Study: Buy BPCL when RSI is above 50 and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy BPCL when RSI is above 50 and there is Golden 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: 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
1-5592.591871138.893063.2710629.37-2457.77-7669.941.250.79-0.017-310.7
2543.581881044.445218.9413734.27-4120.79-11878.721.271.010.0009630.2
3-718.931871138.8910935.1626309.07-7024.09-23971.231.560.99-0.00073-39.94
410021.811810855.568607.6919476.37-9506.88-21909.160.911.130.01556.77
5-11953.351881044.449082.6217903.35-8461.43-24046.641.070.86-0.012-664.07
6-8674.091881044.449723.4713711.33-8646.19-16019.721.120.9-0.0095-481.89
7-9012.921881044.449621.9612907.06-8598.86-15420.681.120.9-0.01-500.72
8-1912.341899507869.3111747.21-8081.79-17002.670.970.97-0.0024-106.24
919823.141811761.118048.3621804.07-9815.54-19285.890.821.290.0211101.29
1041865.5618995011876.9935460.72-7225.26-19091.571.641.640.0382325.86
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
atrtrail23.9547897.181910952.6311182.4221660.75-7103-11390.741.571.750.0492520.9
atrnil26.6848773.381981142.1116435.5423083.8-7519.18-11390.742.191.590.0432567.02
atrtrail35.1639579.21991047.3712337.9632491.13-7146.25-11390.741.731.550.0342083.12
atrtrail-15.4710462.191991047.379102.7424510.76-7146.25-11390.741.271.150.012550.64
atrnil39.636913.061951426.3223304.9332491.13-7829.4-11541.92.981.060.0052363.85

In the table above, row 1 shows the best exit criterion. Profit factor is 1.75. 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 52.63%, which is not acceptable. Avoid this strategy. Average return per trade is 1.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.049, 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:1.75

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019226 Mar 2019 (0.52%), 27 Sep 2019 (9.85%)
2014111 Feb 2014 (-1.59%)
2013121 Jan 2013 (-3.41%)
2012126 Mar 2012 (2.84%)
2011129 Jul 2011 (5.17%)
2010105 Jul 2010 (7.82%)
2009106 Jan 2009 (-3.76%)
2007202 Jul 2007 (7.54%), 26 Oct 2007 (-5.7%)
2005124 Oct 2005 (-3.5%)
2004116 Dec 2004 (3.04%)
2003106 May 2003 (-1.03%)
2001120 Dec 2001 (-5.54%)
2000120 Dec 2000 (-4.68%)
1999130 Jun 1999 (10.83%)
1997111 Feb 1997 (6.4%)
1996217 Apr 1996 (-2.76%), 18 Apr 1996 (1.9%)



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