Study: Sell BHEL when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell BHEL when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell BHEL 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. buy 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
1-12471.7655272849.093660.948657.31-3975.61-25694.90.920.89-0.0087-226.76
228287.7255292652.736015.9919269.8-5622.15-29152.951.071.190.014514.32
329862.0455302554.557610.4827184.79-7938.09-23548.170.961.150.011542.95
429749.9455312456.367398.9232589.13-8317.36-39759.880.891.150.0099540.91
585216.1855292652.739395.2243988.63-7201.74-34873.661.31.460.0271549.39
694525.1655302554.5510788.4143740.3-9165.08-27586.211.181.410.0261718.64
713056.5555253045.4512042.7643797.73-9600.41-34315.231.251.050.0033237.39
89807.9955272849.0912073.0146439.63-11291.55-36154.581.071.030.0023178.33
9-1712.1255262947.2713714.3858699.69-12354.69-42031.31.111-0.00036-31.13
10-77683.8755302554.5511441.9454695.56-16837.69-41903.550.680.82-0.016-1412.43
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
atrnil39.2944879.0852143826.9224419.5237100.6-7815.64-20006.733.121.150.012863.06
atrtrail-15.5824152.4962263641.948444.8345383.02-5428.14-16798.511.561.120.0078389.56
atrnil26.4329117.1156203635.7115572.6724733.73-7842.68-20006.731.991.10.009519.95
atrtrail24.7118780.7362263641.948238.2324041.9-5428.14-16798.511.521.10.0072302.92
atrtrail35.163502.362263641.947650.636062.85-5428.14-16798.511.411.020.001356.49
200nil32.15-6559.9479196024.05858411939.32-2827.6-3981.783.040.96-0.0034-83.04
200trail31.77-11076.7683226126.516781.5511939.32-2627.39-3981.782.580.93-0.006-133.45
200trail-12.43-12306.3481216025.936881.0538511.9-2613.47-3981.782.630.92-0.0048-151.93
200nil21.62-24925.3481245729.635693.997959.55-2834.76-3981.782.010.85-0.016-307.72
200trail21.52-40145.5684236127.385232.77959.55-2631.11-3981.781.990.75-0.027-477.92

In the table above, row 1 shows the best exit criterion. Profit factor is 1.15. 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 26.92%, which is not acceptable. Avoid this strategy. Average return per trade is 0.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, 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.
BHEL Performance, Profit Factor:1.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019111 Jun 2019 (-4.1%)
2018401 Jan 2018 (-2.45%), 07 Feb 2018 (-4.53%), 19 Feb 2018 (12.42%), 11 Apr 2018 (7.93%)
2017324 Jan 2017 (-2.26%), 19 Jul 2017 (6.6%), 26 Oct 2017 (-3.04%)
2016314 Jul 2016 (-3.13%), 01 Aug 2016 (-3.38%), 28 Nov 2016 (-3.76%)
2015304 May 2015 (-3.76%), 03 Jun 2015 (-3.83%), 29 Jun 2015 (-3.35%)
2014224 Feb 2014 (-3.33%), 25 Sep 2014 (-4.11%)
2013204 Dec 2013 (-3.24%), 19 Dec 2013 (-3.77%)
2012123 Oct 2012 (11.52%)
2010418 May 2010 (-2.5%), 05 Jul 2010 (-2.18%), 03 Sep 2010 (-1.93%), 11 Nov 2010 (6.04%)
2009118 Mar 2009 (-3.63%)
2008213 Feb 2008 (-5.83%), 28 Mar 2008 (18.03%)
2007315 Jan 2007 (-3.4%), 27 Feb 2007 (10.23%), 22 Mar 2007 (-4.68%)
2004120 Aug 2004 (-4.61%)
2003106 Jan 2003 (-2.88%)
2002814 Jan 2002 (-4.31%), 21 Jan 2002 (-4.44%), 23 May 2002 (-4.45%), 28 May 2002 (-4.32%), 31 May 2002 (-4.51%), 17 Sep 2002 (-3.13%), 03 Dec 2002 (-2.88%), 10 Dec 2002 (-2.89%)
2001319 Mar 2001 (-10.0%), 01 Aug 2001 (18.55%), 23 Nov 2001 (12.87%)
2000117 Nov 2000 (-5.03%)
1999513 Jan 1999 (13.97%), 25 Mar 1999 (14.18%), 22 Jun 1999 (-5.3%), 21 Sep 1999 (-6.19%), 26 Nov 1999 (14.66%)
1998230 Mar 1998 (-3.42%), 28 Sep 1998 (11.98%)
1997110 Nov 1997 (11.97%)
1996115 Mar 1996 (-3.93%)



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