Study: Sell BPCL when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell BPCL when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)" 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
1-26631.921810855.562612.8410603.59-6595.04-14921.090.40.5-0.052-1479.55
2-19700.691811761.113651.727782.2-8552.79-14520.550.430.67-0.033-1094.48
3-37295.171899504583.8819753.73-8727.79-17550.550.530.53-0.048-2071.95
4-81696.461871138.897120.519566.13-11958.18-37008.780.60.38-0.067-4538.69
5-56186.321871138.898778.0331014.7-10693.87-36474.630.820.52-0.046-3121.46
6-60293.641881044.447675.1931518.54-12169.52-32888.210.630.5-0.047-3349.65
7-80799.971881044.448686.9543890.83-15029.55-45097.290.580.46-0.052-4488.89
8-1242051861233.3310308.0640671.8-15504.43-43876.380.660.33-0.079-6900.27
9-1260111851327.7814546.0747025.89-15287.76-440290.950.37-0.076-7000.59
10-1441731861233.3314387.3749209.24-19208.1-53948.870.750.37-0.076-8009.61
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
atrnil25.19-1288502131814.2917010.5821651.38-9993.44-18244.381.70.28-0.12-6135.72
atrtrail23.81-1100392141719.058207.1921651.38-8404.01-17516.820.980.23-0.12-5239.97
atrnil35.52-163782211204.7631211.5231211.52-9749.7-18244.383.20.16-0.16-7799.16
atrtrail33.95-1249612141719.054476.748693.51-8404.01-17516.820.530.13-0.18-5950.54
atrtrail-13.95-1249612141719.054476.748693.51-8404.01-17516.820.530.13-0.18-5950.54

In the table above, row 1 shows the best exit criterion. Profit factor is 0.28. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BPCL Performance, Profit Factor:0.284

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019127 Aug 2019 (-3.86%)
2018126 Feb 2018 (-3.26%)
2016119 Feb 2016 (-3.9%)
2013116 Jul 2013 (-3.65%)
2012112 Nov 2012 (4.29%)
2011231 Jan 2011 (-3.66%), 24 Nov 2011 (-4.57%)
2010120 Apr 2010 (-2.77%)
2008129 May 2008 (10.4%)
2007125 Jul 2007 (-3.5%)
2006219 Jun 2006 (-7.84%), 20 Jun 2006 (-9.12%)
2005102 May 2005 (-3.36%)
2004116 Jun 2004 (-7.86%)
2002125 Sep 2002 (10.83%)
2001219 Sep 2001 (-7.32%), 20 Sep 2001 (-7.11%)
2000128 Mar 2000 (-8.76%)
1997218 Dec 1997 (-2.87%), 19 Dec 1997 (-3.05%)
1996110 Sep 1996 (-3.48%)



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