Study: Buy BEL when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy BEL when near 200 SMA and above 200 SMA and ADX is Trending" 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
127298.8322121054.555080.0616224.65-3366.19-9211.691.511.810.0451240.86
247745.162291340.9111771.9433697.35-4477.1-20667.262.631.820.0412170.23
341638.8622121054.559379.8133359.56-7091.88-22852.081.321.590.0351892.68
435967.2222121054.5510015.5627694.73-8421.95-23796.871.191.430.0291634.87
529251.792291340.9111249.3932415.42-5537.9-13581.342.031.410.0271329.63
638980.6222101245.4512015.5734146.34-6764.59-14644.231.781.480.0321771.85
725663.112291340.9111362.8428166.8-5892.49-15411.871.931.340.0231166.51
8-1038.792281436.3612515.8628166.8-7226.12-17472.71.730.99-0.00084-47.22
988412291340.9111476.6224895.58-7265.27-15987.211.581.090.0074401.86
10496.442281436.3611820.5825024.1-6719.16-28137.491.761.010.0004122.57

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 1.82. 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 40.91%, which is not acceptable. Avoid this strategy. Average return per trade is 1.09%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.041, 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-1247745.162291340.9111771.9433697.35-4477.1-20667.262.631.820.0412170.23
atrnil26.6466537.92281436.3621506.7428676.87-7536.86-13566.132.851.630.0453024.45
200trail-13.0327664.733082226.671044025885.13-2538.87-3948.014.111.50.028922.16
atrtrail25.1547228.942691734.6216000.5828676.87-5692.72-12771.072.811.490.0321816.5
200trail32.0617510.323192229.038018.5411826.83-2484.39-3948.013.231.320.024564.85
200nil32.2413866.042982127.599005.9911826.83-2770.57-3948.013.251.240.019478.14
atrtrail35.5618519.7258173213822.9143015.3-5415.51-12771.072.551.20.014740.79
200trail21.97863.7331112035.485362.337884.56-2556.09-3948.012.11.150.014253.67
200nil21.973239.5830102033.335886.677884.56-2781.36-3948.012.121.060.0055107.99
atrtrail-15.64-4971.35258173210886.5319579.72-5415.51-12771.072.010.95-0.0048-198.85
atrnil310.79-35668.11931615.7932693.8943015.3-8359.36-13677.623.910.73-0.026-1877.27

In the table above, row 1 shows the best exit criterion. Profit factor is 1.82. 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 40.91%, which is not acceptable. Avoid this strategy. Average return per trade is 1.09%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.041, 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=2, Profit Factor:1.82

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019311 Apr 2019 (1.82%), 29 Jul 2019 (10.73%), 13 Aug 2019 (1.96%)
2018131 Jan 2018 (-10.33%)
2016101 Apr 2016 (-1.51%)
2015103 Sep 2015 (-4.38%)
2014103 Apr 2014 (2.29%)
2013203 Jan 2013 (-0.1%), 21 Jan 2013 (-3.39%)
2012206 Mar 2012 (-0.1%), 22 Mar 2012 (-1.66%)
2011119 Jul 2011 (-0.25%)
2010221 Jun 2010 (-1.24%), 07 Oct 2010 (0.46%)
2004106 Apr 2004 (1.66%)
2002231 Oct 2002 (-2.26%), 13 Dec 2002 (-0.76%)
2001302 May 2001 (-0.08%), 27 Jul 2001 (5.64%), 31 Aug 2001 (-3.04%)
2000126 Dec 2000 (11.57%)
1999127 Feb 1999 (16.85%)



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