Study: Buy BPCL when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy BPCL when below 200 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
1-51957.1889454450.564165.9317823.45-5441.46-15991.290.770.78-0.019-583.79
2-17383189365340.456111.6522677.06-7431.14-29281.050.820.56-0.045-1953.16
3-19187789325735.968417.9849447.69-8092.14-27538.131.040.58-0.039-2155.92
4-10167089395043.828272.3139816.36-8485.81-26884.530.970.76-0.02-1142.36
5-17857489325735.9611498.841715.4-9588.34-45348.621.20.67-0.029-2006.45
6-92389.2389385142.711440.7745808.97-10336.05-52304.751.110.82-0.014-1038.08
7-50329.1789375241.5713245.0575308.64-10392.23-44423.211.270.91-0.0067-565.5
8-54206.7589395043.8214064.2998310.59-12054.28-43604.651.170.91-0.0064-609.06
92530.7389424747.1914774.21112411-13148.64-46303.721.1210.0002728.44
1031588.2789414846.0716203.22112346-13182.16-50776.211.231.050.0033354.92
Although, strategy looks good but profit factor on day 2 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
atrtrail34.542416921866412234.4118216.0960483.87-7574.9-21575.632.41.260.0171299.42
atrtrail-15.281645081866412234.4117010.0858589.36-7574.9-21575.632.251.180.012884.45
atrnil38.661660731574011725.4831316.5773740.65-9287.09-24141.183.371.150.0111057.79
atrtrail24.0257561.481866412234.4115339.0549160.43-7574.9-21575.632.021.060.0047309.47
atrnil25.7370311685511332.7419299.749160.43-9331.44-24141.182.071.010.0005841.85

In the table above, row 1 shows the best exit criterion. Profit factor is 1.26. 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 34.41%, which is not acceptable. Avoid this strategy. Average return per trade is 0.65%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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:1.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019911 Feb 2019 (-0.9%), 14 Feb 2019 (4.89%), 08 Apr 2019 (0.45%), 22 Apr 2019 (9.95%), 10 Jul 2019 (-1.75%), 25 Jul 2019 (-2.15%), 07 Aug 2019 (3.39%), 21 Aug 2019 (-3.61%), 22 Aug 2019 (11.93%)
20181916 Jan 2018 (-2.15%), 18 Jan 2018 (-0.87%), 06 Feb 2018 (-0.62%), 14 Feb 2018 (0.19%), 19 Feb 2018 (-3.07%), 21 Feb 2018 (-3.11%), 22 Feb 2018 (5.99%), 20 Mar 2018 (-1.87%), 22 Mar 2018 (5.48%), 13 Apr 2018 (-2.42%), 19 Apr 2018 (-0.15%), 27 Jun 2018 (-3.69%), 28 Jun 2018 (6.11%), 13 Aug 2018 (-3.36%), 23 Aug 2018 (-1.24%), 04 Sep 2018 (-1.06%), 10 Sep 2018 (-2.81%), 12 Sep 2018 (9.07%), 05 Oct 2018 (5.77%)
2017321 Jun 2017 (-2.57%), 22 Jun 2017 (-2.63%), 27 Jun 2017 (8.81%)
2016402 Feb 2016 (-3.01%), 08 Feb 2016 (-1.65%), 12 Feb 2016 (-2.85%), 16 Feb 2016 (1.16%)
2014203 Jan 2014 (-3.12%), 08 Jan 2014 (10.1%)
20131003 Jun 2013 (-0.65%), 11 Jun 2013 (-0.48%), 20 Jun 2013 (-3.17%), 24 Jun 2013 (10.22%), 30 Jul 2013 (-4.53%), 01 Aug 2013 (-5.48%), 02 Aug 2013 (-5.89%), 06 Aug 2013 (9.76%), 13 Nov 2013 (1.84%), 26 Nov 2013 (12.84%)
