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

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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 and RSI is below 50" 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
1119.2129141548.283169.6514213.2-2950.4-7839.221.0710.00024.11
2-32523.8529131644.834844.0410942.64-5968.52-22414.390.810.66-0.032-1121.51
3-48733.8529151451.725780.5317494.6-9674.42-29816.670.60.64-0.035-1680.48
4-69396.3929141548.286927.520014.4-11092.09-27395.360.620.58-0.044-2392.98
5-11774829101934.487158.0617926.57-9964.66-50155.660.720.38-0.065-4060.27
6-78681.429111837.938260.1116009.37-9419.03-37218.960.880.54-0.047-2713.15
7-66496.2229121741.389107.3119601.72-10340.23-29194.050.880.62-0.038-2292.97
8-84674.6729121741.388467.8721393.7-10958.19-38118.30.770.55-0.048-2919.82
9-94733.5129101934.4811200.320590.35-10880.87-33483.221.030.54-0.048-3266.67
10-89983.3829121741.3811016.6923975.01-13069.63-41023.870.840.6-0.041-3102.88

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 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 48.28%, which is not acceptable. Avoid this strategy. Average return per trade is 0.0021%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0002, 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
nilnil-11119.2129141548.283169.6514213.2-2950.4-7839.221.0710.00024.11
50trail31.96-16547.4345936208393.310987.87-2557.98-3763.963.280.82-0.017-367.72
50nil32.27-17989.464193221.958393.310987.87-2922.79-3918.672.870.81-0.019-438.77
50trail-12.87-24094.344583717.788581.1519338.66-2506.58-3763.963.420.74-0.021-535.43
50nil22-24338.0743123127.915575.457325.25-2943.34-3918.671.890.73-0.03-566
50trail21.76-29985.6646113523.915580.667325.25-2610.65-3763.962.140.67-0.037-651.86
atrnil26-65933.123082226.6713449.2522746.25-7887.6-12569.831.710.62-0.045-2197.77
atrtrail24.06-66324.4736112530.567080.6816593.3-5768.48-12569.831.230.54-0.053-1842.35
atrtrail-14.53-85844.4136112530.565306.1414220.86-5768.48-12569.830.920.4-0.08-2384.57
atrtrail34.44-86360.7236112530.565259.213704.55-5768.48-12569.830.910.4-0.081-2398.91
atrnil38.87-1233293052516.6715599.2818440.36-8053.01-12569.831.940.39-0.092-4110.96

In the table above, row 1 shows the best exit criterion. Profit factor is 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 48.28%, which is not acceptable. Avoid this strategy. Average return per trade is 0.0021%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0002, 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, X=1, Profit Factor:1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019110 Jan 2019 (0.44%)
2018214 Aug 2018 (-0.48%), 18 Sep 2018 (-1.35%)
2017307 Aug 2017 (3.06%), 15 Nov 2017 (0.62%), 13 Dec 2017 (-0.0%)
2016120 May 2016 (0.46%)
2013214 May 2013 (-1.4%), 07 Jun 2013 (2.75%)
2012502 Feb 2012 (-2.38%), 07 Mar 2012 (-2.84%), 23 Jul 2012 (0.77%), 27 Aug 2012 (1.11%), 02 Nov 2012 (-0.52%)
2011406 Jan 2011 (0.79%), 21 Apr 2011 (-0.71%), 09 May 2011 (0.79%), 11 Jul 2011 (1.15%)
2010105 Jul 2010 (-0.47%)
2009315 Jan 2009 (-3.92%), 04 Feb 2009 (0.77%), 19 Feb 2009 (1.38%)
2008126 Dec 2008 (-3.51%)
2004123 Aug 2004 (-0.91%)
2002130 Jan 2002 (-1.18%)
2001118 Dec 2001 (-0.78%)
2000121 Jul 2000 (7.11%)
1998228 Oct 1998 (0.99%), 22 Dec 1998 (-1.67%)



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