trail32.4538164.4678245430.777384.4711826.83-2575.24-3948.012.871.270.021489.29
atrnil310.8865401.5143133030.2325270.0443015.3-8770.3-27886.112.881.250.0191520.97
200nil33.0335125.5670205028.579124.1311826.83-2947.14-3948.013.11.240.019501.79
atrtrail25.0255211.8563243938.112134.4828676.87-6051.68-17513.432.011.230.018876.38
atrtrail35.444599.3262224035.4812571.2643015.3-5799.21-17513.432.171.190.014719.34
200trail22.1121893.5580295136.255508.777884.56-2703.15-3948.012.041.160.014273.67
200nil22.3520179.3277284936.365958.57884.56-2993.03-3948.011.991.140.013262.07
atrtrail-15.87-7843.9262214133.8710674.4733484.01-5658.73-17513.431.890.97-0.0027-126.51

In the table above, row 1 shows the best exit criterion. Profit factor is 1.85. 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 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is 0.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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:1.85

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019511 Apr 2019 (-1.03%), 12 Apr 2019 (-0.89%), 17 May 2019 (20.1%), 29 Jul 2019 (3.54%), 13 Aug 2019 (-1.97%)
2018131 Jan 2018 (-1.53%)
20161210 Feb 2016 (-1.17%), 22 Mar 2016 (-1.04%), 23 Mar 2016 (-1.86%), 01 Apr 2016 (-0.74%), 18 Apr 2016 (-1.75%), 30 May 2016 (-1.07%), 27 Jul 2016 (0.31%), 11 Aug 2016 (0.73%), 23 Aug 2016 (-1.17%), 26 Aug 2016 (-1.26%), 09 Sep 2016 (-1.29%), 16 Sep 2016 (4.32%)
2015303 Sep 2015 (-1.17%), 11 Sep 2015 (-1.5%), 11 Dec 2015 (15.39%)
2014103 Apr 2014 (-1.62%)
2013603 Jan 2013 (0.06%), 10 Jan 2013 (-1.41%), 29 Jan 2013 (-1.86%), 31 Jan 2013 (-1.27%), 05 Feb 2013 (-1.58%), 03 Jul 2013 (-0.59%)
2012628 Feb 2012 (-0.03%), 06 Mar 2012 (-1.12%), 09 Mar 2012 (2.54%), 19 Mar 2012 (-1.5%), 20 Mar 2012 (-1.69%), 31 Dec 2012 (-1.73%)
2011405 Apr 2011 (3.81%), 11 May 2011 (-1.94%), 19 Jul 2011 (-0.44%), 01 Aug 2011 (-1.43%)
2010321 Jun 2010 (-1.35%), 23 Jul 2010 (-1.47%), 07 Oct 2010 (-1.12%)
2008218 Jan 2008 (-1.76%), 23 Jan 2008 (-1.93%)
2006909 Aug 2006 (0.42%), 12 Sep 2006 (-0.84%), 20 Sep 2006 (-0.36%), 26 Sep 2006 (-1.27%), 12 Oct 2006 (0.47%), 17 Oct 2006 (-0.52%), 21 Nov 2006 (-0.41%), 27 Nov 2006 (-1.76%), 12 Dec 2006 (-1.15%)
2005124 Aug 2005 (1.37%)
2004706 Apr 2004 (7.01%), 30 Apr 2004 (-1.19%), 06 May 2004 (-1.25%), 07 May 2004 (-1.76%), 01 Sep 2004 (-1.06%), 07 Sep 2004 (-0.98%), 10 Sep 2004 (7.79%)
2002531 Oct 2002 (-1.08%), 26 Nov 2002 (-1.94%), 03 Dec 2002 (-1.07%), 13 Dec 2002 (-1.33%), 19 Dec 2002 (-1.0%)
2001802 May 2001 (-1.25%), 04 May 2001 (3.64%), 14 May 2001 (-1.54%), 15 Jun 2001 (1.06%), 27 Jul 2001 (3.61%), 31 Aug 2001 (-1.21%), 11 Oct 2001 (3.67%), 01 Nov 2001 (28.23%)
2000214 Mar 2000 (0.51%), 26 Dec 2000 (12.94%)
1999227 Feb 1999 (8.42%), 26 Mar 1999 (-1.89%)



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