Study: Sell BHEL when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell BHEL when below 200 SMA and RSI is overbought" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. buy 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
181.1595455.563673.17232.7-4571.09-6414.830.810.00049.02
2-14676.0893633.332111.343836.48-3501.68-6201.060.60.3-0.1-1630.68
3-13514.2594544.444887.248930.82-6612.65-14657.060.740.59-0.044-1501.58
47895.994544.449012.8417924.53-5631.09-14719.71.61.280.02877.32
519729.0595455.568796.622081.04-6063.49-14970.251.451.810.0442192.12
616052.395455.567961.5520810.44-5938.86-7391.171.341.680.0421783.59
720418.6795455.568696.2818818.68-5765.68-9706.631.511.890.0532268.74
871656.7296366.6715000.5831318.68-6115.58-9750.532.454.910.127961.86
980653.0396366.6717990.6933276.1-9097.04-24689.951.983.960.118961.45
1064605.496366.6719252.5241723.9-16969.9-44818.251.132.270.0637178.38
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=8, Profit Factor:4.91

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017126 Oct 2017 (3.47%)
2016213 Apr 2016 (6.47%), 04 Jul 2016 (-3.3%)
2013102 Dec 2013 (-1.0%)
2012121 Feb 2012 (6.64%)
2001106 Nov 2001 (0.76%)
2000107 Jul 2000 (12.01%)
1998220 Mar 1998 (-4.88%), 24 Sep 1998 (15.66%)

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-14.6936696.5134930.7722481.1345383.02-5914.22-7924.393.81.690.0362822.81
atrnil36.1537701.63134930.7725353.6329142.26-7079.21-9210.773.581.590.0392900.13
atrtrail33.9213119.66134930.7716586.9229142.26-5914.22-7924.392.81.250.0171009.2
atrtrail23.694016.85134930.7714311.2219428.17-5914.22-7924.392.421.080.0063308.99
atrnil24.463896.79134930.7716902.4219428.17-7079.21-9210.772.391.060.0055299.75

In the table above, row 1 shows the best exit criterion. Profit factor is 1.69. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 30.77%, 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 0.036, 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:1.69

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017126 Oct 2017 (-1.66%)
2016313 Apr 2016 (2.46%), 04 Jul 2016 (-2.95%), 13 Jul 2016 (-2.0%)
2013202 Dec 2013 (-3.37%), 04 Dec 2013 (-3.24%)
2012121 Feb 2012 (4.16%)
2001106 Nov 2001 (-1.99%)
2000107 Jul 2000 (15.65%)
1998420 Mar 1998 (-3.51%), 24 Sep 1998 (-3.94%), 25 Sep 1998 (-3.96%), 28 Sep 1998 (22.69%)



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