Study: Sell BEML when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell BEML when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)" 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
124176.3148657.146349.0814918.41-4436.05-11594.21.431.910.0531726.88
225452.27149564.297386.1216317.02-8204.56-20483.090.91.620.0381818.02
322279.66148657.148331.4318181.82-7395.3-23510.471.131.50.0331591.4
469436.4149564.2912413.723992.59-8457.38-18679.551.472.640.0844959.74
560680.44148657.1414711.0726715.59-9501.35-21964.571.552.060.0634334.32
670621.85148657.1414008.8834891.46-6908.21-11023.622.032.70.0795044.42
747146.6514775014363.8533615.69-7628.62-15223.11.881.880.0513367.62
868298.17149564.2913811.7329075.07-11201.49-21204.271.232.220.0724878.44
986166.321410471.4315012.8636328.5-15990.57-29584.190.942.350.0756154.74
10100446149564.2918595.2268727.86-13382.26-27193.821.392.50.0697174.69

From the table above, we see that best results are achieved by holding positions for 6 trading days. Profit factor is 2.7. 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 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 2.52%, which is very good. Sharpe Ratio is 0.079, 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=6, Profit Factor:2.7

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018129 Jan 2018 (17.45%)
2016205 Oct 2016 (-2.64%), 03 Nov 2016 (0.43%)
2015107 Dec 2015 (0.87%)
2012107 Jun 2012 (8.57%)
2011105 Jan 2011 (5.22%)
2010123 Apr 2010 (-0.49%)
2008113 Mar 2008 (6.72%)
2007116 May 2007 (-4.08%)
2004103 May 2004 (-5.09%)
2003120 Mar 2003 (5.83%)
2001114 May 2001 (-5.51%)
2000106 Mar 2000 (10.96%)
1997122 Sep 1997 (-2.91%)

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-1670621.85148657.1414008.8834891.46-6908.21-11023.622.032.70.0795044.42
atrnil25.6-9419.881551033.3317692.6230995.54-9788.3-19821.051.810.9-0.0092-627.99
atrtrail23.4-7999.831569408969.8918885.42-6868.8-12329.651.310.87-0.012-533.32
atrtrail-14.53-10091.861569408621.2225998.52-6868.8-12329.651.260.84-0.014-672.79
atrnil39.87-27179.41541126.6721550.3428328.12-10307.34-19821.052.090.76-0.025-1811.96
atrtrail34.13-18307.21569407251.9917783.18-6868.8-12329.651.060.7-0.03-1220.48

In the table above, row 1 shows the best exit criterion. Profit factor is 2.7. 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 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 2.52%, which is very good. Sharpe Ratio is 0.079, 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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