Study: Buy BEL when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy BEL when below 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
1-39474.4380314938.755463.2932702.51-4261.97-14971.61.280.81-0.015-493.43
219314.4480344642.57158.9525761.12-4871.52-32014.231.471.090.006241.43
3-46645.7380295136.2510672.7939153.51-6983.47-37705.651.530.87-0.01-583.07
4-11293080334741.259732.4225448.61-9236.17-36638.511.050.74-0.025-1411.63
5-82331.238036444510391.8237044.33-10373.56-42797.210.82-0.015-1029.14
6-10699980354543.7510653.9839110.07-10664.18-49451.4810.78-0.018-1337.48
7-1584758032484010764.4546604.22-10477.85-46153.851.030.68-0.028-1980.93
8-1396998036444510387.0841920.37-11673.51-46993.010.890.73-0.024-1746.24
9-1903408036444511132.4645714.29-13434.29-45086.710.830.68-0.029-2379.25
10-83578.3680374346.2513276.9465652.17-13368.03-50600.270.990.85-0.012-1044.73
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
atrnil37.932885661383810027.5432740.7784774.61-9555.83-27370.063.431.30.0212091.06
atrnil25.5444425.52141479433.3320387.5756516.41-9721.18-27370.062.11.050.0042315.07
atrtrail34.73-1207531544510929.2214820.1453857.18-7226.23-24661.412.050.85-0.013-784.11
atrtrail24.14-1459501544510929.2214260.2141717.92-7226.23-24661.411.970.81-0.017-947.73
atrtrail-15.16-2472371544510929.2212009.3971896.74-7226.23-24661.411.660.69-0.029-1605.44

In the table above, row 1 shows the best exit criterion. Profit factor is 1.3. 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 27.54%, which is not acceptable. Avoid this strategy. Average return per trade is 1.05%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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:1.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019522 Jan 2019 (-3.28%), 25 Jan 2019 (-3.45%), 11 Feb 2019 (-3.94%), 22 Apr 2019 (-3.39%), 21 Aug 2019 (14.24%)
20182201 Feb 2018 (-3.11%), 02 Feb 2018 (-3.61%), 22 Mar 2018 (-3.16%), 23 Mar 2018 (-3.28%), 19 Apr 2018 (-2.77%), 20 Apr 2018 (-2.95%), 03 May 2018 (-2.88%), 14 May 2018 (-2.71%), 15 May 2018 (-3.15%), 21 May 2018 (-3.96%), 01 Jun 2018 (-4.18%), 26 Jun 2018 (-3.75%), 27 Jun 2018 (-3.82%), 18 Jul 2018 (14.57%), 03 Sep 2018 (-3.33%), 04 Sep 2018 (-3.57%), 05 Sep 2018 (-5.34%), 11 Sep 2018 (-5.32%), 18 Sep 2018 (-5.01%), 21 Sep 2018 (-5.56%), 29 Nov 2018 (-4.61%), 07 Dec 2018 (-4.43%)
2016621 Jan 2016 (-4.29%), 11 Feb 2016 (-4.05%), 25 Feb 2016 (-4.49%), 16 May 2016 (-2.59%), 20 May 2016 (8.26%), 12 Sep 2016 (5.49%)
2015124 Aug 2015 (-4.28%)
2014324 Jan 2014 (-2.46%), 27 Jan 2014 (-2.64%), 03 Feb 2014 (7.66%)
20131124 Jan 2013 (9.09%), 25 Feb 2013 (-2.88%), 26 Feb 2013 (9.62%), 10 Jul 2013 (-3.07%), 22 Jul 2013 (-2.87%), 26 Jul 2013 (-3.07%), 30 Jul 2013 (-3.4%), 31 Jul 2013 (10.97%), 20 Sep 2013 (-3.34%), 13 Dec 2013 (-1.75%), 18 Dec 2013 (-2.08%)
20121201 Feb 2012 (10.51%), 28 Mar 2012 (-3.9%), 26 Apr 2012 (-3.11%), 09 May 2012 (-3.05%), 14 May 2012 (-3.32%), 16 May 2012 (-3.32%), 18 May 2012 (-3.91%), 05 Jun 2012 (10.31%), 25 Jul 2012 (-2.66%), 30 Jul 2012 (10.6%), 11 Sep 2012 (-2.49%), 09 Nov 2012 (8.72%)
20111012 May 2011 (-3.07%), 30 May 2011 (-2.53%), 20 Jun 2011 (-2.55%), 23 Jun 2011 (8.24%), 30 Aug 2011 (-3.59%), 26 Sep 2011 (-3.61%), 17 Nov 2011 (-2.39%), 23 Nov 2011 (-2.33%), 19 Dec 2011 (-3.29%), 28 Dec 2011 (-3.12%)
2010520 May 2010 (-3.4%), 25 May 2010 (10.38%), 06 Aug 2010 (-2.46%), 25 Aug 2010 (8.01%), 29 Oct 2010 (9.14%)
2009118 Mar 2009 (10.68%)
20081622 Jan 2008 (20.87%), 08 Feb 2008 (-8.58%), 07 Mar 2008 (-6.97%), 17 Mar 2008 (-7.46%), 27 Mar 2008 (25.13%), 24 Jun 2008 (-6.15%), 01 Jul 2008 (20.12%), 19 Aug 2008 (-4.63%), 15 Sep 2008 (-4.25%), 18 Sep 2008 (-4.49%), 06 Oct 2008 (-5.06%), 08 Oct 2008 (-5.47%), 15 Oct 2008 (-6.27%), 16 Oct 2008 (-6.58%), 20 Oct 2008 (-6.97%), 24 Oct 2008 (22.49%)
2006308 Jun 2006 (-9.87%), 14 Jun 2006 (32.8%), 01 Nov 2006 (8.74%)
2004324 Mar 2004 (14.1%), 14 May 2004 (-7.06%), 14 Jun 2004 (19.37%)
2003227 Mar 2003 (-3.63%), 28 Mar 2003 (11.39%)
2002219 Sep 2002 (-5.93%), 20 Sep 2002 (21.1%)
2001702 Mar 2001 (-8.69%), 12 Mar 2001 (-9.97%), 13 Mar 2001 (36.99%), 03 Sep 2001 (-3.48%), 12 Sep 2001 (-3.32%), 14 Sep 2001 (-4.04%), 17 Sep 2001 (13.73%)
20001116 Mar 2000 (-13.69%), 27 Mar 2000 (42.39%), 24 Jul 2000 (17.12%), 01 Aug 2000 (-6.51%), 04 Aug 2000 (19.59%), 18 Sep 2000 (-6.18%), 19 Sep 2000 (-6.75%), 28 Sep 2000 (-6.49%), 09 Oct 2000 (-5.79%), 11 Oct 2000 (-6.04%), 24 Oct 2000 (17.62%)
1999621 Jan 1999 (23.18%), 30 Mar 1999 (-8.52%), 06 Apr 1999 (-9.26%), 12 Apr 1999 (-9.89%), 22 Apr 1999 (-10.71%), 26 Apr 1999 (34.98%)
19981221 Jul 1998 (-7.32%), 24 Jul 1998 (-7.42%), 27 Jul 1998 (-8.08%), 29 Jul 1998 (-8.25%), 20 Aug 1998 (18.69%), 01 Sep 1998 (-6.88%), 04 Sep 1998 (20.03%), 09 Nov 1998 (-5.3%), 12 Nov 1998 (-5.73%), 27 Nov 1998 (-5.77%), 23 Dec 1998 (-4.43%), 24 Dec 1998 (15.16%)



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