Study: Buy BHEL when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy BHEL when RSI is above 50 and there is Bullish Crossover in MACD 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
1-6121.7641182343.94814.0515172.35-4033.68-11446.151.190.93-0.0056-149.31
234328.1841212051.226865.7420399.72-5492.62-12051.611.251.310.022837.27
384728.0341251660.987317.3332656.44-6137.82-12717.951.191.860.0472066.54
465929.4741212051.2210390.4232905.1-7613.46-22030.771.361.430.0281608.04
591223.8741231856.111531.7653377.54-9667.04-24685.441.191.520.0322224.97
692041.3541212051.2213406.6851968.5-9474.95-25476.921.411.490.0312244.91
712000241231856.113662.7749896.39-10791.18-26297.441.271.620.0392926.89
815224541241758.5413960.0652631.58-10752.72-27938.461.31.830.0483713.29
918868041241758.5414663.5754206.38-9602.69-19092.851.532.160.0594601.95
1023198141241758.5416985.4255283.88-10333.48-23302.561.642.320.0625658.07
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
BHEL Performance, X=10, Profit Factor:2.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019212 Apr 2019 (-10.42%), 23 May 2019 (2.93%)
2018229 May 2018 (-6.17%), 24 Jul 2018 (0.0%)
2017216 Mar 2017 (-2.61%), 06 Apr 2017 (-2.18%)
2013202 Jul 2013 (-0.38%), 24 Dec 2013 (-5.78%)
2012118 Sep 2012 (18.33%)
2011325 Jan 2011 (-8.93%), 03 Mar 2011 (-7.64%), 24 Mar 2011 (7.17%)
2009204 May 2009 (18.06%), 18 May 2009 (5.46%)
2008114 Feb 2008 (4.59%)
2007221 Jun 2007 (5.01%), 29 Oct 2007 (4.42%)
2006419 Jan 2006 (20.77%), 01 Mar 2006 (0.41%), 04 Apr 2006 (0.48%), 19 Jun 2006 (0.64%)
2005126 Sep 2005 (4.4%)
2004102 Dec 2004 (13.43%)
2003613 Jun 2003 (-0.9%), 01 Jul 2003 (1.43%), 08 Aug 2003 (9.39%), 23 Sep 2003 (11.99%), 17 Oct 2003 (2.5%), 31 Oct 2003 (-7.2%)
2002105 Jun 2002 (3.21%)
2001202 Jan 2001 (-8.45%), 17 Apr 2001 (10.75%)
2000205 Jul 2000 (-7.05%), 28 Nov 2000 (23.28%)
1999120 Dec 1999 (-11.65%)
1997404 Apr 1997 (4.56%), 05 May 1997 (-0.04%), 02 Jul 1997 (-2.32%), 27 Nov 1997 (-6.12%)
1996129 Mar 1996 (27.64%)
1995110 May 1995 (2.97%)

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-15.3977829.9946192741.313242.7253855.23-6436.36-15949.572.061.450.0251691.96
atrtrail23.7367937.3448192939.5813363.330373.42-6412.6-15949.572.081.370.0261415.36
atrnil37.2182486.8247143329.7924583.9345560.13-7929.95-15949.573.11.320.0231755.04
atrtrail34.2549016.3448192939.5812367.4531018.21-6412.6-15949.571.931.260.0181021.17
atrnil24.9838686.2648173135.4216503.9830373.42-7802.63-15949.572.121.160.014805.96

In the table above, row 1 shows the best exit criterion. Profit factor is 1.45. 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 41.3%, which is not acceptable. Avoid this strategy. Average return per trade is 0.85%, 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:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019212 Apr 2019 (-3.4%), 23 May 2019 (4.53%)
2018329 May 2018 (-3.37%), 30 May 2018 (-2.84%), 24 Jul 2018 (-3.65%)
2017316 Mar 2017 (-1.57%), 06 Apr 2017 (-2.66%), 07 Apr 2017 (-1.81%)
2013202 Jul 2013 (-3.51%), 24 Dec 2013 (0.33%)
2012218 Sep 2012 (-3.12%), 20 Sep 2012 (13.17%)
2011325 Jan 2011 (-2.3%), 03 Mar 2011 (-3.24%), 24 Mar 2011 (6.26%)
2009204 May 2009 (-2.7%), 18 May 2009 (1.42%)
2008114 Feb 2008 (-4.35%)
2007221 Jun 2007 (-3.0%), 29 Oct 2007 (3.19%)
2006419 Jan 2006 (19.83%), 01 Mar 2006 (-1.41%), 04 Apr 2006 (-0.25%), 19 Jun 2006 (-7.97%)
2005126 Sep 2005 (7.31%)
2004102 Dec 2004 (2.53%)
2003813 Jun 2003 (-2.99%), 16 Jun 2003 (-0.05%), 01 Jul 2003 (1.16%), 08 Aug 2003 (8.87%), 23 Sep 2003 (0.52%), 17 Oct 2003 (-3.47%), 20 Oct 2003 (-3.71%), 31 Oct 2003 (-4.23%)
2002105 Jun 2002 (2.93%)
2001202 Jan 2001 (-4.66%), 17 Apr 2001 (2.0%)
2000205 Jul 2000 (2.32%), 28 Nov 2000 (3.03%)
1999120 Dec 1999 (-5.08%)
1997404 Apr 1997 (17.13%), 02 Jul 1997 (-3.79%), 03 Jul 1997 (-4.03%), 27 Nov 1997 (-3.73%)
1996129 Mar 1996 (26.93%)
1995110 May 1995 (2.33%)



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