Study: Buy BEL when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy BEL when 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
182911.6842281466.675106.6517233.56-4291.03-14768.461.192.380.0671974.09
279489.4742271564.296350.4232653.06-6131.47-21026.281.041.860.0451892.61
391674.1542241857.149144.6531201.33-7099.86-29286.611.291.720.0412182.72
410856042251759.5210506.2234407.74-9064.42-34292.871.161.70.0422584.77
510583842231954.7611405.7638597.9-8236.57-47309.141.381.680.0372519.95
615100342251759.5211864.937652.95-8565.86-50312.891.392.040.053595.31
710586542271564.2910949.5534927.7-12651.51-59324.160.871.560.0322520.6
815340742251759.5215532.0753988.72-13817.36-59824.781.121.650.0393652.54
917785042261661.916027.8767767.93-14929.69-62327.911.071.740.044234.51
1017671142241857.1417927.671810.09-14086.18-63078.851.271.70.0374207.41

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.38. 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 66.67%, which is good. Average return per trade is 0.99%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.067, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
BEL Performance, X=1, Profit Factor:2.38

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019208 Jul 2019 (6.08%), 29 Jul 2019 (6.09%)
2018116 Jan 2018 (1.65%)
2017423 Feb 2017 (0.17%), 18 May 2017 (-0.49%), 13 Jun 2017 (0.58%), 22 Sep 2017 (0.06%)
2016327 Jul 2016 (0.16%), 11 Aug 2016 (1.46%), 26 Dec 2016 (1.18%)
2015416 Mar 2015 (3.13%), 27 Apr 2015 (0.09%), 19 Aug 2015 (-0.61%), 09 Dec 2015 (-0.45%)
2013124 Jun 2013 (0.59%)
2010206 Apr 2010 (-1.13%), 28 Apr 2010 (-0.99%)
2009129 Oct 2009 (2.26%)
2007227 Jul 2007 (-0.78%), 16 Aug 2007 (0.78%)
2006220 Feb 2006 (1.21%), 22 May 2006 (5.59%)
2005412 Jan 2005 (2.97%), 22 Mar 2005 (-1.97%), 20 Jun 2005 (2.31%), 23 Aug 2005 (-1.99%)
2004421 Jan 2004 (-1.69%), 24 Feb 2004 (-1.6%), 15 Mar 2004 (0.11%), 25 Oct 2004 (2.22%)
2002526 Mar 2002 (-3.1%), 31 May 2002 (4.67%), 11 Jul 2002 (1.01%), 02 Aug 2002 (2.53%), 09 Sep 2002 (3.22%)
2000223 Feb 2000 (-2.09%), 08 Mar 2000 (-5.77%)
1999224 Sep 1999 (0.59%), 22 Nov 1999 (7.32%)
1998315 Jun 1998 (8.62%), 03 Jul 1998 (4.87%), 17 Jul 1998 (-7.38%)

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-1182911.6842281466.675106.6517233.56-4291.03-14768.461.192.380.0671974.09
atrtrail24.2912085265303546.1513054.8241640.87-7736.93-23627.211.691.450.031859.26
atrtrail-16.1411011565293644.6213279.2659710.3-7638.44-23627.211.741.40.0261694.07
atrtrail35.1784169.1665293644.6212384.5842386.47-7638.44-23627.211.621.310.0221294.91
atrnil39.5471467.4252163630.7727345.4962461.3-10168.35-26912.762.691.20.0151374.37
atrnil26.0459295.6256213537.519242.5241640.87-9851.35-26912.761.951.170.0141058.85

In the table above, row 1 shows the best exit criterion. Profit factor is 2.38. 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 66.67%, which is good. Average return per trade is 0.99%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.067, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

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