Study: Buy BHEL when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy BHEL when below 200 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
1-1672.39112575550.895254.9222110.33-5476.42-17664.230.960.99-0.00041-14.93
2179221112615154.468631.353232.51-6809.56-27477.161.271.520.0311600.19
358367.94112516145.5410511.139236.93-7831.11-27445.181.341.120.0087521.14
4-8238.22112545848.2110483.0248497.48-9902.09-40710.581.060.99-0.0011-73.56
5-49382.48112516145.5411090.1961628.93-10081.68-39674.321.10.92-0.0061-440.91
6-101698112526046.4311954.1355220.63-12055.21-47264.260.990.86-0.012-908.02
7-53018112555749.1112594.757294.99-13082.92-51818.180.960.93-0.0057-473.38
8-154198112526046.4313117.3759823.12-13938.35-47619.050.940.82-0.016-1376.77
9-69050.36112555749.1113414.3780770.48-14155.1-45887.450.950.91-0.0067-616.52
10-217822112545848.2112713.0973539.52-15591.87-50309.790.820.76-0.02-1944.84
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
atrnil38.312582981925214027.0830201.7665984.86-9372.81-19699.513.221.20.0141345.3
atrtrail23.941245682298414536.6814219.7943989.91-7378.58-19699.511.931.120.0087543.97
atrtrail34.591195512298314636.2414333.365984.86-7329.54-19699.511.961.110.008522.06
atrnil25.611058192056813733.1720122.2743989.91-9215.29-19699.512.181.080.007516.19
atrtrail-15.15-617.542288114735.5313291.1959508.71-7327.92-19699.511.811-4.3e-05-2.71

In the table above, row 1 shows the best exit criterion. Profit factor is 1.2. 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 27.08%, which is not acceptable. Avoid this strategy. Average return per trade is 0.67%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.014, 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:1.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191525 Jan 2019 (-3.01%), 28 Jan 2019 (-3.28%), 05 Feb 2019 (12.76%), 03 May 2019 (-3.65%), 06 May 2019 (-3.86%), 07 May 2019 (-4.08%), 13 May 2019 (12.73%), 11 Jul 2019 (-3.73%), 24 Jul 2019 (-3.15%), 29 Jul 2019 (-3.32%), 02 Aug 2019 (-3.55%), 13 Aug 2019 (-4.76%), 21 Aug 2019 (13.6%), 19 Sep 2019 (-4.1%), 07 Oct 2019 (16.75%)
20181502 Feb 2018 (-4.38%), 22 Feb 2018 (-3.88%), 07 Mar 2018 (-3.69%), 22 Mar 2018 (9.99%), 04 May 2018 (-2.61%), 10 May 2018 (-2.8%), 14 May 2018 (-3.0%), 21 May 2018 (10.04%), 05 Jun 2018 (-4.42%), 28 Jun 2018 (-3.52%), 13 Jul 2018 (-3.52%), 16 Jul 2018 (11.0%), 21 Sep 2018 (-4.69%), 14 Nov 2018 (-4.16%), 10 Dec 2018 (12.18%)
2017530 May 2017 (-4.62%), 08 Aug 2017 (-2.48%), 09 Aug 2017 (-2.52%), 10 Aug 2017 (-3.09%), 27 Sep 2017 (8.96%)
20161207 Jan 2016 (-3.15%), 11 Jan 2016 (-3.25%), 14 Jan 2016 (-3.63%), 15 Jan 2016 (-4.09%), 03 Feb 2016 (-4.97%), 11 Feb 2016 (-5.14%), 12 Feb 2016 (-6.72%), 24 Feb 2016 (21.03%), 24 May 2016 (9.83%), 03 Aug 2016 (11.22%), 22 Nov 2016 (-4.36%), 22 Dec 2016 (7.81%)
20151120 Mar 2015 (-4.18%), 27 Mar 2015 (-4.31%), 12 May 2015 (12.92%), 21 Aug 2015 (-3.8%), 24 Aug 2015 (-4.57%), 01 Sep 2015 (-5.31%), 02 Sep 2015 (-5.71%), 28 Sep 2015 (-4.45%), 06 Nov 2015 (-3.67%), 10 Nov 2015 (-4.01%), 03 Dec 2015 (-2.94%)
