Study: Buy BEML when above 200 SMA and RSI is oversold

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In this study, we evaluate the performance of strategy "Buy BEML when above 200 SMA and RSI is oversold" 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
1447.741266507975.799990.3-7901.17-15316.491.011.010.0008937.31
236120.1212665011037.420484.97-5017.38-8542.642.22.20.073010.01
354816.97127558.3312670.0631503.39-6774.69-15099.31.872.620.0784568.08
458912.912665014644.8543064.99-4826.03-9437.393.033.030.0754909.41
5106422127558.3318721.9647604.27-4926.32-13374.753.85.320.118868.51
6105429128466.6715476.5137613.97-4595.65-5522.273.376.740.138785.79
780767.44127558.3316269.5754005.82-6623.91-20578.282.463.440.0776730.62
887140.4912665020432.9557032.01-5909.53-12867.933.463.460.087261.71
960196.9712665018504.3351522.79-8471.51-12334.252.182.180.0575016.41
1068146.912665020760.1240601.36-9402.3-14099.012.212.210.0675678.91
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
BEML Performance, X=6, Profit Factor:6.74

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019106 May 2019 (-2.56%)
2017123 May 2017 (2.44%)
2015124 Aug 2015 (2.19%)
2014126 Aug 2014 (18.81%)
2012130 Apr 2012 (-2.65%)
2009128 Oct 2009 (4.7%)
2008128 Jan 2008 (-1.22%)
2006122 May 2006 (4.79%)
2004121 Jan 2004 (-2.76%)
2002130 Jul 2002 (14.68%)
1999121 Sep 1999 (1.63%)
1997115 Jul 1997 (12.68%)

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
atrtrail34.1214794.071761135.2922330.8542583.82-10835.55-18779.562.061.120.01870.24
atrtrail-15.184184.371761135.2920562.5643564.94-10835.55-18779.561.91.040.003246.14
atrtrail23.413479.631761135.2920445.1131345.2-10835.55-18779.561.891.030.0026204.68
atrnil24.19-23735.41651131.2522827.4231345.2-12533.86-25864.761.820.83-0.018-1483.46
atrnil36.25-29357.25164122531046.9642583.82-12795.43-25864.762.430.81-0.019-1834.83

In the table above, row 1 shows the best exit criterion. Profit factor is 1.12. 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 35.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.44%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.01, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BEML Performance, Profit Factor:1.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019206 May 2019 (-3.21%), 08 May 2019 (-1.88%)
2017223 May 2017 (-3.59%), 24 May 2017 (3.02%)
2015124 Aug 2015 (-5.34%)
2014126 Aug 2014 (21.29%)
2012130 Apr 2012 (-4.26%)
2009228 Oct 2009 (-4.37%), 29 Oct 2009 (14.35%)
2008128 Jan 2008 (-9.39%)
2006122 May 2006 (-9.08%)
2004221 Jan 2004 (-6.62%), 22 Jan 2004 (9.65%)
2002130 Jul 2002 (4.27%)
1999221 Sep 1999 (-5.11%), 24 Sep 1999 (-6.74%)
1997115 Jul 1997 (14.42%)



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