Study: Buy BHEL when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50

home > technical-strategy > bhel > 14

In this study, we evaluate the performance of strategy "Buy BHEL when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
12940.871971236.844633.7516018.55-2457.95-7407.411.891.10.0065154.78
2-5909.411971236.845084.4418694.26-3458.37-123941.470.86-0.01-311.02
3-15027.391971236.846531.8910978.18-5062.55-13228.631.290.75-0.024-790.92
4-26436.471910952.634048.0413793.1-7435.21-16503.590.540.6-0.039-1391.39
5-62278.11961331.586475.8110274.45-7779.46-15068.490.830.38-0.084-3277.79
6-47815.251981142.116357.1213277.13-8970.2-20054.20.710.52-0.054-2516.59
7-46212.131971236.847522.0612364.91-8238.88-25112.920.910.53-0.052-2432.22
8-9340.191981142.118875.2626431.24-7303.84-17958.451.220.88-0.0097-491.59
9-3919.361981142.1112743.5437209.94-9624.33-25835.591.320.96-0.0029-206.28
10-13327.71981142.1111677.5932375.69-9704.4-27266.81.20.88-0.01-701.46

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.1. 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 36.84%, which is not acceptable. Avoid this strategy. Average return per trade is 0.077%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0065, 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
200trail31.724915.2733102330.38867.1711334.73-2772.02-3871.173.21.390.028755.01
200nil31.7524655.4432102231.258974.6911334.73-2958.7-3871.173.031.380.028770.48
atrnil25.517077.742281436.3614690.3721739.02-7174.66-10331.382.051.170.015776.26
nilnil-112940.871971236.844633.7516018.55-2457.95-7407.411.891.10.0065154.78
200nil21.562650.3132112134.385945.047556.49-2987.86-3871.171.991.040.003982.82
200trail21.471197.2534112332.355879.877556.49-2760.06-3871.172.131.020.001735.21
atrnil37.55-920.942251722.7323742.8632608.53-7037.37-10331.383.370.99-0.00065-41.86
200trail-12.29-623.723172422.589194.2629075-2707.65-3871.173.40.99-0.00063-20.12
atrtrail23.77-31401.012671926.929865.614812.88-5287.38-10331.381.870.69-0.032-1207.73
atrtrail34.15-32971.432671926.929641.2520985.6-5287.38-10331.381.820.67-0.032-1268.13
atrtrail-14.31-33870.622671926.929512.829795.3-5287.38-10331.381.80.66-0.032-1302.72

In the table above, row 1 shows the best exit criterion. Profit factor is 1.39. 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 30.3%, which is not acceptable. Avoid this strategy. Average return per trade is 0.38%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, 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:1.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019226 Mar 2019 (5.51%), 31 May 2019 (-0.29%)
2017518 Jan 2017 (-1.56%), 20 Jul 2017 (-1.64%), 24 Jul 2017 (-1.44%), 31 Oct 2017 (-1.0%), 02 Nov 2017 (3.53%)
2015204 Jun 2015 (-1.56%), 12 Jun 2015 (-1.37%)
2013301 Jan 2013 (5.22%), 10 Dec 2013 (-1.39%), 18 Dec 2013 (-1.08%)
2009230 Mar 2009 (-1.17%), 01 Apr 2009 (5.06%)
2004102 Jul 2004 (-1.22%)
2003103 Jan 2003 (-1.7%)
2002406 Dec 2002 (-1.56%), 19 Dec 2002 (-1.55%), 23 Dec 2002 (-1.45%), 26 Dec 2002 (3.25%)
2001421 Nov 2001 (4.43%), 22 Nov 2001 (-1.41%), 26 Nov 2001 (-1.5%), 11 Dec 2001 (-1.94%)
2000215 Nov 2000 (3.52%), 16 Nov 2000 (-1.17%)
1999406 Jan 1999 (4.09%), 21 Jan 1999 (-1.62%), 17 Jun 1999 (-1.49%), 24 Jun 1999 (5.67%)
1998323 Mar 1998 (-1.35%), 26 Mar 1998 (-1.44%), 31 Mar 1998 (4.06%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play