Study: Buy BPCL when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy BPCL when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
143286.1279374246.844639.0230243.24-3056.13-10529.141.521.340.02547.93
248830.7879413851.95733.2722540.54-4900.87-16934.051.171.260.018618.11
310471579443555.77199.0920167-6058.43-18305.31.191.490.0321325.5
419294179502963.298478.5240486.49-7965.01-20480.611.061.840.0482442.29
524523579463358.2311224.4641918.92-8214.86-24846.311.371.90.0523104.24
627723379483160.7611047.8251486.49-8163.3-18647.541.352.10.0583509.28
730176779483160.7611641.2640837.84-8290.77-20730.921.42.170.0623819.83
851056679423753.1619004.46233508-7773.56-22946.042.442.780.0466462.86
949111579483160.7617000.73225659-10481.29-28519.11.622.510.0446216.64
1058313179453456.9619204.95227360-8267.4-26652.12.323.070.0527381.41
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
BPCL Performance, X=10, Profit Factor:3.07

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019311 Apr 2019 (5.02%), 21 May 2019 (9.05%), 17 Jun 2019 (-0.52%)
2017807 Apr 2017 (5.85%), 22 May 2017 (4.74%), 07 Jun 2017 (-8.77%), 21 Sep 2017 (-1.32%), 10 Nov 2017 (-0.21%), 27 Nov 2017 (1.13%), 14 Dec 2017 (0.81%), 29 Dec 2017 (-5.37%)
2016425 May 2016 (113.68%), 19 Sep 2016 (7.27%), 16 Nov 2016 (1.55%), 29 Dec 2016 (3.07%)
2015720 Mar 2015 (9.44%), 05 May 2015 (0.9%), 21 May 2015 (11.55%), 30 Oct 2015 (3.16%), 17 Nov 2015 (6.38%), 11 Dec 2015 (1.16%), 28 Dec 2015 (-1.69%)
2014420 Feb 2014 (20.52%), 14 Jul 2014 (1.0%), 07 Aug 2014 (14.88%), 26 Sep 2014 (4.19%)
2013214 Feb 2013 (-3.98%), 12 Mar 2013 (-5.56%)
2012508 May 2012 (7.02%), 31 May 2012 (5.98%), 24 Jul 2012 (-8.26%), 01 Oct 2012 (-1.71%), 23 Oct 2012 (-2.5%)
2011326 Aug 2011 (-2.11%), 15 Sep 2011 (-2.49%), 04 Oct 2011 (-3.84%)
2010212 Oct 2010 (-4.66%), 01 Nov 2010 (-2.32%)
2009526 Feb 2009 (-6.73%), 15 May 2009 (25.59%), 25 Jun 2009 (13.81%), 15 Oct 2009 (-6.02%), 24 Nov 2009 (18.16%)
2008108 Feb 2008 (-3.07%)
2006330 Jan 2006 (5.68%), 24 Mar 2006 (4.53%), 27 Apr 2006 (3.12%)
2005412 Jan 2005 (-3.08%), 01 Feb 2005 (3.42%), 08 Nov 2005 (6.93%), 08 Dec 2005 (2.87%)
2004203 Feb 2004 (11.39%), 26 Mar 2004 (3.94%)
2003417 Jul 2003 (-1.99%), 01 Aug 2003 (4.77%), 16 Oct 2003 (-2.87%), 20 Nov 2003 (9.06%)
2002602 Jan 2002 (11.44%), 16 Apr 2002 (-5.34%), 09 May 2002 (-11.39%), 17 Jun 2002 (-3.11%), 01 Jul 2002 (6.52%), 16 Aug 2002 (-4.5%)
2001402 Apr 2001 (28.18%), 31 May 2001 (-4.02%), 31 Jul 2001 (-2.98%), 28 Aug 2001 (-13.33%)
2000205 Jan 2000 (4.7%), 31 Jan 2000 (-7.89%)
1999320 Aug 1999 (2.9%), 06 Sep 1999 (8.59%), 01 Nov 1999 (6.18%)
1997507 Apr 1997 (0.08%), 28 Apr 1997 (8.6%), 03 Sep 1997 (-0.94%), 10 Oct 1997 (-0.71%), 24 Oct 1997 (-4.2%)
1996231 May 1996 (3.29%), 14 Jun 1996 (-3.1%)

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
50trail-13.58215564110327829.0913203.654237.02-2653.22-3965.634.982.040.041959.67
atrtrail-16.0726741092385441.314184.2156688.68-5029.44-10058.072.821.980.0462906.63
atrtrail35.0125379492385441.313825.8948454.34-5029.44-10058.072.751.930.0492758.63
atrnil38.952802537527483623255.3348454.34-7242.51-15919.743.211.810.0493736.71
atrtrail24.420798692385441.312620.4232302.9-5029.44-10058.072.511.770.0462260.72
atrnil26.4221648479334641.7716277.0132302.9-6970.81-15919.742.341.680.0462740.31
50nil32.675787.93103317230.19440.9411809.14-3012.24-3987.973.131.350.026735.81
50trail32.2456037.72111337829.737997.1211809.14-2664.96-3965.6331.270.02504.84
50trail21.8310679.79113377632.745934.877872.76-2748.82-3965.632.161.050.004694.51
50nil2210589.72107367133.646250.237936.52-3019.98-3987.972.071.050.004598.97

