Study: Sell BHEL when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell BHEL when below 200 SMA and near 50 SMA and below 50 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
124410.4664372757.813451.2716411.57-3825.43-10724.640.91.240.016381.41
2-31723.6564343053.124362.3420166.4-6001.44-22414.390.730.82-0.015-495.68
3-53820.1643232506962.8529941.54-8644.73-31538.060.810.81-0.016-840.94
4-6381.3864343053.128055.1641521.33-9341.89-27395.360.860.98-0.0017-99.71
5-11512364253939.069534.5141269.07-9063.72-50155.661.050.67-0.027-1798.79
6-99314.4764234135.9410908.7633676.96-8541.85-37218.961.280.72-0.025-1551.79
7-10978164224234.3811895.541642.67-8844.81-33450.41.340.7-0.027-1715.33
8-15264064253939.0610016.9839187.76-10334.99-38118.30.970.62-0.036-2385
9-20958864234135.941259844976.51-12179.06-33483.221.030.58-0.043-3274.81
10-19134364253939.0613290.9341339.6-13426.05-41023.870.990.63-0.036-2989.73

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.24. 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 57.81%, which is not acceptable. Avoid this strategy. Average return per trade is 0.19%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.

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
nilnil-1124410.4664372757.813451.2716411.57-3825.43-10724.640.91.240.016381.41
50trail-12.9429058.1895187718.9512915.5638987.73-2641.84-3982.514.891.140.0077305.88
50nil21.94-43409.4789256428.095792.37668.98-2940.89-3982.511.970.77-0.025-487.75
atrtrail-15.28-69325.8675225329.3310449.4444233.75-5645.54-12569.831.850.77-0.019-924.34
atrnil26.07-10153467204729.8514011.1224313.23-8122.49-14665.591.720.73-0.029-1515.44
50trail32-55426.24951976207754.6911503.47-2667.97-3982.512.910.73-0.027-583.43
50nil32.31-60321.0187177019.548572.6211503.47-2943.65-3982.512.910.71-0.03-693.34
50trail21.71-57875.2962472255706.717668.98-2706.06-3982.512.110.7-0.033-602.87
atrtrail34.72-10021875225329.339045.2736469.84-5645.54-12569.831.60.67-0.032-1336.24
atrtrail24.37-10217475225329.338956.3324313.23-5645.54-12569.831.590.66-0.035-1362.32
atrnil38.08-13477861134821.3119909.8636469.84-8200.12-14665.592.430.66-0.037-2209.47

In the table above, row 1 shows the best exit criterion. Profit factor is 1.24. 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 57.81%, which is not acceptable. Avoid this strategy. Average return per trade is 0.19%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BHEL Performance, X=1, Profit Factor:1.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019410 Jan 2019 (0.44%), 01 Mar 2019 (-1.74%), 24 May 2019 (-5.36%), 11 Jun 2019 (2.15%)
2018612 Apr 2018 (1.18%), 29 May 2018 (0.54%), 24 Jul 2018 (2.45%), 14 Aug 2018 (-0.48%), 18 Sep 2018 (-1.35%), 10 Oct 2018 (1.15%)
2017705 Jan 2017 (1.21%), 19 Jul 2017 (-0.86%), 07 Aug 2017 (3.06%), 19 Sep 2017 (0.71%), 10 Oct 2017 (2.02%), 15 Nov 2017 (0.62%), 13 Dec 2017 (-0.0%)
2016406 Apr 2016 (-4.7%), 20 May 2016 (0.46%), 08 Jun 2016 (0.16%), 22 Jun 2016 (0.16%)
2015126 Oct 2015 (1.45%)
2013625 Apr 2013 (1.95%), 14 May 2013 (-1.4%), 07 Jun 2013 (2.75%), 09 Jul 2013 (1.37%), 13 Sep 2013 (5.04%), 18 Nov 2013 (-1.32%)
2012813 Jan 2012 (-3.82%), 02 Feb 2012 (-2.38%), 07 Mar 2012 (-2.84%), 04 Apr 2012 (4.29%), 22 Jun 2012 (1.52%), 23 Jul 2012 (0.77%), 27 Aug 2012 (1.11%), 02 Nov 2012 (-0.52%)
2011529 Mar 2011 (0.36%), 21 Apr 2011 (-0.71%), 09 May 2011 (0.79%), 11 Jul 2011 (1.15%), 09 Nov 2011 (1.68%)
2010205 Jul 2010 (-0.47%), 30 Dec 2010 (0.59%)
2009415 Jan 2009 (-3.92%), 04 Feb 2009 (0.77%), 19 Feb 2009 (1.38%), 13 Mar 2009 (-2.44%)
2008431 Mar 2008 (8.21%), 18 Jul 2008 (1.66%), 04 Dec 2008 (1.45%), 26 Dec 2008 (-3.51%)
2004123 Aug 2004 (-0.91%)
2002215 Jan 2002 (-0.21%), 30 Jan 2002 (-1.18%)
2001224 Oct 2001 (0.6%), 18 Dec 2001 (-0.78%)
2000221 Jul 2000 (7.11%), 22 Aug 2000 (-1.34%)
1999121 May 1999 (-0.73%)
1998425 Feb 1998 (-5.05%), 01 Sep 1998 (-1.94%), 28 Oct 1998 (0.99%), 22 Dec 1998 (-1.67%)
1997123 Dec 1997 (0.56%)



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