Study: Buy BEML when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy BEML when below 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
1-7837.36116516543.976089.0941767.07-4898.17-14285.711.240.98-0.0018-67.56
2-62608.17116536345.697669.4740628.07-7445.88-34736.41.030.87-0.011-539.73
312601.28116536345.6911010.4562021.59-9062.74-32135.311.211.020.0016108.63
4-29916.94116437337.0715201.5771246.32-9364.17-36265.221.620.96-0.0032-257.9
549950.54116496742.2416731.279784.1-11490.72-42298.831.461.060.0045430.61
6-30261.97116496742.2417348.8783977.9-13139.65-56163.291.320.97-0.0025-260.88
7-139457116506643.116050.0280952.38-14272.09-52590.671.120.85-0.011-1202.21
8-251615116486841.3816843.469857.18-15589.67-55870.661.080.76-0.02-2169.09
9-327715116486841.3817280.0775891.42-17017.04-70822.751.020.72-0.025-2825.13
10-464019116476940.5217969.8272637.85-18965.23-69861.950.950.65-0.034-4000.17
Although, strategy looks good but profit factor on day 2 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
atrnil37.65-1946392134416920.6637756.4779386.7-10981.8-22868.563.440.9-0.0089-913.8
atrnil25.27-3333072216016127.1523877.6552924.47-10968.73-22868.562.180.81-0.019-1508.18
atrtrail24.09-3180052396817128.4517494.0352924.47-8816.37-20554.811.980.79-0.019-1330.57
atrtrail34.59-3976072396817128.4516323.4179386.7-8816.37-20554.811.850.74-0.023-1663.63
atrtrail-14.94-4212922396817128.4515975.1162826.97-8816.37-20554.811.810.72-0.025-1762.73

In the table above, row 1 shows the best exit criterion. Profit factor is 0.9. 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 20.66%, which is not acceptable. Avoid this strategy. Average return per trade is -0.46%, 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:0.895

