Study: Buy BEML when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy BEML when 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
1-21051.82462323504670.8917238.44-5586.19-25360.580.840.84-0.013-457.65
232054.4246212545.659069.2134544.24-6335.96-37860.581.431.20.013696.84
316360.3946242252.179597.7931503.39-9726.66-30408.650.991.080.0056355.66
4-24573.5346222447.8312262.5749175.6-12264.59-40387.2110.92-0.0065-534.21
5-10816.724623235014858.2752634.05-15328.56-44030.180.970.97-0.0025-235.15
6-364.2246222447.8316773.3945676.94-15390.78-50287.911.091-8e-05-7.92
7-10223.8346222447.8319469.6384303.03-18273.15-40932.091.070.98-0.0019-222.26
89929.3846202643.4822759.7581909.09-17125.6-51167.331.331.020.0018215.86
92922.9446212545.6521103.5880545.45-17610.09-64252.111.21.010.0005263.54
1040997.346222447.8321929.8479909.09-18394.13-52591.171.191.090.0073891.25
Although, strategy looks good but profit factor on day 1 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
atrnil35.15-16601.097218542532099.6450292.71-11007.31-22154.792.920.97-0.0025-230.57
atrtrail33.95-34833.4276215527.6322874.9643555.64-9367.41-22154.792.440.93-0.0057-458.33
atrnil23.72-44656.7872234931.9421495.7833528.47-11001.22-22154.791.950.92-0.0081-620.23
atrtrail23.33-10178976215527.6319686.6331345.2-9367.41-22154.792.10.8-0.02-1339.32
atrtrail-14.54-13189376215527.6318253.143564.94-9367.41-22154.791.950.74-0.025-1735.43

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. 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 25%, which is not acceptable. Avoid this strategy. Average return per trade is -0.12%, 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:0.972

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019525 Jan 2019 (-3.44%), 22 Apr 2019 (-3.08%), 23 Apr 2019 (-3.29%), 30 Apr 2019 (-3.25%), 07 May 2019 (-3.29%)
20171009 May 2017 (-2.39%), 19 May 2017 (-2.97%), 22 May 2017 (-3.16%), 23 May 2017 (-3.59%), 24 May 2017 (12.03%), 10 Aug 2017 (12.53%), 25 Sep 2017 (-4.11%), 29 Sep 2017 (13.6%), 16 Nov 2017 (-3.55%), 05 Dec 2017 (-3.31%)
2015527 Apr 2015 (-5.83%), 07 May 2015 (21.78%), 17 Aug 2015 (-4.21%), 24 Aug 2015 (-5.34%), 29 Oct 2015 (-3.45%)
2014627 Jan 2014 (-4.86%), 03 Feb 2014 (14.79%), 08 Aug 2014 (-7.77%), 13 Aug 2014 (-7.97%), 26 Aug 2014 (21.29%), 16 Dec 2014 (18.31%)
2012428 Mar 2012 (-4.03%), 29 Mar 2012 (-4.14%), 10 Apr 2012 (-4.89%), 20 Apr 2012 (-4.75%)
2010127 Jan 2010 (-4.83%)
2009426 Oct 2009 (-3.47%), 27 Oct 2009 (-3.96%), 28 Oct 2009 (-4.37%), 29 Oct 2009 (14.35%)
2008221 Jan 2008 (-6.94%), 29 Jan 2008 (-9.5%)
2007305 Mar 2007 (-6.42%), 17 Aug 2007 (12.95%), 19 Dec 2007 (16.66%)
2006631 Mar 2006 (-5.97%), 03 Apr 2006 (-7.47%), 15 May 2006 (-6.87%), 16 May 2006 (-7.3%), 22 May 2006 (-9.08%), 01 Jun 2006 (-8.93%)
2005424 Jan 2005 (18.23%), 23 Mar 2005 (-3.85%), 08 Jun 2005 (-4.02%), 28 Oct 2005 (17.02%)
2004416 Jan 2004 (-5.26%), 21 Jan 2004 (-6.62%), 22 Jan 2004 (-7.84%), 26 Feb 2004 (20.26%)
2003221 Jul 2003 (-5.17%), 01 Aug 2003 (13.61%)
2002326 Jul 2002 (-8.84%), 29 Jul 2002 (-11.08%), 29 Aug 2002 (-6.59%)
2001202 Mar 2001 (-8.77%), 09 Mar 2001 (-9.52%)
1999510 Aug 1999 (25.15%), 15 Sep 1999 (-5.64%), 20 Sep 1999 (-6.36%), 21 Sep 1999 (-6.94%), 03 Dec 1999 (-5.92%)
1997431 Mar 1997 (11.43%), 04 Jul 1997 (-4.4%), 14 Jul 1997 (13.98%), 25 Aug 1997 (-3.92%)
1996220 Aug 1996 (10.94%), 26 Sep 1996 (-4.67%)



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