Study: Buy BOSCHLTD when above 200 SMA and RSI is oversold

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In this study, we evaluate the performance of strategy "Buy BOSCHLTD when above 200 SMA and RSI is oversold" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy BOSCHLTD 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
14209.2297277.782641.285208.18-7139.86-9363.160.371.290.022467.69
227907.4197277.784974.4914426.87-3457.02-4765.431.445.040.123100.82
335644.9997277.785655.5318746.92-1971.85-3070.812.8710.040.143960.55
449543.3298188.896313.1219510.22-961.61-961.616.5752.520.215504.81
564521.8198188.898092.624428.26-218.99-218.9936.95295.630.227169.09
657374.6898188.897247.4921695.55-605.28-605.2811.9795.790.196374.96
750682.9697277.787737.4118957.77-1739.44-2058.444.4515.570.165631.44
840653.1596366.679016.1718816.92-4481.28-9310.792.014.020.114517.02
939483.5896366.678694.6418451.96-4228.09-9182.322.064.110.114387.06
1037256.6897277.787330.3320640.57-7027.82-12874.371.043.650.0914139.63
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
BOSCHLTD Performance, X=5, Profit Factor:296

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015124 Apr 2015 (3.44%)
2014130 Jan 2014 (3.17%)
2012111 Sep 2012 (2.04%)
2011102 Feb 2011 (1.34%)
2007205 Mar 2007 (-0.11%), 23 Aug 2007 (3.25%)
2005104 Jul 2005 (1.57%)
2004117 May 2004 (12.21%)
2002108 Oct 2002 (5.34%)

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
atrnil210.156596.4310737011903.918594.43-8910.29-10276.971.343.120.115659.64
atrnil314.261696.5810646016261.3927891.64-8967.94-10276.971.812.720.0966169.66
atrtrail26.4513109.09115645.458432.918281.75-4842.56-10276.971.741.450.031191.74
atrtrail-18.1810144.41115645.457839.9619724.22-4842.56-10276.971.621.350.023922.22
atrtrail37.18980.84115645.456007.2510560.65-4842.56-10276.971.241.030.002889.17

In the table above, row 1 shows the best exit criterion. Profit factor is 3.12. Strategy is very good and impressively bullish. Percentage of profitable trades is 70%, which is good. Average return per trade is 2.83%, which is very good. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BOSCHLTD Performance, Profit Factor:3.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015224 Apr 2015 (-4.11%), 27 Apr 2015 (9.14%)
2014130 Jan 2014 (5.69%)
2012111 Sep 2012 (3.72%)
2011102 Feb 2011 (4.98%)
2007205 Mar 2007 (-4.12%), 23 Aug 2007 (9.3%)
2005104 Jul 2005 (5.32%)
2004117 May 2004 (-5.14%)
2002108 Oct 2002 (3.52%)



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