2014506 Feb 2014 (-3.82%), 13 Feb 2014 (-3.67%), 14 Feb 2014 (11.45%), 25 Sep 2014 (-4.11%), 07 Oct 2014 (12.2%)
20131617 Jan 2013 (-2.67%), 04 Feb 2013 (-2.98%), 05 Feb 2013 (-3.15%), 07 Feb 2013 (-3.19%), 01 Mar 2013 (-2.94%), 19 Mar 2013 (-2.94%), 21 Mar 2013 (9.35%), 10 Jun 2013 (-3.28%), 13 Jun 2013 (-3.36%), 21 Jun 2013 (-3.51%), 24 Jun 2013 (10.85%), 22 Jul 2013 (-4.65%), 30 Jul 2013 (-4.43%), 05 Aug 2013 (-7.34%), 06 Aug 2013 (-7.91%), 19 Aug 2013 (24.19%)
20121119 Mar 2012 (-5.56%), 20 Apr 2012 (-4.13%), 23 Apr 2012 (-4.39%), 30 Apr 2012 (-3.97%), 04 May 2012 (-4.11%), 18 May 2012 (13.74%), 24 Jul 2012 (-3.01%), 26 Jul 2012 (9.29%), 31 Aug 2012 (-2.99%), 06 Sep 2012 (9.82%), 21 Nov 2012 (9.26%)
20111910 Jan 2011 (-2.41%), 09 Feb 2011 (-3.3%), 24 Feb 2011 (-3.32%), 15 Mar 2011 (9.93%), 27 Apr 2011 (-2.96%), 23 May 2011 (-3.04%), 26 Jul 2011 (-2.56%), 27 Jul 2011 (-2.92%), 05 Aug 2011 (-2.94%), 19 Aug 2011 (-3.34%), 22 Sep 2011 (-3.16%), 05 Oct 2011 (-3.37%), 16 Nov 2011 (-3.74%), 17 Nov 2011 (-4.19%), 18 Nov 2011 (-4.54%), 21 Nov 2011 (-4.92%), 15 Dec 2011 (-5.02%), 16 Dec 2011 (-5.4%), 19 Dec 2011 (16.81%)
2010817 May 2010 (-2.47%), 25 May 2010 (7.28%), 03 Sep 2010 (5.79%), 11 Nov 2010 (-2.01%), 16 Nov 2010 (-2.2%), 19 Nov 2010 (-2.5%), 24 Nov 2010 (-2.67%), 26 Nov 2010 (9.17%)
2009204 Mar 2009 (-3.91%), 05 Mar 2009 (12.51%)
2008811 Feb 2008 (18.04%), 17 Mar 2008 (-7.18%), 04 Apr 2008 (-8.34%), 04 Jun 2008 (-5.43%), 09 Jun 2008 (17.61%), 10 Oct 2008 (-7.54%), 17 Oct 2008 (-9.82%), 27 Oct 2008 (32.99%)
2007510 Jan 2007 (9.63%), 27 Feb 2007 (-3.41%), 28 Feb 2007 (-3.64%), 02 Mar 2007 (-4.05%), 05 Mar 2007 (13.16%)
2006113 Jun 2006 (27.94%)
2004117 May 2004 (32.53%)
2002623 May 2002 (13.34%), 11 Sep 2002 (8.07%), 30 Sep 2002 (7.44%), 09 Oct 2002 (-3.18%), 31 Oct 2002 (-3.21%), 01 Nov 2002 (10.24%)
2001912 Mar 2001 (-8.72%), 13 Mar 2001 (-9.5%), 27 Jul 2001 (-6.03%), 11 Sep 2001 (-4.15%), 12 Sep 2001 (-4.95%), 13 Sep 2001 (-5.44%), 14 Sep 2001 (-5.88%), 17 Sep 2001 (19.85%), 27 Dec 2001 (15.07%)
20001325 Jan 2000 (-5.61%), 28 Jan 2000 (-5.96%), 31 Jan 2000 (-6.64%), 15 Feb 2000 (-7.65%), 18 Feb 2000 (-8.24%), 02 Mar 2000 (-9.16%), 06 Apr 2000 (-8.53%), 19 Apr 2000 (-9.18%), 24 Apr 2000 (30.75%), 24 Jul 2000 (-6.3%), 19 Sep 2000 (-5.66%), 28 Sep 2000 (-5.96%), 29 Sep 2000 (20.33%)
19991201 Feb 1999 (-4.99%), 08 Feb 1999 (-5.13%), 05 Apr 1999 (-5.37%), 06 Apr 1999 (-5.87%), 07 Apr 1999 (-6.94%), 09 Apr 1999 (-7.77%), 28 Apr 1999 (22.52%), 21 Sep 1999 (18.57%), 22 Nov 1999 (-5.41%), 08 Dec 1999 (-4.91%), 13 Dec 1999 (-4.77%), 14 Dec 1999 (16.06%)
19981512 Jan 1998 (-3.97%), 15 Jan 1998 (-4.74%), 28 Jan 1998 (14.34%), 01 Jun 1998 (-5.25%), 02 Jun 1998 (-6.07%), 05 Jun 1998 (-7.1%), 10 Jun 1998 (-7.39%), 15 Jun 1998 (-8.19%), 16 Jun 1998 (-8.41%), 22 Jun 1998 (-9.85%), 23 Jun 1998 (32.57%), 24 Jul 1998 (-7.69%), 27 Jul 1998 (25.27%), 12 Oct 1998 (-6.71%), 13 Oct 1998 (21.75%)
1997328 Oct 1997 (-4.44%), 18 Nov 1997 (-4.61%), 19 Nov 1997 (14.71%)



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