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

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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 and RSI is above 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: 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
13990.79541802088.773846.15-4364.27-4364.270.481.910.058798.16
2-452.31523402696.63398.9-1948.51-2755.131.380.92-0.0074-90.46
3-1532.58532603230.214887.98-5611.6-6522.350.580.86-0.014-306.52
44204.49523409411.5517484.72-4872.87-9558.621.931.290.019840.9
5387.955234011154.5617188.37-7307.06-16193.421.531.020.001477.59
615170.235326010310.8825041.67-7881.21-14337.931.311.960.0493034.05
76094.74532608710.2221892.94-10017.97-14337.930.871.30.0211218.95
810051.715234014620.5627227.26-6396.47-14450.382.291.520.032010.34
920298.815142039933.3239933.32-4908.63-13157.158.142.030.0454059.76
1025251.4532601584336784.59-11138.8-15012.651.422.130.0585050.28
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
BHEL Performance, X=10, Profit Factor:2.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019131 May 2019 (-3.63%)
2010115 Feb 2010 (3.16%)
2003104 Aug 2003 (18.39%)
2002206 Jun 2002 (2.21%), 03 Sep 2002 (-7.51%)

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
atrnil29.828591.695326013796.0516004.77-6398.23-8367.562.163.230.115718.34
atrtrail-16.624902.245142036785.2436785.24-2970.75-4473.1712.383.10.0644980.45
atrnil32922324.524225019269.8124007.15-8107.55-8367.562.382.380.0815581.13
atrtrail34.812124.155142024007.1524007.15-2970.75-4473.178.082.020.0462424.83
atrtrail24.64121.765142016004.7716004.77-2970.75-4473.175.391.350.022824.35
50nil23.41940.41523406227.296877.49-3504.72-3625.491.781.180.017388.08
50trail22.2-1129.56523403494.496877.49-2706.18-3592.091.290.86-0.012-225.91
50nil33.8-5587.28514208365.648365.64-3488.23-3625.492.40.6-0.048-1117.46
50trail32.4-8596.851420111.48111.48-2177.07-3592.090.0510.013-0.24-1719.36
50trail-12.4-8596.851420111.48111.48-2177.07-3592.090.0510.013-0.24-1719.36

In the table above, row 1 shows the best exit criterion. Profit factor is 3.23. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bullish. Percentage of profitable trades is 60%, which is not acceptable. Avoid this strategy. Average return per trade is 2.86%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BHEL Performance, Profit Factor:3.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019131 May 2019 (-4.18%)
2010115 Feb 2010 (4.84%)
2003104 Aug 2003 (8.0%)
2002206 Jun 2002 (7.85%), 03 Sep 2002 (-2.21%)



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