Study: Buy BEML when RSI is above 50 and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy BEML when RSI is above 50 and there is Golden 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: 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
144269.551596607274.1831132.08-3533.01-5178.792.063.090.0692951.3
270103.571510566.6710497.9538207.55-6975.19-20715.171.513.010.0764673.57
390473.841510566.6713074.0452830.19-8053.31-19975.341.623.250.0816031.59
463263.29157846.6717589.680660.38-7482.99-19235.512.352.060.0394217.55
566209.1315966014357.9469811.32-10502.06-32799.011.372.050.0434413.94
61017431510566.6716132.1255660.38-11915.73-27866.831.352.710.0716782.84
71706561511473.3320537.5755188.68-13814.38-29593.091.494.090.09911377.05
81352441510566.6720226.2552830.19-13403.67-28606.661.513.020.0819016.28
91664861510566.6722259.8850550.18-11222.64-27866.831.983.970.111099.04
1015844415966022160.3245055.02-6833.13-14056.723.244.860.1210562.94

From the table above, we see that best results are achieved by holding positions for 10 trading days. Profit factor is 4.86. Strategy is very good and impressively bullish. Percentage of profitable trades is 60%, which is not acceptable. Avoid this strategy. Average return per trade is 5.28%, which is very good.
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=10, Profit Factor:4.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017116 Jan 2017 (-0.74%)
2016120 Oct 2016 (-5.21%)
2013128 Nov 2013 (13.65%)
2012127 Feb 2012 (7.13%)
2010120 Sep 2010 (-1.47%)
2009127 May 2009 (22.53%)
2007206 Feb 2007 (3.2%), 25 Jun 2007 (9.79%)
2004121 Sep 2004 (4.92%)
2003221 Jan 2003 (-2.16%), 26 May 2003 (-3.89%)
2002114 Jan 2002 (22.41%)
2001111 Jan 2001 (15.06%)
1999113 Jul 1999 (-7.03%)
1996104 Jul 1996 (1.05%)

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-11015844415966022160.3245055.02-6833.13-14056.723.244.860.1210562.94
atrtrail34.18110922178947.0621491.439980.46-6778.79-11224.573.172.820.0776524.83
atrtrail-14.9482632.3416885016616.9236276.53-6287.88-11224.572.642.640.0725164.52
atrtrail23.4780729.75178947.0617717.3526653.64-6778.79-11224.572.612.320.0734748.81
atrnil24.9477590.98178947.0619536.5626653.64-8744.61-11224.572.231.990.0654564.18
atrnil36.3589835.461761135.2930835.439980.46-8652.45-11224.573.561.940.0575284.44

In the table above, row 1 shows the best exit criterion. Profit factor is 4.86. Strategy is very good and impressively bullish. Percentage of profitable trades is 60%, which is not acceptable. Avoid this strategy. Average return per trade is 5.28%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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