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

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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 and RSI is above 50" 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
125340.7239221756.413670.7713648.15-3259.77-10529.141.131.460.028649.76
264984.7839241561.545266.2111592.59-4093.62-9109.591.292.060.061666.28
392323.5639251464.16859.6420167-5654.82-11964.321.212.170.062367.27
412202339271269.238341.4421116.31-8599.64-20480.610.972.180.0653128.8
517751139251464.111391.9129213.92-7663.35-20753.691.492.650.0834551.56
617258539251464.111147.3422520.24-7578.5-17316.771.472.630.0824425.25
721931539261366.671209530464.14-7319.64-16334.471.653.30.0965623.46
819910639231658.9714187.1352362.42-7949.9-22946.041.782.570.0725105.27
913120539221756.4113015.9734344.82-9126.28-28519.11.431.850.053364.22
1015803339211853.8514306.4336314.81-7911.2-26652.11.812.110.0594052.14
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
BPCL Performance, X=7, Profit Factor:3.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019121 May 2019 (8.87%)
2017207 Apr 2017 (7.04%), 14 Dec 2017 (4.94%)
2016305 Jan 2016 (0.75%), 19 Sep 2016 (5.31%), 29 Dec 2016 (2.1%)
2015221 May 2015 (10.79%), 18 Dec 2015 (-1.0%)
2014107 Aug 2014 (15.23%)
2013112 Mar 2013 (-7.03%)
2012308 May 2012 (8.16%), 01 Oct 2012 (0.37%), 23 Oct 2012 (-3.59%)
2011215 Sep 2011 (-2.18%), 04 Oct 2011 (-2.75%)
2010101 Nov 2010 (0.13%)
2009124 Nov 2009 (11.72%)
2008108 Feb 2008 (3.23%)
2006308 Feb 2006 (2.85%), 24 Mar 2006 (5.32%), 29 Apr 2006 (5.95%)
2005201 Feb 2005 (4.95%), 08 Nov 2005 (10.72%)
2004126 Mar 2004 (3.05%)
2003101 Aug 2003 (2.5%)
2002309 May 2002 (-8.17%), 17 Jun 2002 (-7.92%), 01 Jul 2002 (2.67%)
2001304 Apr 2001 (12.31%), 31 Jul 2001 (-2.04%), 28 Aug 2001 (-7.97%)
2000131 Jan 2000 (-0.38%)
1999220 Aug 1999 (5.76%), 06 Sep 1999 (11.47%)
1997407 Apr 1997 (0.51%), 28 Apr 1997 (10.54%), 03 Sep 1997 (-0.79%), 10 Oct 1997 (-0.12%)
1996114 Jun 1996 (-3.62%)

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
atrtrail34.711552574518274015574.2746470.65-4632.61-9837.563.362.240.0583450.14
50trail-13.8210141851163531.3711775.9731055-2485.66-3965.634.742.170.051988.58
atrtrail24.271178954518274013498.6230980.43-4632.61-9837.562.911.940.0542619.88
atrtrail-15.671175534518274013479.6435890.32-4632.61-9837.562.911.940.052612.29
50nil32.9874761.7147173036.179653.0211760.12-2977.99-3968.263.241.840.0531590.67
50trail32.4565673.651173433.338897.8311760.12-2517.34-3965.633.531.770.0471287.72
atrnil37.6812440341142734.1522483.7546470.65-7050.71-15919.743.191.650.0413034.22
atrnil26.0783228.1542172540.4815264.8630980.43-7050.98-15919.742.161.470.0351981.62
50nil22.2135296.1748192939.586424.657936.52-2992.14-3965.632.151.410.032735.34
50trail21.9625679.8152193336.545942.347840.08-2643.17-3965.632.251.290.023493.84

In the table above, row 1 shows the best exit criterion. Profit factor is 2.24. 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 40%, which is not acceptable. Avoid this strategy. Average return per trade is 1.73%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.058, 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:2.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019121 May 2019 (11.63%)
2017207 Apr 2017 (7.28%), 14 Dec 2017 (-0.73%)
2016405 Jan 2016 (-1.02%), 08 Jan 2016 (-2.28%), 19 Sep 2016 (3.8%), 29 Dec 2016 (2.61%)
2015221 May 2015 (9.43%), 18 Dec 2015 (-1.74%)
2014207 Aug 2014 (-3.39%), 12 Aug 2014 (10.02%)
2013112 Mar 2013 (-2.37%)
2012408 May 2012 (9.31%), 01 Oct 2012 (-0.85%), 10 Oct 2012 (-2.86%), 23 Oct 2012 (-2.06%)
2011215 Sep 2011 (-2.45%), 04 Oct 2011 (-2.59%)
2010201 Nov 2010 (-0.62%), 10 Nov 2010 (-2.78%)
2009124 Nov 2009 (9.26%)
2008108 Feb 2008 (-0.6%)
2006308 Feb 2006 (2.79%), 24 Mar 2006 (-2.8%), 29 Apr 2006 (14.04%)
2005201 Feb 2005 (2.39%), 08 Nov 2005 (10.9%)
2004126 Mar 2004 (1.96%)
2003101 Aug 2003 (-2.73%)
2002309 May 2002 (-4.37%), 17 Jun 2002 (-4.92%), 01 Jul 2002 (2.9%)
2001404 Apr 2001 (23.24%), 31 Jul 2001 (-4.11%), 28 Aug 2001 (-3.05%), 29 Aug 2001 (-3.16%)
2000131 Jan 2000 (-0.75%)
1999220 Aug 1999 (2.37%), 06 Sep 1999 (9.3%)
1997507 Apr 1997 (-0.29%), 12 Apr 1997 (-1.59%), 29 Apr 1997 (6.95%), 03 Sep 1997 (-3.09%), 10 Oct 1997 (-2.06%)
1996114 Jun 1996 (-3.3%)



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