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

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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 and ADX is Trending" 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
114193.474357.144733.0214213.2-1579.57-2352.13340.0792027.63
2-13130.3373442.865125.3310942.64-7126.58-22414.390.720.54-0.04-1875.76
3-10740.5475271.435337.727039.51-18714.56-29816.670.290.71-0.025-1534.36
4-7817.8875271.435714.8110574.29-18195.95-27395.360.310.79-0.019-1116.84
5-40836.4474357.143842.626866.23-18735.64-50155.660.210.27-0.064-5833.78
6-25557.6574357.148499.916009.37-19852.41-37218.960.430.57-0.042-3651.09
7-18009.0973442.8611533.4719601.72-13152.38-29194.050.880.66-0.033-2572.73
8-27166.4873442.8610233.3117415.07-14466.6-38118.30.710.53-0.047-3880.93
9-29087.3673442.8611803.1118664.58-16124.17-33483.220.730.55-0.049-4155.34
10-26690.0273442.8615739.7323975.01-18477.3-41023.870.850.64-0.037-3812.86

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 4. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bearish. Percentage of profitable trades is 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 1.01%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.079, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
BHEL Performance, X=1, Profit Factor:4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018114 Aug 2018 (-0.48%)
2012123 Jul 2012 (0.77%)
2011306 Jan 2011 (0.79%), 21 Apr 2011 (-0.71%), 09 May 2011 (0.79%)
2002130 Jan 2002 (-1.18%)
2000121 Jul 2000 (7.11%)

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-1114193.474357.144733.0214213.2-1579.57-2352.13340.0792027.63
atrnil26.5221946335014271.5422746.25-6873.54-8293.022.082.080.0663699
50nil3210240.493633.338981.2810987.87-2783.91-3722.593.231.610.0411137.82
50trail31.88477.381037308981.2810987.87-2638.07-3722.593.41.460.032847.74
50nil21.86999.551046405870.197325.25-2746.87-3722.592.141.420.033699.95
50trail21.8-503.91037305987.527325.25-2638.07-3722.592.270.97-0.0026-50.39
atrnil315.17-1891.1862433.3315051.2817446.47-7998.44-11373.121.880.94-0.0058-315.2
atrtrail23.89-11280.594544.444080.088437.4-5520.17-8293.020.740.59-0.048-1253.39
atrtrail34-13328.6394544.443568.056389.27-5520.17-8293.020.650.52-0.061-1480.96
atrtrail-14-13328.6394544.443568.056389.27-5520.17-8293.020.650.52-0.061-1480.96
50trail-13.2-8941.861037303174.878133.25-2638.07-3722.591.20.52-0.055-894.19

In the table above, row 1 shows the best exit criterion. Profit factor is 4. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bearish. Percentage of profitable trades is 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 1.01%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.079, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

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