Study: Sell BEML when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell BEML when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell BEML 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
18857.3733201360.614287.9514285.71-5915.5-20614.040.721.120.008268.41
27162.1833191457.586286.1119807.81-8019.56-33043.480.781.060.0044217.04
3-76934.8233161748.486111.1516999.4-10277.25-48695.650.590.56-0.038-2331.36
4-39210.0633191457.586471.2718548.39-11583.16-41391.30.560.76-0.02-1188.18
5-20102.8933191457.589895.332661.29-14865.26-500000.670.9-0.0069-609.18
6-54834.3933161748.4812303.3638709.68-14805.18-67399.270.830.78-0.017-1661.65
7-77496.7133171651.5210616.6125806.45-16123.69-80952.380.660.7-0.025-2348.39
8-11670133171651.5211132.5733870.97-19122.19-58608.060.580.62-0.037-3536.4
9-84710.5333141942.4215890.6637903.23-16167.36-51373.420.980.72-0.026-2566.99
10-82934.6633141942.4216380.1446774.19-16434.56-42285.7110.73-0.025-2513.17

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.12. 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 60.61%, which is good. Average return per trade is 0.13%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.008, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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
atrnil312.2379470.333182325.8138967.0861275.84-10098.53-15054.563.861.340.0232563.56
atrtrail-16.945725.1739122730.7717873.5353671.89-6250.27-15054.562.861.270.0171172.44
200nil21.822556.0449193038.785981.737944.59-3036.56-3738.861.971.250.021460.33
200nil32.1915406.8447133427.669090.5911916.88-3022.67-3738.863.011.150.012327.81
nilnil-118857.3733201360.614287.9514285.71-5915.5-20614.040.721.120.008268.41
200trail21.6510531.2351193237.255486.277870.97-2928.37-3946.111.871.110.01206.49
atrtrail25.2816998.7139122730.7715479.6634840.04-6250.27-15054.562.481.10.0074435.86
atrtrail35.916070.5439122730.7715402.3146965.77-6250.27-15054.562.461.10.0067412.07
200trail31.883618.4851153629.416998.5111806.45-2815.53-3946.112.491.040.00370.95
atrnil29.84-8366.623192229.0324282.3640850.56-10313.99-15054.562.350.96-0.0033-269.89
200trail-12.56-6956.02501238248068.2436282.26-2730.92-3946.112.950.93-0.0042-139.12

In the table above, row 1 shows the best exit criterion. Profit factor is 1.34. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 25.81%, which is not acceptable. Avoid this strategy. Average return per trade is 1.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BEML Performance, Profit Factor:1.34

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018105 Jan 2018 (10.14%)
2016301 Aug 2016 (-2.68%), 10 Aug 2016 (-3.02%), 09 Dec 2016 (-3.47%)
2012201 Feb 2012 (-4.18%), 26 Apr 2012 (13.61%)
2010325 Feb 2010 (-4.8%), 12 Mar 2010 (-3.53%), 23 Mar 2010 (-3.08%)
2008108 Feb 2008 (26.13%)
2007303 Jan 2007 (-3.57%), 07 Mar 2007 (-7.53%), 05 Apr 2007 (-5.22%)
2004122 Mar 2004 (-6.66%)
2003219 Feb 2003 (15.81%), 23 Apr 2003 (-5.55%)
2002208 Oct 2002 (-7.16%), 03 Dec 2002 (-6.68%)
2001212 Mar 2001 (30.64%), 31 Dec 2001 (-5.96%)
2000425 Jan 2000 (-6.28%), 14 Feb 2000 (21.76%), 28 Nov 2000 (-5.16%), 06 Dec 2000 (-6.12%)
1999425 Mar 1999 (23.48%), 10 Jun 1999 (-4.85%), 14 Jun 1999 (-5.83%), 13 Dec 1999 (-5.79%)
1996326 Apr 1996 (14.3%), 12 Jun 1996 (-4.86%), 27 Nov 1996 (-4.16%)



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