Study: Sell BPCL when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell BPCL when below 200 SMA and near 50 SMA and below 50 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
1-45471.4502525502622.086409.67-4440.94-16709.940.590.59-0.039-909.43
2-74621.81502624523407.3516568.41-6800.54-26953.030.50.54-0.041-1492.44
3-149983501733343455.2810975.06-6324.93-26905.830.550.28-0.082-2999.66
4-107728502030406217.5622058.03-7735.99-32395.360.80.54-0.046-2154.57
5-50253.5502030408845.9857442.24-7572.44-52303.91.170.78-0.015-1005.07
6-48376.89502426489150.5857657.17-10307.34-43826.940.890.82-0.013-967.54
7-79922.815020304011977.6561794.73-10649.19-48751.321.120.75-0.02-1598.46
8-1482275018323612720.7257388.5-11787.49-45796.691.080.61-0.037-2964.53
9-1787915018323613158.7450537.35-12989.01-44776.641.010.57-0.041-3575.82
10-1405595020304012309.3544760.88-12891.53-42877.240.950.64-0.033-2811.18
Although, strategy looks good but profit factor on day 3 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
50nil32-37856.2876166021.058897.5111537.62-3003.61-3973.272.960.79-0.021-498.11
50nil21.58-39419.4981235828.45998.57691.75-3058.36-3973.271.960.78-0.024-486.66
50trail31.8-41249.6680176321.257783.5211537.62-2755.07-3973.272.830.76-0.023-515.62
50trail21.5-40601.6482226026.835902.187691.75-2840.83-3973.272.080.76-0.025-495.14
50trail-12.28-10156879126715.196225.5225270-2630.96-3973.272.370.42-0.058-1285.67
atrnil37.6-2275435374613.2121640.0536425.16-8239.64-19071.42.630.4-0.082-4293.26
atrnil26.4-24863557104717.5414022.0324283.44-8273.52-19071.41.690.36-0.099-4362.02
atrtrail-14.89-21707064115317.197681.626608.5-5689.96-14352.891.350.28-0.1-3391.73
atrtrail34.64-21763564115317.197630.2519078.91-5689.96-14352.891.340.28-0.11-3400.55
atrtrail24.48-23458164115317.196089.7712719.28-5689.96-14352.891.070.22-0.13-3665.32

In the table above, row 1 shows the best exit criterion. Profit factor is 0.79. 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 21.05%, which is not acceptable. Avoid this strategy. Average return per trade is -0.25%, 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:0.79

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019329 Jan 2019 (-1.13%), 31 Jan 2019 (3.57%), 29 Aug 2019 (-1.29%)
2018713 Mar 2018 (5.11%), 28 May 2018 (-1.69%), 30 May 2018 (-1.61%), 17 Jul 2018 (-1.78%), 07 Aug 2018 (-1.68%), 27 Sep 2018 (-1.72%), 14 Nov 2018 (-1.59%)
2014117 Jan 2014 (-1.43%)
20131011 Sep 2013 (5.0%), 25 Sep 2013 (-1.52%), 13 Nov 2013 (-1.01%), 20 Nov 2013 (-1.95%), 29 Nov 2013 (-1.74%), 18 Dec 2013 (-1.7%), 23 Dec 2013 (-1.45%), 24 Dec 2013 (-1.24%), 30 Dec 2013 (-1.26%), 31 Dec 2013 (-1.31%)
2011103 Jun 2011 (-1.01%)
2010115 Jun 2010 (-1.66%)
2008322 Jul 2008 (-1.51%), 28 Aug 2008 (-1.99%), 07 Nov 2008 (-1.77%)
2007608 Jan 2007 (5.7%), 16 Jan 2007 (-1.38%), 11 Apr 2007 (3.5%), 13 Apr 2007 (-1.61%), 11 Jun 2007 (-1.88%), 10 Sep 2007 (-1.93%)
20051112 May 2005 (-1.12%), 13 May 2005 (-1.25%), 08 Jun 2005 (-1.66%), 15 Jun 2005 (-1.62%), 20 Jun 2005 (-1.6%), 01 Jul 2005 (5.44%), 29 Jul 2005 (-1.7%), 05 Aug 2005 (3.07%), 10 Aug 2005 (-1.82%), 17 Aug 2005 (-1.33%), 30 Aug 2005 (-1.86%)
2004821 Jul 2004 (-1.28%), 22 Jul 2004 (-1.33%), 28 Jul 2004 (-1.16%), 03 Sep 2004 (-1.34%), 08 Oct 2004 (-1.78%), 11 Oct 2004 (-1.0%), 12 Oct 2004 (-1.57%), 28 Oct 2004 (3.94%)
2003317 Feb 2003 (-1.21%), 26 Feb 2003 (-1.55%), 07 Mar 2003 (4.69%)
2001404 Oct 2001 (-1.1%), 05 Oct 2001 (5.77%), 09 Oct 2001 (4.14%), 22 Oct 2001 (-1.27%)
2000424 May 2000 (-1.73%), 28 Jun 2000 (-1.59%), 05 Sep 2000 (-1.43%), 21 Sep 2000 (-1.13%)
1999125 Mar 1999 (4.87%)
1998813 Jan 1998 (4.06%), 26 Feb 1998 (-1.88%), 27 Feb 1998 (3.58%), 05 Mar 1998 (3.08%), 19 Mar 1998 (-1.44%), 22 Oct 1998 (-1.59%), 02 Nov 1998 (-1.27%), 06 Nov 1998 (-1.32%)
1996504 Oct 1996 (-1.88%), 17 Oct 1996 (-1.16%), 05 Nov 1996 (-1.59%), 08 Nov 1996 (-1.72%), 28 Nov 1996 (5.68%)



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