Study: Buy BHEL when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy BHEL when above 200 SMA and near 50 SMA and above 50 SMA" 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
131580.67723636503748.6113964.5-2871.37-7619.091.311.310.021438.62
265849.872403255.564536.7917159.76-3613.18-15426.811.261.570.035914.58
32763.7272393354.175586.8223431.95-6518.85-26114.470.861.010.0009538.39
444182.7572353748.617365.9228315.41-5773.63-28968.121.281.210.014613.65
53907.8472393354.177190.8527956.99-8379.86-31367.840.861.010.00154.28
62947.85723636508235.8433094.38-8153.95-23468.511.011.010.0007640.94
723714.0572373551.398740.6841812.93-8562.6-30868.121.021.080.0057329.36
840958.61723636509994.3357720.51-8856.59-24575.781.131.130.0088568.87
91006577236365011886.3256476.34-9090.31-25059.991.311.310.021398.01
1015922272413156.9412892.0973405.91-11914.63-33567.481.081.430.0282211.42
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
atrtrail-15.9815733491316034.0714082.0293644.78-4653.48-9952.813.031.560.0251728.94
atrnil26.4216902477324541.5614676.3825778.92-6680.44-10442.572.21.560.0412195.12
atrnil39.1515966367214631.3422295.0638668.38-6707.25-10442.573.321.520.0352383.02
atrtrail24.6810001792326034.7811850.8125778.92-4653.48-9952.812.551.360.0251087.15
atrtrail35.2591695.2791316034.0711964.6535779.94-4653.48-9952.812.571.330.0211007.64
50trail32.2120762.09121358628.937165.7911958.02-2674.89-3959.552.681.090.0071171.59
50nil22.0519218.98115417435.656060.927972.01-3098.36-3997.221.961.080.0076167.12
50trail21.8515620.94121427934.715664.87972.01-2813.93-3959.552.011.070.0063129.1
50nil32.7316510.54110308027.278852.2711958.02-3113.22-3997.222.841.070.0056150.1
50trail-13.18908.5120338727.57208.3448510.12-2631.8-3959.552.741.040.002374.24

In the table above, row 1 shows the best exit criterion. Profit factor is 1.56. 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 34.07%, which is not acceptable. Avoid this strategy. Average return per trade is 0.86%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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:1.56

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019131 May 2019 (-2.24%)
2017112 May 2017 (-2.07%)
2016524 Aug 2016 (-0.25%), 06 Sep 2016 (11.34%), 26 Sep 2016 (-2.81%), 19 Oct 2016 (-2.53%), 01 Nov 2016 (-2.65%)
2015406 Jan 2015 (-3.62%), 12 Feb 2015 (-4.17%), 27 Feb 2015 (-3.87%), 04 Mar 2015 (-4.21%)
2014627 Jan 2014 (2.01%), 16 Apr 2014 (5.22%), 30 Apr 2014 (46.82%), 01 Sep 2014 (-2.96%), 16 Dec 2014 (3.3%), 24 Dec 2014 (4.55%)
2013301 Jan 2013 (2.21%), 10 Jan 2013 (-2.76%), 21 Jan 2013 (-2.59%)
20101428 Jan 2010 (-0.05%), 15 Feb 2010 (-0.6%), 23 Feb 2010 (0.85%), 16 Mar 2010 (-1.91%), 25 Mar 2010 (4.27%), 04 May 2010 (-2.22%), 18 Jun 2010 (-0.31%), 02 Jul 2010 (1.23%), 20 Aug 2010 (-0.12%), 25 Aug 2010 (-0.95%), 15 Sep 2010 (-1.5%), 27 Sep 2010 (6.22%), 18 Oct 2010 (-1.25%), 09 Nov 2010 (-1.8%)
2009407 Aug 2009 (3.8%), 04 Sep 2009 (0.76%), 28 Oct 2009 (-2.89%), 18 Dec 2009 (2.8%)
2008127 Feb 2008 (-2.31%)
2007315 Feb 2007 (-3.42%), 23 Mar 2007 (-4.05%), 21 Aug 2007 (17.29%)
2006312 Jul 2006 (-4.95%), 20 Nov 2006 (2.82%), 14 Dec 2006 (-1.77%)
2005819 Jan 2005 (-3.68%), 21 Mar 2005 (-3.1%), 01 Apr 2005 (-2.16%), 03 May 2005 (3.07%), 22 Jun 2005 (-2.4%), 01 Jul 2005 (1.4%), 24 Oct 2005 (-2.0%), 02 Nov 2005 (24.84%)
2004315 Mar 2004 (-4.98%), 18 Nov 2004 (-2.07%), 22 Nov 2004 (-1.16%)
2003425 Jul 2003 (-1.46%), 04 Aug 2003 (18.39%), 20 Nov 2003 (5.73%), 08 Dec 2003 (-0.13%)
2002928 Mar 2002 (7.01%), 03 May 2002 (-0.18%), 15 May 2002 (-3.06%), 06 Jun 2002 (-1.11%), 19 Jun 2002 (6.46%), 15 Jul 2002 (-1.41%), 25 Jul 2002 (-0.11%), 02 Aug 2002 (1.48%), 04 Sep 2002 (-2.21%)
2001320 Jun 2001 (1.05%), 03 Jul 2001 (-0.64%), 24 Jul 2001 (-4.51%)
1999303 Aug 1999 (7.72%), 13 Aug 1999 (13.5%), 14 Sep 1999 (-4.68%)
1998118 May 1998 (-1.88%)
1997706 Feb 1997 (1.34%), 12 Jun 1997 (-3.14%), 17 Jul 1997 (-1.15%), 18 Aug 1997 (-2.24%), 26 Aug 1997 (-3.67%), 21 Oct 1997 (-3.43%), 23 Oct 1997 (-3.52%)
1996806 Jun 1996 (5.01%), 25 Jun 1996 (-3.26%), 18 Jul 1996 (-1.88%), 24 Jul 1996 (-2.84%), 11 Sep 1996 (2.95%), 26 Sep 1996 (-1.39%), 03 Oct 1996 (-3.33%), 06 Nov 1996 (2.83%)



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