Study: Buy BEML when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy BEML when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
126137.2340211952.54193.4316049.38-3259.2-12893.081.291.420.025653.43
240230.9940211952.5686422839.51-5469.1-19361.11.261.390.0241005.77
346745.7540192147.58576.6719283.41-5533.85-12893.081.551.40.0281168.64
4-46043.92402020506688.1521282.49-8990.35-22641.510.740.74-0.024-1151.1
5-58856.61402020507659.1418145.47-10601.97-26081.420.720.72-0.027-1471.42
6-57695.17402218557842.2528859.74-12790.26-30503.140.610.75-0.023-1442.38
7-561044020205010418.8731154.85-13224.07-45178.480.790.79-0.018-1402.6
8-82913.474020205010825.134047.48-14970.77-56259.990.720.72-0.025-2072.84
9-11596240172342.511513.1129299.36-13551.53-49653.70.850.63-0.036-2899.06
10-1330734018224511475.5933913.04-15437.88-51997.870.740.61-0.039-3326.81

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.42. 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 52.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.33%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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-1126137.2340211952.54193.4316049.38-3259.2-12893.081.291.420.025653.43
50nil32.1148829.9457193833.338813.1111408.98-3121.56-3969.232.821.410.031856.67
50trail31.8430282.4658184031.038091.311373.91-2884.02-3963.642.811.260.02522.11
50trail21.6326148.0162243838.715813.67605.98-2983.64-3963.641.951.230.02421.74
50trail-12.6622980.9258154325.869468.7835826.01-2768.62-3963.643.421.190.012396.22
50nil21.6819838.5362243838.715813.67605.98-3149.68-3969.231.851.170.015319.98
atrnil37.8229590.739112828.2128025.745901.28-9953.28-16447.232.821.110.0088758.74
atrnil26.54-6514.9241152636.5917567.5930600.86-10385.72-16447.231.690.98-0.0023-158.9
atrtrail24.76-6175.34451827401150723859.46-7900.05-15536.151.460.97-0.0025-137.23
atrtrail35.23-6867.5944162836.3613174.5335789.19-7773.57-15536.151.690.97-0.0025-156.08
atrtrail-15.66-86293.4844162836.368210.4127351.46-7773.57-15536.151.060.6-0.043-1961.22

In the table above, row 1 shows the best exit criterion. Profit factor is 1.42. 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 52.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.33%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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, X=1, Profit Factor:1.42

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Mar 2019 (6.68%)
2017208 May 2017 (-0.92%), 09 Nov 2017 (-0.72%)
2014310 Jan 2014 (1.62%), 12 Aug 2014 (-5.0%), 22 Dec 2014 (-1.91%)
2012102 Apr 2012 (-0.51%)
2010310 Feb 2010 (2.29%), 07 Apr 2010 (-0.64%), 27 Oct 2010 (-2.72%)
2009304 Sep 2009 (1.09%), 24 Sep 2009 (-0.76%), 14 Oct 2009 (-0.06%)
2007214 Aug 2007 (-3.25%), 07 Sep 2007 (0.35%)
2005808 Feb 2005 (1.11%), 28 Feb 2005 (1.45%), 14 Mar 2005 (1.42%), 05 Jul 2005 (0.31%), 25 Jul 2005 (0.14%), 14 Oct 2005 (0.93%), 02 Nov 2005 (0.04%), 23 Nov 2005 (1.37%)
2004207 Jan 2004 (4.23%), 05 Apr 2004 (-0.5%)
2003306 Feb 2003 (0.13%), 08 Aug 2003 (-0.52%), 08 Dec 2003 (1.93%)
2002317 Apr 2002 (3.71%), 18 Jul 2002 (-0.59%), 18 Oct 2002 (1.99%)
2000213 Jan 2000 (-1.12%), 11 Feb 2000 (-6.45%)
1999311 Oct 1999 (8.02%), 26 Oct 1999 (-2.01%), 22 Nov 1999 (4.53%)
1997210 Jun 1997 (0.7%), 05 Aug 1997 (-1.53%)
1996218 Sep 1996 (-1.65%), 25 Oct 1996 (-0.12%)



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