Study: Sell BPCL when near 200 SMA and below 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell BPCL when near 200 SMA and below 200 SMA and ADX is Trending" 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
1-10986.82181338.14588.028726.38-3668.54-11414.581.250.77-0.02-523.18
2-17647.662191242.86521013240.59-5378.14-12258.420.970.73-0.026-840.36
3-25955.852191242.865314.6913048.69-6149-10662.260.860.65-0.039-1235.99
4-27918.8721111052.385945.5613914.68-9332-15828.20.640.7-0.031-1329.47
5-25562.4321111052.387082.1313968.51-10346.58-18741.550.680.75-0.025-1217.26
6-21923.3621111052.387412.7419647.42-10346.35-21775.040.720.79-0.021-1043.97
7-52718.6821101147.628064.1417332.8-12123.65-25889.770.670.6-0.045-2510.41
8-45649.6221101147.627351.9114856.68-10833.52-191320.680.62-0.041-2173.79
9-74389.3921111052.386933.3517212.89-15065.63-30786.610.460.51-0.054-3542.35
10-37966.9621111052.389030.418975.49-13730.13-27438.40.660.72-0.028-1807.95
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
200trail31.691346.423592625.718163.1311285.99-2773.91-3800.82.941.020.001638.47
atrnil37.64-4808.372261627.2718628.5919894.57-7286.24-11868.182.560.96-0.0038-218.56
200nil31.71-3940.373482623.538688.7511285.99-2825.01-3823.473.080.95-0.0047-115.89
200trail21.46-12131.7535102528.575784.217523.99-2798.95-3800.82.070.83-0.018-346.62
200nil21.49-13460.435102528.575784.217523.99-2852.1-3823.472.030.81-0.02-384.58
200trail-12.46-18983.083582722.866651.0817582.48-2673.77-3800.82.490.74-0.024-542.37
atrtrail34.46-31489.4226101638.466889.3520866.5-6273.93-11868.181.10.69-0.031-1211.13
atrnil26.68-42065.542261627.2712419.0613263.04-7286.24-11868.181.70.64-0.044-1912.07
atrtrail24.08-36275.8826101638.466410.713911-6273.93-11868.181.020.64-0.039-1395.23
atrtrail-14.69-41514.4126101638.465886.8516602.78-6273.93-11868.180.940.59-0.046-1596.71

In the table above, row 1 shows the best exit criterion. Profit factor is 1.02. 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 25.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.019%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0016, 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:1.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019401 Jan 2019 (4.37%), 24 Jul 2019 (3.9%), 29 Aug 2019 (-1.78%), 03 Sep 2019 (-1.48%)
2018201 Feb 2018 (3.12%), 20 Dec 2018 (-1.2%)
2017205 Jul 2017 (-1.29%), 10 Jul 2017 (-1.55%)
2016323 Mar 2016 (-1.64%), 28 Mar 2016 (-1.06%), 29 Mar 2016 (-1.03%)
2013804 Jun 2013 (-1.0%), 14 Jun 2013 (5.64%), 02 Jul 2013 (4.03%), 18 Oct 2013 (-1.26%), 21 Oct 2013 (-1.1%), 22 Oct 2013 (-1.59%), 30 Oct 2013 (-1.2%), 31 Oct 2013 (-1.69%)
2011111 May 2011 (-1.9%)
2010225 May 2010 (-1.03%), 09 Jun 2010 (-1.07%)
2009120 Mar 2009 (-1.58%)
2007512 Jan 2007 (5.12%), 18 Jan 2007 (-1.8%), 19 Jan 2007 (1.71%), 29 Jan 2007 (5.4%), 08 May 2007 (-1.73%)
2006126 Oct 2006 (-1.61%)
2005116 Sep 2005 (-1.53%)
2001128 Dec 2001 (-1.18%)
2000217 Nov 2000 (3.44%), 27 Nov 2000 (-1.76%)
1996212 Feb 1996 (-1.0%), 13 Feb 1996 (-1.0%)



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