Study: Sell BPCL when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell BPCL when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell BPCL 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
1-84036.6354213338.893528.428726.38-4791.92-25401.720.740.47-0.055-1556.23
2-11753454243044.444419.6220656.5-7453.51-39054.070.590.47-0.048-2176.56
3-10614254243044.445243.3224635.28-7732.71-38390.260.680.54-0.042-1965.59
4-12775854252946.36598.7620888.59-10094.05-40671.810.650.56-0.043-2365.9
5-141261542727506841.6520921.75-12073.56-39782.120.570.57-0.042-2615.95
6-13313754292553.76712.6622337.04-13112.16-42290.140.510.59-0.038-2465.5
7-12564454252946.38232.0325119.24-11429.12-39219.250.720.62-0.037-2326.73
8-74603.8854262848.159103.4828791.73-11117.66-40962.320.820.76-0.021-1381.55
9-63640.99542727509958.9435945.95-12316.01-39346.350.810.81-0.016-1178.54
10-72316.2754292553.710405.5338314.79-14963.06-57668.370.70.81-0.015-1339.19
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
atrnil37.54-10762.315614422521195.2751672.77-7321.33-19856.492.90.97-0.0029-192.18
atrnil25.51-39208.0159184130.5114236.3934448.51-7206.42-19856.491.980.87-0.013-664.54
200trail31.88-26935.0384206423.817599.5211869.75-2795.71-3936.962.720.85-0.014-320.66
200trail-12.73-32594.6884196522.627705.325853.72-2753.78-3936.962.80.82-0.015-388.03
200nil31.9-38381.0683186521.698173.0411869.75-2853.78-3936.962.860.79-0.02-462.42
atrtrail23.62-71461.568214730.8810645.2634448.51-6276.85-19856.491.70.76-0.023-1050.9
200trail21.57-53027.8486236326.745454.777913.16-2833.13-3936.961.930.7-0.034-616.6
200nil21.58-55472.386236326.745454.777913.16-2871.94-3936.961.90.69-0.035-645.03
atrtrail34.12-96003.0868204829.4110186.8620866.5-6244.59-19856.491.630.68-0.032-1411.81
atrtrail-14.47-11019368204829.419477.3631686.12-6244.59-19856.491.520.63-0.037-1620.49

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. 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 25%, which is not acceptable. Avoid this strategy. Average return per trade is -0.096%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BPCL Performance, Profit Factor:0.965

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019408 Apr 2019 (-3.25%), 24 Apr 2019 (-3.23%), 10 Jul 2019 (10.26%), 29 Aug 2019 (-3.72%)
2018215 Jan 2018 (6.59%), 20 Dec 2018 (9.83%)
2017305 Jul 2017 (-2.54%), 10 Jul 2017 (-2.68%), 28 Sep 2017 (-3.77%)
2016228 Jan 2016 (-2.76%), 21 Mar 2016 (-3.0%)
2014123 Jan 2014 (-2.86%)
2013403 Jun 2013 (-3.29%), 14 Jun 2013 (9.43%), 18 Oct 2013 (-3.92%), 27 Dec 2013 (9.53%)
2012519 Oct 2012 (-2.86%), 06 Nov 2012 (6.52%), 30 Nov 2012 (-2.35%), 18 Dec 2012 (-2.48%), 20 Dec 2012 (-2.62%)
2011311 May 2011 (-2.99%), 28 Jun 2011 (-3.07%), 01 Nov 2011 (9.17%)
2010411 Mar 2010 (-3.63%), 10 May 2010 (-3.06%), 25 May 2010 (-2.85%), 09 Jun 2010 (-3.54%)
2009120 Mar 2009 (-4.6%)
2008431 Jan 2008 (-9.93%), 24 Apr 2008 (-5.77%), 07 May 2008 (14.46%), 12 Dec 2008 (-7.43%)
2007312 Jan 2007 (9.81%), 08 May 2007 (-4.26%), 05 Jun 2007 (-4.2%)
2006218 May 2006 (-5.15%), 26 Oct 2006 (-3.38%)
2005422 Mar 2005 (10.22%), 26 May 2005 (-3.12%), 03 Jun 2005 (9.53%), 16 Sep 2005 (-3.09%)
2004108 Nov 2004 (-3.34%)
2003116 Apr 2003 (-3.22%)
2001128 Dec 2001 (-5.93%)
2000218 Feb 2000 (25.84%), 17 Nov 2000 (-4.6%)
1998201 Jan 1998 (-2.76%), 20 Apr 1998 (9.2%)
1997509 Jan 1997 (-2.62%), 07 Nov 1997 (-2.94%), 12 Nov 1997 (-3.08%), 27 Nov 1997 (-2.58%), 02 Dec 1997 (8.0%)
1996212 Feb 1996 (-3.61%), 13 Feb 1996 (-3.64%)



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