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

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In this study, we evaluate the performance of strategy "Buy BEML when near 200 SMA and above 200 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
1-50380.212481633.333603.2711940.3-4950.4-15737.70.730.36-0.077-2099.18
2-99120.62471729.176159.4126865.67-8366.85-27540.980.740.3-0.085-4130.02
3-1167302481633.333981.119452.74-9286.19-26229.510.430.21-0.12-4863.76
4-1554262471729.174962.0812536.02-11185.91-33770.490.440.18-0.14-6476.08
5-1382692491537.55759.520028.82-12673.61-46557.380.450.27-0.081-5761.19
6-1572542491537.56928.9327521.61-14640.98-57049.180.470.28-0.081-6552.26
7-11403624111345.836007.4523880.6-13855.25-45573.770.430.37-0.064-4751.51
8-83354.07241212508213.9841791.04-15160.15-51167.330.540.54-0.04-3473.09
9-62516.562491537.515792.7849253.73-13643.44-64252.111.160.69-0.025-2604.86
10-41864.572412125013056.6450746.27-16545.36-45521.530.790.79-0.017-1744.36
Although, strategy looks good but profit factor on day 4 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
atrnil36.28-54499.78256192427559.4139155.98-11571.38-18992.112.380.75-0.026-2179.99
200trail31.53-45352.843853313.169356.0810770.17-2791.92-3806.763.350.51-0.059-1193.5
200nil31.59-46318.153753213.519356.0810770.17-2909.33-3806.763.220.5-0.061-1251.84
atrnil25.6-109619256192418372.9426103.99-11571.38-18992.111.590.5-0.067-4384.74
atrtrail34.59-1118762962320.6918726.830478.01-9749.41-18992.111.920.5-0.061-3857.78
atrtrail-15.14-1189742862221.4316532.1334361.37-9916.68-18992.111.670.45-0.067-4249.08
atrtrail24.34-1312972962320.6915489.9526103.99-9749.41-18992.111.590.41-0.081-4527.47
200trail21.39-60946.313853313.166237.397180.12-2791.92-3806.762.230.34-0.11-1603.85
200nil21.46-61911.613753213.516237.397180.12-2909.33-3806.762.140.33-0.11-1673.29
200trail-11.92-60786.833743310.817512.3518256.48-2752.61-3806.762.730.33-0.087-1642.89

In the table above, row 1 shows the best exit criterion. Profit factor is 0.75. 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 24%, which is not acceptable. Avoid this strategy. Average return per trade is -1.09%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BEML Performance, Profit Factor:0.752

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018108 Jan 2018 (-3.25%)
2016214 Jan 2016 (-3.86%), 08 Aug 2016 (-3.01%)
2013111 Nov 2013 (15.24%)
2012130 Apr 2012 (-4.26%)
2010311 Mar 2010 (10.73%), 15 Apr 2010 (-3.03%), 24 Nov 2010 (-3.76%)
2008229 Jan 2008 (-9.5%), 05 Feb 2008 (-9.28%)
2007305 Mar 2007 (-6.42%), 03 Apr 2007 (-5.6%), 22 May 2007 (9.68%)
2006101 Jun 2006 (-8.93%)
2003116 Apr 2003 (15.91%)
2002118 Oct 2002 (-8.22%)
2001127 Nov 2001 (-4.81%)
2000307 Apr 2000 (-6.89%), 27 Nov 2000 (-4.95%), 19 Dec 2000 (19.58%)
1999218 Mar 1999 (-8.05%), 24 Mar 1999 (-7.87%)
1997125 Aug 1997 (-3.92%)
1996226 Nov 1996 (-4.31%), 09 Dec 1996 (11.55%)



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