Study: Buy BHEL when there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy BHEL when there is Golden Cross (50 DMA > 200 DMA)" 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
Although, strategy looks good but profit factor on day 4 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

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 35%, which is not acceptable. Avoid this strategy. Average return per trade is -0.0068%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BHEL Performance, Profit Factor:0.997

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020118 Aug 2020 (9.24%)
2019107 Jun 2019 (8.69%)
2018129 Jan 2018 (-3.56%)
2017122 Feb 2017 (5.91%)
2016126 Aug 2016 (-3.25%)
2015123 Jul 2015 (-2.7%)
2014223 Jan 2014 (-2.89%), 24 Jan 2014 (6.23%)
2012130 Nov 2012 (-2.86%)
2009104 May 2009 (-4.16%)
2007117 May 2007 (5.57%)
2004101 Sep 2004 (7.92%)
2003127 Jan 2003 (-3.28%)
2002122 Feb 2002 (-5.48%)
2000120 Dec 2000 (-5.61%)
1999326 Feb 1999 (-4.28%), 19 Jul 1999 (-4.74%), 20 Jul 1999 (-5.36%)
1998106 May 1998 (-4.52%)
1996110 Apr 1996 (9.0%)

View performance of other stocks for this trading system.

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