Study: Sell BEML when RSI is below 50 and there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell BEML when RSI is below 50 and there is Bearish Crossover in MACD 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: 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
135537.5532171553.125280.9315188.14-3615.89-16299.561.461.660.0381110.55
212132032221068.757154.3729432.52-3607.59-7048.461.984.360.0993791.26
380297.5732211165.626832.8929344.31-5744.83-17090.671.192.270.062509.3
41306343224875724031228.07-5390.72-14229.251.344.030.0934082.32
513831132201262.510744.7627315.5-6382.02-13829.091.682.810.0844322.22
616888332201262.514196.2831011.24-9586.9-63829.791.482.470.0655277.59
72129573223971.8814598.5740000-13645.51-65248.231.072.730.0756654.92
82017143225778.1214803.0252631.58-24051.57-61702.130.622.20.066303.58
921050832221068.7517327.2563157.89-17069.12-66524.821.022.230.066578.39
1019030032201262.519427.8151650.49-16521.38-60992.911.181.960.0535946.86

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 4.36. Strategy is very good and impressively bearish. Percentage of profitable trades is 68.75%, which is good. Average return per trade is 1.9%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.099, 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.
BEML Performance, X=2, Profit Factor:4.36

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018209 Mar 2018 (0.36%), 18 Jul 2018 (2.73%)
2016207 Jan 2016 (-1.25%), 23 May 2016 (3.77%)
2014115 Dec 2014 (5.93%)
2013128 Feb 2013 (5.99%)
2012318 May 2012 (1.27%), 18 Jul 2012 (-0.23%), 18 Dec 2012 (0.62%)
2011202 Jun 2011 (0.88%), 15 Nov 2011 (1.15%)
2008212 Feb 2008 (-2.16%), 21 Nov 2008 (14.72%)
2007324 Jan 2007 (-2.0%), 12 Feb 2007 (2.56%), 04 Apr 2007 (0.05%)
2006105 Sep 2006 (3.08%)
2005111 Oct 2005 (4.75%)
2004124 Feb 2004 (5.57%)
2003109 Jul 2003 (-1.16%)
2002216 Apr 2002 (-3.29%), 30 Aug 2002 (-2.1%)
2001327 Feb 2001 (0.88%), 05 Sep 2001 (3.62%), 19 Dec 2001 (4.57%)
1999119 Jan 1999 (-3.52%)
1997324 Sep 1997 (-2.33%), 27 Oct 1997 (11.65%), 09 Dec 1997 (-0.0%)
1996126 Sep 1996 (0.13%)
1995211 Jul 1995 (0.71%), 14 Aug 1995 (3.72%)

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-1212132032221068.757154.3729432.52-3607.59-7048.461.984.360.0993791.26
atrtrail-16.9772122.9734151944.1214185.4766937.44-7403.11-17415.31.921.510.0282121.26
atrtrail36.0937872.934151944.1211902.1329563.66-7403.11-17415.31.611.270.0191113.91
atrtrail25.2434641.5334151944.1211686.7121423.7-7403.11-17415.31.581.250.0191018.87
atrnil29.47-1576.3734132138.2418564.1138597.44-11567.13-18984.111.60.99-0.00062-46.36
atrnil313.32-31461.173492526.4727676.2857896.15-11221.91-18984.112.470.89-0.01-925.33

In the table above, row 1 shows the best exit criterion. Profit factor is 4.36. Strategy is very good and impressively bearish. Percentage of profitable trades is 68.75%, which is good. Average return per trade is 1.9%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.099, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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