Study: Sell BEML when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell BEML when below 200 SMA and near 50 SMA and below 50 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
124512.1151351668.634145.6415730.34-7536.58-17947.970.551.20.014480.63
2-2249351292256.865916.3417073.17-8821.22-47230.320.670.88-0.0083-441.04
339361.1351302158.828079.2320315.34-9667.42-85714.290.841.190.011771.79
456707.7251282354.911244.3334297.52-11223.2-94460.6411.220.0121111.92
539152.9551302158.8211838.9637303.37-15048.38-1125360.791.120.0073767.7
6-27097.8751272452.9413852.8840000-16713.57-1469390.830.93-0.0041-531.33
7-72732.4251242747.0615784.3840000-16724.36-1335280.940.84-0.011-1426.13
8-72539.1851242747.0616407.9341843.54-17271.46-1160350.950.84-0.012-1422.34
9-10306851242747.0616218.5839417.83-18233.85-1154520.890.79-0.016-2020.94
10-95643.3551252649.0215805.4737815.3-18876.16-1125360.840.81-0.015-1875.36
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
50nil32.2462245.8167214631.349250.2411649.51-2869.77-3995.883.221.470.034929.04
50trail31.9758308.4372234931.948092.511829.87-2608.55-3995.883.11.460.031809.84
50nil21.7154533.3172294340.286162.747886.58-2888.05-3995.882.131.440.035757.41
50trail21.6745610.0176294738.166017.227886.58-2742.33-3995.882.191.350.028600.13
50trail-12.6842948.9372205227.788818.9423312.97-2565.96-3995.883.441.320.019596.51
atrtrail23.81-25915.1859184130.5113485.1736842.99-6552.4-16996.522.060.9-0.0083-439.24
atrtrail34.39-30754.8759184130.5113216.338022.31-6552.4-16996.522.020.89-0.0094-521.27
atrtrail-14.58-57182.3659184130.5111748.138022.31-6552.4-16996.521.790.79-0.019-969.19
atrnil25.94-94877.4852153728.8518266.9134709.36-9969.76-16996.521.830.74-0.028-1824.57
atrnil37.53-11083151114021.5726310.9252064.03-10006.28-16996.522.630.72-0.028-2173.16

In the table above, row 1 shows the best exit criterion. Profit factor is 1.47. 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 31.34%, which is not acceptable. Avoid this strategy. Average return per trade is 0.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, 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.
BEML Performance, Profit Factor:1.47

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018308 May 2018 (-1.06%), 16 May 2018 (-1.05%), 21 Aug 2018 (-1.39%)
2016229 Mar 2016 (-1.0%), 04 Apr 2016 (5.81%)
20131102 Jan 2013 (5.13%), 16 May 2013 (-1.27%), 27 May 2013 (-1.43%), 19 Jun 2013 (5.13%), 09 Jul 2013 (-1.45%), 11 Jul 2013 (-1.91%), 25 Jul 2013 (4.34%), 05 Sep 2013 (-1.55%), 11 Sep 2013 (-1.01%), 16 Sep 2013 (-1.14%), 18 Sep 2013 (-1.26%)
2012207 Jan 2012 (-2.0%), 20 Sep 2012 (-1.83%)
2011201 Apr 2011 (-1.53%), 18 Nov 2011 (3.02%)
2010629 Apr 2010 (5.82%), 14 Jun 2010 (-1.52%), 24 Jun 2010 (-1.62%), 10 Aug 2010 (-1.35%), 13 Aug 2010 (-1.06%), 27 Aug 2010 (-1.8%)
2009307 Jan 2009 (-1.72%), 05 Mar 2009 (3.92%), 26 Mar 2009 (-1.15%)
2008422 Apr 2008 (5.39%), 25 Aug 2008 (-1.91%), 19 Sep 2008 (-1.21%), 22 Sep 2008 (-1.73%)
2007117 May 2007 (-1.49%)
2006506 Sep 2006 (5.28%), 21 Sep 2006 (-1.46%), 22 Nov 2006 (-1.89%), 29 Nov 2006 (-1.28%), 06 Dec 2006 (3.73%)
2004113 Jul 2004 (-1.32%)
2003111 Apr 2003 (-1.11%)
2002601 Jan 2002 (-1.08%), 10 Jan 2002 (-1.55%), 22 Oct 2002 (-1.81%), 13 Nov 2002 (-1.92%), 15 Nov 2002 (-1.04%), 18 Nov 2002 (4.86%)
2001301 Jun 2001 (4.2%), 29 Aug 2001 (3.43%), 21 Dec 2001 (4.53%)
2000705 Apr 2000 (-1.15%), 13 Apr 2000 (5.54%), 25 Apr 2000 (-1.38%), 26 Jun 2000 (-1.19%), 04 Aug 2000 (-1.07%), 07 Aug 2000 (-1.46%), 03 Nov 2000 (-1.94%)
1999319 Jan 1999 (-1.22%), 03 Mar 1999 (4.93%), 26 May 1999 (4.14%)
1998605 Jan 1998 (3.37%), 07 Jan 1998 (5.38%), 30 Apr 1998 (-1.47%), 15 Oct 1998 (-1.29%), 16 Oct 1998 (-1.92%), 30 Oct 1998 (4.07%)
1996127 May 1996 (5.1%)



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