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019428 Jan 2019 (-3.66%), 29 Jan 2019 (-3.88%), 05 Feb 2019 (-4.09%), 13 May 2019 (11.12%)
20181925 Jan 2018 (-2.94%), 02 Feb 2018 (-4.39%), 06 Feb 2018 (16.16%), 08 Mar 2018 (-6.34%), 16 Mar 2018 (-5.86%), 03 May 2018 (10.83%), 21 May 2018 (-6.26%), 01 Jun 2018 (-5.64%), 28 Jun 2018 (-4.54%), 16 Jul 2018 (-4.18%), 05 Sep 2018 (-4.05%), 12 Sep 2018 (-3.82%), 21 Sep 2018 (-4.21%), 24 Sep 2018 (-4.61%), 25 Sep 2018 (-5.03%), 28 Sep 2018 (-5.54%), 01 Oct 2018 (-5.86%), 08 Oct 2018 (-6.62%), 26 Oct 2018 (18.68%)
2017106 Dec 2017 (-3.46%)
20161418 Jan 2016 (-4.72%), 29 Jan 2016 (-4.59%), 03 Feb 2016 (-4.62%), 11 Feb 2016 (-4.92%), 05 Apr 2016 (-4.22%), 06 Apr 2016 (-4.52%), 08 Apr 2016 (-4.64%), 23 May 2016 (-3.42%), 24 May 2016 (-3.61%), 15 Sep 2016 (-4.16%), 29 Sep 2016 (-3.72%), 15 Nov 2016 (-3.83%), 17 Nov 2016 (-4.27%), 22 Nov 2016 (13.58%)
2015302 Nov 2015 (-3.72%), 17 Nov 2015 (-3.97%), 18 Nov 2015 (12.94%)
20131923 Jan 2013 (-2.13%), 24 Jan 2013 (-2.2%), 04 Feb 2013 (-2.26%), 11 Feb 2013 (-2.51%), 14 Feb 2013 (-2.54%), 15 Feb 2013 (-2.71%), 28 Feb 2013 (-4.06%), 04 Mar 2013 (-4.33%), 13 Mar 2013 (-4.18%), 15 Mar 2013 (-4.54%), 18 Mar 2013 (-4.72%), 20 Mar 2013 (-5.41%), 21 Mar 2013 (-5.86%), 25 Mar 2013 (19.47%), 13 Jun 2013 (14.74%), 29 Jul 2013 (-4.64%), 31 Jul 2013 (-5.03%), 02 Aug 2013 (-5.56%), 19 Aug 2013 (21.82%)
20121627 Apr 2012 (-4.6%), 14 May 2012 (-4.04%), 18 May 2012 (-4.93%), 29 May 2012 (-5.09%), 01 Jun 2012 (-5.25%), 08 Jun 2012 (-5.14%), 17 Jul 2012 (-3.34%), 23 Jul 2012 (-3.16%), 25 Jul 2012 (-3.31%), 26 Jul 2012 (-3.85%), 09 Aug 2012 (-3.75%), 10 Aug 2012 (-4.02%), 24 Aug 2012 (11.41%), 29 Oct 2012 (-3.08%), 30 Oct 2012 (-3.32%), 12 Nov 2012 (9.72%)
20112611 Jan 2011 (-2.86%), 18 Jan 2011 (-3.06%), 27 Jan 2011 (-3.04%), 28 Jan 2011 (-3.2%), 31 Jan 2011 (-3.29%), 01 Feb 2011 (-3.73%), 03 Feb 2011 (-3.94%), 07 Feb 2011 (-4.54%), 08 Feb 2011 (-5.98%), 09 Feb 2011 (23.17%), 02 May 2011 (-3.54%), 16 May 2011 (-3.46%), 23 May 2011 (-3.33%), 25 May 2011 (-3.37%), 06 Jun 2011 (-3.78%), 20 Jun 2011 (-3.32%), 22 Jun 2011 (11.08%), 28 Jul 2011 (-3.24%), 03 Aug 2011 (-3.49%), 05 Aug 2011 (-3.91%), 08 Aug 2011 (-3.99%), 16 Aug 2011 (-4.37%), 17 Aug 2011 (-4.63%), 19 Aug 2011 (15.12%), 22 Nov 2011 (-4.28%), 23 Nov 2011 (14.55%)
2010625 Feb 2010 (14.4%), 05 May 2010 (-2.72%), 07 May 2010 (-2.85%), 27 May 2010 (10.12%), 25 Nov 2010 (-4.0%), 26 Nov 2010 (-4.61%)
20082030 Jan 2008 (-9.6%), 31 Jan 2008 (-11.09%), 22 Feb 2008 (-8.3%), 17 Mar 2008 (-7.71%), 19 Mar 2008 (-8.75%), 23 Jun 2008 (-5.55%), 26 Jun 2008 (-6.54%), 30 Jun 2008 (-7.49%), 01 Jul 2008 (-8.34%), 16 Jul 2008 (25.13%), 06 Oct 2008 (-7.62%), 08 Oct 2008 (-8.08%), 10 Oct 2008 (-9.28%), 17 Oct 2008 (-9.9%), 24 Oct 2008 (-9.2%), 11 Nov 2008 (-8.93%), 17 Nov 2008 (-9.37%), 20 Nov 2008 (-9.8%), 24 Nov 2008 (-10.28%), 25 Nov 2008 (34.6%)
2007212 Apr 2007 (-4.45%), 19 Apr 2007 (13.43%)
2006806 Jun 2006 (-8.89%), 08 Jun 2006 (-11.43%), 14 Jun 2006 (39.69%), 21 Jul 2006 (-7.72%), 11 Sep 2006 (12.13%), 16 Nov 2006 (-4.21%), 17 Nov 2006 (-4.5%), 12 Dec 2006 (13.61%)
2004303 May 2004 (-6.16%), 14 May 2004 (-9.38%), 17 May 2004 (37.92%)
2003414 Feb 2003 (-5.82%), 10 Mar 2003 (-5.7%), 11 Mar 2003 (-5.85%), 31 Mar 2003 (15.66%)
2002309 Sep 2002 (-8.71%), 23 Sep 2002 (-9.03%), 30 Sep 2002 (26.06%)
20011112 Mar 2001 (-10.21%), 12 Apr 2001 (-7.2%), 06 Jul 2001 (-3.88%), 20 Jul 2001 (-3.45%), 25 Jul 2001 (-3.58%), 26 Jul 2001 (-3.92%), 07 Sep 2001 (-4.51%), 14 Sep 2001 (-5.05%), 17 Sep 2001 (-6.17%), 21 Sep 2001 (23.69%), 21 Dec 2001 (19.98%)
20001217 Feb 2000 (-7.42%), 21 Feb 2000 (-7.54%), 22 Feb 2000 (-8.0%), 03 Mar 2000 (-9.23%), 07 Mar 2000 (32.1%), 02 May 2000 (-10.83%), 09 Aug 2000 (-5.53%), 16 Aug 2000 (-5.27%), 18 Aug 2000 (-5.71%), 29 Aug 2000 (17.82%), 27 Sep 2000 (-6.83%), 10 Oct 2000 (19.22%)
1999528 Jan 1999 (-7.5%), 01 Feb 1999 (-8.06%), 10 Mar 1999 (32.5%), 20 Apr 1999 (28.86%), 13 Dec 1999 (-5.79%)
19982215 Jan 1998 (-6.02%), 27 Jan 1998 (-6.48%), 28 Jan 1998 (-7.3%), 06 Feb 1998 (22.45%), 24 Apr 1998 (-8.66%), 28 Apr 1998 (-9.36%), 08 Jun 1998 (-7.84%), 15 Jun 1998 (-8.21%), 16 Jun 1998 (-8.67%), 19 Jun 1998 (-9.59%), 22 Jun 1998 (-10.63%), 21 Jul 1998 (-7.82%), 24 Jul 1998 (-7.8%), 06 Aug 1998 (-7.02%), 18 Aug 1998 (18.44%), 22 Sep 1998 (13.97%), 13 Oct 1998 (18.36%), 10 Nov 1998 (-5.45%), 16 Nov 1998 (-5.74%), 26 Nov 1998 (-5.74%), 07 Dec 1998 (-4.98%), 09 Dec 1998 (16.8%)
19971128 Aug 1997 (-3.98%), 01 Sep 1997 (-4.31%), 02 Sep 1997 (15.67%), 14 Oct 1997 (-4.73%), 28 Oct 1997 (-4.65%), 29 Oct 1997 (-4.95%), 06 Nov 1997 (-4.76%), 07 Nov 1997 (-5.29%), 11 Nov 1997 (16.68%), 05 Dec 1997 (-6.22%), 15 Dec 1997 (17.33%)
1996428 May 1996 (17.51%), 08 Oct 1996 (19.6%), 19 Nov 1996 (-4.37%), 05 Dec 1996 (12.51%)



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