In the table above, row 1 shows the best exit criterion. Profit factor is 2.04. 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 29.09%, which is not acceptable. Avoid this strategy. Average return per trade is 0.98%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, 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.
BPCL Performance, Profit Factor:2.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019511 Apr 2019 (-1.74%), 18 Apr 2019 (-1.67%), 21 May 2019 (8.7%), 17 Jun 2019 (-1.3%), 24 Jun 2019 (1.51%)
2017902 Jan 2017 (2.25%), 07 Apr 2017 (5.86%), 22 May 2017 (6.32%), 07 Jun 2017 (-1.88%), 21 Sep 2017 (-1.09%), 10 Nov 2017 (-1.85%), 20 Nov 2017 (-1.1%), 14 Dec 2017 (-0.49%), 29 Dec 2017 (-1.34%)
2016805 Jan 2016 (-1.4%), 08 Jan 2016 (-1.56%), 25 May 2016 (7.22%), 19 Sep 2016 (3.1%), 16 Nov 2016 (-1.16%), 17 Nov 2016 (-1.22%), 29 Nov 2016 (-1.07%), 29 Dec 2016 (-1.03%)
2015820 Mar 2015 (-1.69%), 05 May 2015 (-1.9%), 21 May 2015 (-0.23%), 30 Oct 2015 (0.91%), 10 Nov 2015 (1.22%), 17 Nov 2015 (2.15%), 11 Dec 2015 (-1.22%), 18 Dec 2015 (-0.98%)
2014520 Feb 2014 (27.12%), 14 Jul 2014 (1.36%), 07 Aug 2014 (-1.15%), 12 Aug 2014 (12.29%), 26 Sep 2014 (3.52%)
2013414 Feb 2013 (-1.92%), 21 Feb 2013 (-1.96%), 12 Mar 2013 (-1.14%), 15 Mar 2013 (-1.56%)
2012808 May 2012 (6.66%), 31 May 2012 (-1.8%), 01 Jun 2012 (-1.35%), 07 Jun 2012 (7.56%), 24 Jul 2012 (-1.51%), 01 Oct 2012 (-0.7%), 10 Oct 2012 (-1.2%), 23 Oct 2012 (-1.18%)
2011526 Aug 2011 (-0.6%), 06 Sep 2011 (-1.04%), 15 Sep 2011 (-1.02%), 04 Oct 2011 (-1.34%), 10 Oct 2011 (-1.07%)
2010312 Oct 2010 (-1.55%), 01 Nov 2010 (-0.3%), 10 Nov 2010 (-1.46%)
2009626 Feb 2009 (-1.64%), 04 Mar 2009 (-1.35%), 15 May 2009 (24.42%), 25 Jun 2009 (1.17%), 15 Oct 2009 (-1.05%), 24 Nov 2009 (15.53%)
2008108 Feb 2008 (-1.28%)
2006530 Jan 2006 (-1.2%), 08 Feb 2006 (4.4%), 24 Mar 2006 (-1.93%), 27 Apr 2006 (-1.18%), 29 Apr 2006 (-1.75%)
2005512 Jan 2005 (-1.91%), 01 Feb 2005 (3.45%), 08 Nov 2005 (9.72%), 08 Dec 2005 (-1.43%), 14 Dec 2005 (-1.31%)
2004303 Feb 2004 (-1.24%), 04 Feb 2004 (9.9%), 26 Mar 2004 (3.1%)
2003517 Jul 2003 (-1.66%), 01 Aug 2003 (-1.56%), 16 Oct 2003 (-0.94%), 20 Nov 2003 (-1.5%), 21 Nov 2003 (16.61%)
2002702 Jan 2002 (-1.69%), 16 Apr 2002 (-1.89%), 09 May 2002 (-1.7%), 17 Jun 2002 (-1.9%), 01 Jul 2002 (-1.38%), 02 Jul 2002 (1.09%), 16 Aug 2002 (-0.12%)
2001602 Apr 2001 (-1.18%), 04 Apr 2001 (3.46%), 31 May 2001 (-1.29%), 31 Jul 2001 (-1.22%), 28 Aug 2001 (-1.77%), 29 Aug 2001 (-1.46%)
2000205 Jan 2000 (4.51%), 31 Jan 2000 (-1.54%)
1999320 Aug 1999 (-1.92%), 06 Sep 1999 (7.35%), 01 Nov 1999 (-1.01%)
1997807 Apr 1997 (0.3%), 12 Apr 1997 (-0.23%), 28 Apr 1997 (-1.22%), 29 Apr 1997 (6.93%), 03 Sep 1997 (-1.17%), 10 Oct 1997 (-0.35%), 21 Oct 1997 (-1.32%), 24 Oct 1997 (-1.24%)
1996431 May 1996 (-1.86%), 05 Jun 1996 (-1.32%), 06 Jun 1996 (1.55%), 14 Jun 1996 (-1.98%)



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