Study: Buy BHEL when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy BHEL when above 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
16678.4245232251.115250.0216741.62-5185.09-12543.551.011.060.0046148.41
2-5982.3345222348.896520.1423212.14-6496.76-27295.3510.96-0.0031-132.94
32448.0745192642.228207.3324564.36-5903.51-18058.631.391.020.001254.4
426138.7845232251.118751.3727294.3-7961.03-27244.371.11.150.011580.86
5101965452718609794.7232335.76-9027.35-35951.331.091.630.0372265.89
62010904527186012594.1732684.2-7719.6-34430.311.632.450.0684468.66
724687045291664.4413216.6628088.19-8525.81-30448.011.552.810.0835486.01
821773445291664.4413464.8539808.02-10796.66-38578.541.252.260.0654838.53
921624645281762.2214495.839523.89-11155.07-40873.891.32.140.0594805.47
1023221645281762.2216552.0346734.42-13602.43-62323.241.2220.0525160.35
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
BHEL Performance, X=7, Profit Factor:2.81

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017118 May 2017 (-6.72%)
2016229 Sep 2016 (1.47%), 21 Nov 2016 (0.97%)
2015111 Feb 2015 (6.69%)
2014407 Apr 2014 (4.9%), 11 Jul 2014 (4.84%), 08 Aug 2014 (4.78%), 16 Sep 2014 (-5.95%)
2010307 May 2010 (-2.18%), 30 Aug 2010 (-0.13%), 28 Oct 2010 (3.22%)
2009213 Jul 2009 (9.54%), 29 Oct 2009 (-0.74%)
2008116 Jan 2008 (-6.22%)
2007309 Jan 2007 (2.07%), 26 Feb 2007 (-10.91%), 16 Aug 2007 (13.21%)
2006419 May 2006 (-1.29%), 08 Jun 2006 (12.4%), 19 Jul 2006 (12.09%), 19 Dec 2006 (0.33%)
2005317 Jan 2005 (2.28%), 11 Mar 2005 (-4.38%), 28 Mar 2005 (4.92%)
2004322 Mar 2004 (13.75%), 03 May 2004 (-0.29%), 19 Nov 2004 (5.64%)
2002521 Mar 2002 (14.04%), 25 Apr 2002 (11.66%), 21 May 2002 (-1.79%), 22 Jul 2002 (2.9%), 09 Sep 2002 (-3.22%)
2001209 Mar 2001 (-2.16%), 15 Jun 2001 (3.21%)
1999302 Aug 1999 (13.41%), 16 Sep 1999 (-5.22%), 01 Nov 1999 (7.8%)
1998129 May 1998 (-15.22%)
1997410 Jun 1997 (-1.78%), 08 Jul 1997 (9.36%), 28 Aug 1997 (2.74%), 18 Sep 1997 (5.48%)
1996304 Jun 1996 (4.72%), 16 Aug 1996 (0.84%), 07 Oct 1996 (12.4%)

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
atrtrail23.5218020764303446.8813415.7726685.44-6537.23-16231.992.051.810.052815.74
atrnil24.820738659283147.4616580.9226685.44-8286.43-16231.9921.810.0553515.02
atrtrail34.6215507864293545.3113075.7831543.98-6403.43-16231.992.041.690.042423.09
atrtrail-15.3912622664293545.3112080.8839295.95-6403.43-16231.991.891.560.0331972.27
atrnil38.9114850057183931.5826046.5340028.16-8213.77-16231.993.171.460.0322605.27

In the table above, row 1 shows the best exit criterion. Profit factor is 1.81. 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 46.88%, which is not acceptable. Avoid this strategy. Average return per trade is 1.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.05, 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:1.81

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017318 May 2017 (-2.7%), 23 May 2017 (-3.09%), 24 May 2017 (6.84%)
2016229 Sep 2016 (-0.22%), 21 Nov 2016 (-4.13%)
2015111 Feb 2015 (0.42%)
2014707 Apr 2014 (1.31%), 16 Apr 2014 (7.41%), 11 Jul 2014 (3.88%), 08 Aug 2014 (-2.3%), 13 Aug 2014 (8.77%), 16 Sep 2014 (7.02%), 24 Sep 2014 (-3.76%)
2010407 May 2010 (0.07%), 30 Aug 2010 (-1.9%), 31 Aug 2010 (3.88%), 28 Oct 2010 (4.22%)
2009313 Jul 2009 (9.92%), 29 Oct 2009 (-3.12%), 03 Nov 2009 (6.95%)
2008216 Jan 2008 (-2.4%), 21 Jan 2008 (-5.35%)
2007309 Jan 2007 (-2.87%), 26 Feb 2007 (-3.31%), 16 Aug 2007 (8.99%)
2006419 May 2006 (-6.05%), 08 Jun 2006 (0.16%), 19 Jul 2006 (10.51%), 19 Dec 2006 (-1.69%)
2005617 Jan 2005 (-3.9%), 20 Jan 2005 (-3.3%), 11 Mar 2005 (-3.01%), 17 Mar 2005 (-1.45%), 28 Mar 2005 (-3.29%), 30 Mar 2005 (6.83%)
2004422 Mar 2004 (10.42%), 03 May 2004 (-1.31%), 14 May 2004 (-7.3%), 19 Nov 2004 (0.18%)
2002521 Mar 2002 (9.52%), 25 Apr 2002 (8.3%), 21 May 2002 (-4.12%), 22 Jul 2002 (6.24%), 09 Sep 2002 (-2.44%)
2001209 Mar 2001 (-8.12%), 15 Jun 2001 (9.28%)
1999402 Aug 1999 (13.34%), 16 Sep 1999 (-5.48%), 20 Sep 1999 (11.93%), 01 Nov 1999 (12.37%)
1998129 May 1998 (-4.34%)
1997810 Jun 1997 (-0.76%), 13 Jun 1997 (-1.55%), 20 Jun 1997 (0.38%), 08 Jul 1997 (9.11%), 28 Aug 1997 (-4.01%), 29 Aug 1997 (-2.46%), 04 Sep 1997 (8.07%), 18 Sep 1997 (-3.94%)
1996504 Jun 1996 (-3.76%), 05 Jun 1996 (8.13%), 16 Aug 1996 (-2.92%), 19 Aug 1996 (6.77%), 07 Oct 1996 (-0.78%)



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