Study: Buy BEML when RSI is below 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy BEML when RSI is below 50 and there is Bullish Crossover in MACD" 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
111077384453953.575422.7740167.36-3416.71-15216.61.591.830.0381318.73
221213784434151.1910169.0965714.29-5491.07-23662.181.851.940.0412525.44
317889184483657.1410221.4667142.86-8659.42-40565.371.181.570.032129.65
422877684453953.5713182.6763571.43-9344.72-33780.921.411.630.0362723.53
519691684414348.8115288.9468428.57-9998.38-32084.811.531.460.0282344.24
61658728442425015403.8962857.14-11454.54-31357.051.341.340.0231974.67
715839684463854.7615190.0365868.26-14219.61-46643.111.071.290.021885.67
813443684414348.8115990.3466736.4-12120.18-51024.731.321.260.0171600.43
912391884404447.6217430.1263179.92-13029.24-51731.451.341.220.0161475.22
1011611784444052.3817141.8868410.04-15953.13-51448.761.071.180.0131382.35

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 1.94. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 51.19%, which is not acceptable. Avoid this strategy. Average return per trade is 1.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.041, which is low, don't trade solely on the basis of this study.

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
atrnil27.7248940190444648.8921893.1741657.53-10302.14-21499.642.132.030.0655437.79
nilnil-1221213784434151.1910169.0965714.29-5491.07-23662.181.851.940.0412525.44
atrnil311.5746945288325636.3633025.2662486.29-10488.5-21499.643.151.80.0495334.69
atrtrail24.8823316391405143.9615579.5637185.93-7647.43-18450.92.041.60.0392562.24
atrtrail-16.1118839390395143.3314831.0758667.87-7647.43-18450.91.941.480.0292093.25
atrtrail35.617257890395143.3314425.5647278.91-7647.43-18450.91.891.440.0281917.53

In the table above, row 1 shows the best exit criterion. Profit factor is 2.03. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 48.89%, which is not acceptable. Avoid this strategy. Average return per trade is 2.72%, which is very good. Sharpe Ratio is 0.065, 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:2.03

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019121 Feb 2019 (7.32%)
2018626 Feb 2018 (9.13%), 12 Jun 2018 (-5.23%), 03 Jul 2018 (-4.28%), 26 Jul 2018 (8.05%), 29 Aug 2018 (-3.41%), 15 Oct 2018 (-5.95%)
2017405 Jun 2017 (7.78%), 12 Oct 2017 (-3.96%), 27 Nov 2017 (-3.2%), 20 Dec 2017 (-3.62%)
2016623 Feb 2016 (-5.51%), 27 Apr 2016 (-3.74%), 10 May 2016 (-3.52%), 30 May 2016 (-3.43%), 06 Oct 2016 (-3.23%), 30 Nov 2016 (7.38%)
2015219 May 2015 (11.22%), 21 Sep 2015 (-5.19%)
2014111 Feb 2014 (10.14%)
2013503 Jan 2013 (-2.54%), 25 Feb 2013 (-2.9%), 26 Feb 2013 (-3.34%), 03 Apr 2013 (-6.08%), 02 Jul 2013 (8.97%)
2012404 Jan 2012 (8.0%), 09 May 2012 (-3.89%), 19 Jun 2012 (9.11%), 29 Nov 2012 (5.59%)
2011521 Feb 2011 (-5.84%), 30 May 2011 (-3.37%), 27 Jun 2011 (-3.79%), 26 Aug 2011 (9.1%), 07 Oct 2011 (10.06%)
2010510 Mar 2010 (-3.56%), 18 Mar 2010 (6.37%), 30 Apr 2010 (-2.62%), 19 May 2010 (6.67%), 14 Dec 2010 (-3.44%)
2009110 Nov 2009 (8.98%)
2008708 Feb 2008 (-8.71%), 20 Feb 2008 (-8.07%), 27 Feb 2008 (-7.11%), 28 Mar 2008 (17.35%), 21 Jul 2008 (15.19%), 31 Oct 2008 (-10.52%), 04 Dec 2008 (18.59%)
2007320 Mar 2007 (-5.64%), 27 Apr 2007 (7.43%), 30 Aug 2007 (9.35%)
2006321 Jun 2006 (-10.75%), 31 Jul 2006 (14.04%), 26 Sep 2006 (6.57%)
2004512 Feb 2004 (-6.5%), 04 Mar 2004 (11.32%), 30 Mar 2004 (11.71%), 27 May 2004 (-9.09%), 04 Jun 2004 (18.2%)
2003322 Mar 2003 (-4.88%), 24 Mar 2003 (-5.28%), 02 Apr 2003 (9.82%)
2002412 Aug 2002 (-9.22%), 04 Sep 2002 (-6.38%), 04 Oct 2002 (15.76%), 27 Nov 2002 (12.3%)
2001628 Mar 2001 (-8.25%), 03 Jul 2001 (-3.68%), 17 Jul 2001 (-3.36%), 09 Aug 2001 (7.86%), 10 Aug 2001 (9.35%), 25 Sep 2001 (15.06%)
2000421 Mar 2000 (20.83%), 25 May 2000 (14.01%), 06 Sep 2000 (10.59%), 19 Oct 2000 (-4.84%)
1999205 May 1999 (13.63%), 07 Oct 1999 (13.01%)
1998319 Feb 1998 (11.64%), 25 May 1998 (-6.3%), 03 Jul 1998 (16.88%)
1997509 Sep 1997 (-4.98%), 26 Sep 1997 (-4.19%), 20 Oct 1997 (-4.34%), 20 Nov 1997 (-5.15%), 12 Dec 1997 (11.53%)
1996411 Apr 1996 (12.19%), 22 Oct 1996 (9.59%), 11 Nov 1996 (-4.11%), 11 Dec 1996 (7.56%)
1995117 Jul 1995 (6.42%)



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