Study: Buy BEML when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy BEML when RSI is above 50 and there is Bullish 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: 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
110373952302257.696380.4231132.08-3985.16-11818.181.62.180.0541994.98
21296125226265010933.4139224.84-5948.35-18849.81.841.840.0422492.53
322160252302257.6913758.6183000-8688.9-27272.731.582.160.0474261.58
42658815226265018710.480660.38-8484.22-31515.152.212.210.0525113.09
519087452252748.0817199.4378333.33-8855.97-28787.881.941.80.0383670.66
610803752252748.0816867.364914.59-11616.49-42121.211.451.340.0222077.64
713959752252748.0818809.0969333.33-12245.58-54242.421.541.420.0262684.55
82060055226265020484.24123333-12560.97-46363.641.631.630.0323961.63
922794052252748.0823380.54157667-13206.44-51212.121.771.640.0314383.45
1019683652232944.2325163.3132000-13169.65-61818.181.911.520.0283785.31

From the table above, we see that best results are achieved by holding positions for 4 trading days. Profit factor is 2.21. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 2.56%, which is very good. Sharpe Ratio is 0.052, 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=4, Profit Factor:2.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 May 2019 (6.52%)
2018227 Jul 2018 (10.92%), 14 Dec 2018 (16.52%)
2017410 Feb 2017 (-1.79%), 26 Apr 2017 (-3.77%), 25 Jul 2017 (4.68%), 17 Aug 2017 (-2.95%)
2016222 Feb 2016 (-8.44%), 29 Aug 2016 (1.92%)
2015418 Feb 2015 (-0.44%), 04 Mar 2015 (-2.28%), 06 Jul 2015 (0.23%), 27 Nov 2015 (-4.25%)
2014314 May 2014 (24.61%), 02 Sep 2014 (5.75%), 04 Dec 2014 (-3.67%)
2013423 Aug 2013 (-4.45%), 30 Oct 2013 (4.6%), 03 Dec 2013 (10.75%), 24 Dec 2013 (-1.99%)
2010203 Sep 2010 (6.34%), 06 Oct 2010 (-2.83%)
2009318 May 2009 (20.91%), 05 Jun 2009 (-0.55%), 29 Jun 2009 (-2.96%)
2007408 Feb 2007 (-11.74%), 04 Jul 2007 (-0.17%), 25 Oct 2007 (3.68%), 14 Nov 2007 (2.73%)
2006313 Feb 2006 (-2.95%), 02 Mar 2006 (2.82%), 27 Apr 2006 (-8.27%)
2005301 Feb 2005 (3.04%), 13 May 2005 (0.24%), 20 Sep 2005 (-1.88%)
2004227 Aug 2004 (1.98%), 02 Nov 2004 (7.09%)
2003230 Jun 2003 (-2.8%), 03 Nov 2003 (2.25%)
2002514 Jan 2002 (40.33%), 04 Feb 2002 (34.33%), 04 Apr 2002 (3.56%), 02 Jul 2002 (-7.39%), 07 Oct 2002 (5.31%)
2001401 Jan 2001 (-2.06%), 19 Jan 2001 (-0.78%), 22 Feb 2001 (-15.76%), 05 Dec 2001 (10.96%)
1999108 Oct 1999 (11.15%)
1997109 May 1997 (-6.71%)
1995215 Sep 1995 (-7.96%), 08 Dec 1995 (-1.45%)

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-142658815226265018710.480660.38-8484.22-31515.152.212.210.0525113.09
atrtrail-14.6874195.6360253541.6714172.9964154.37-8003.69-14542.531.771.260.0171236.59
atrtrail34.1655656.7561253640.9813859.6746170.76-8078.75-14542.531.721.190.014912.41
atrtrail23.7147182.4463263741.2713302.4130780.51-8072.44-14542.531.651.160.013748.93
atrnil24.74-33451.2762204232.2619384.5530780.51-10027.2-15028.771.930.92-0.0079-539.54
atrnil36.08-10555260134721.6728465.4146170.76-10119.2-15028.772.810.78-0.022-1759.2

In the table above, row 1 shows the best exit criterion. Profit factor is 2.21. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 2.56%, which is very good. Sharpe Ratio is 0.052, 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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