2012403 Jan 2012 (13.0%), 12 Nov 2012 (-2.09%), 19 Nov 2012 (-1.9%), 23 Nov 2012 (6.32%)
20111505 Jan 2011 (-3.25%), 10 Jan 2011 (-1.29%), 13 Jan 2011 (-3.61%), 20 Jan 2011 (10.67%), 22 Feb 2011 (-4.47%), 24 Feb 2011 (3.5%), 25 May 2011 (1.78%), 31 Oct 2011 (-1.65%), 08 Nov 2011 (-3.13%), 09 Nov 2011 (-3.57%), 11 Nov 2011 (-3.7%), 15 Nov 2011 (-3.76%), 16 Nov 2011 (-3.09%), 23 Nov 2011 (6.32%), 28 Dec 2011 (-4.41%)
2010611 Mar 2010 (-0.68%), 19 Mar 2010 (-3.43%), 25 Mar 2010 (0.76%), 12 Apr 2010 (-1.32%), 29 Apr 2010 (7.84%), 15 Jun 2010 (11.64%)
2009120 Mar 2009 (13.79%)
20081230 Jan 2008 (30.24%), 12 May 2008 (-5.23%), 14 May 2008 (0.03%), 04 Jun 2008 (-6.3%), 05 Jun 2008 (-7.02%), 09 Jun 2008 (-5.68%), 20 Jun 2008 (-4.86%), 27 Jun 2008 (-7.49%), 30 Jun 2008 (15.66%), 22 Aug 2008 (-3.32%), 28 Aug 2008 (16.59%), 23 Oct 2008 (-9.51%)
20071112 Feb 2007 (-3.35%), 14 Feb 2007 (-0.15%), 23 Feb 2007 (-4.34%), 02 Mar 2007 (-4.66%), 05 Mar 2007 (0.73%), 06 Jun 2007 (-3.39%), 08 Jun 2007 (0.22%), 20 Jul 2007 (-3.42%), 24 Jul 2007 (-1.17%), 30 Jul 2007 (1.61%), 21 Aug 2007 (0.12%)
20061118 May 2006 (-5.15%), 22 May 2006 (-5.99%), 07 Jun 2006 (-8.54%), 08 Jun 2006 (-7.3%), 13 Jun 2006 (28.33%), 14 Jul 2006 (-4.21%), 08 Nov 2006 (-3.55%), 10 Nov 2006 (0.93%), 29 Nov 2006 (-3.51%), 01 Dec 2006 (-3.6%), 11 Dec 2006 (-3.46%)
2005723 Mar 2005 (-3.42%), 28 Mar 2005 (-3.65%), 29 Mar 2005 (0.28%), 29 Apr 2005 (5.81%), 14 Jun 2005 (-1.27%), 07 Jul 2005 (-2.89%), 12 Jul 2005 (0.56%)
2004614 May 2004 (-8.86%), 18 May 2004 (-3.89%), 31 May 2004 (12.3%), 09 Jul 2004 (-5.53%), 13 Jul 2004 (17.94%), 25 Oct 2004 (-0.1%)
2003227 Jan 2003 (-4.62%), 28 Jan 2003 (-4.81%)
2002602 Sep 2002 (-0.29%), 06 Sep 2002 (-4.22%), 09 Sep 2002 (-2.49%), 17 Sep 2002 (-6.24%), 27 Sep 2002 (-5.44%), 30 Sep 2002 (18.41%)
2001503 Sep 2001 (-0.81%), 11 Sep 2001 (-4.26%), 12 Sep 2001 (-5.19%), 13 Sep 2001 (-5.99%), 14 Sep 2001 (-6.6%)
20001218 Feb 2000 (-8.61%), 22 Feb 2000 (-1.01%), 06 Mar 2000 (-10.79%), 08 Mar 2000 (23.14%), 20 Apr 2000 (-9.4%), 27 Apr 2000 (-9.18%), 02 May 2000 (15.02%), 27 Jul 2000 (-6.41%), 01 Aug 2000 (-1.73%), 10 Aug 2000 (-5.96%), 03 Oct 2000 (-5.79%), 10 Oct 2000 (18.9%)
19991225 Jan 1999 (-3.15%), 02 Feb 1999 (-2.34%), 04 Feb 1999 (-4.63%), 05 Feb 1999 (-4.42%), 01 Mar 1999 (-6.16%), 04 Mar 1999 (20.03%), 15 Apr 1999 (-3.04%), 17 Apr 1999 (-5.62%), 22 Apr 1999 (-6.58%), 26 Apr 1999 (23.51%), 03 Aug 1999 (1.46%), 12 Aug 1999 (20.28%)
19982022 Jan 1998 (-3.03%), 27 Jan 1998 (-3.12%), 28 Jan 1998 (0.02%), 11 May 1998 (-0.88%), 26 May 1998 (11.2%), 16 Jun 1998 (0.68%), 02 Jul 1998 (-0.81%), 07 Aug 1998 (-4.23%), 10 Aug 1998 (-4.7%), 11 Aug 1998 (-4.91%), 18 Aug 1998 (-4.91%), 19 Aug 1998 (16.19%), 01 Sep 1998 (-6.31%), 03 Sep 1998 (20.96%), 06 Oct 1998 (-3.51%), 08 Oct 1998 (19.03%), 27 Nov 1998 (-3.26%), 01 Dec 1998 (2.18%), 16 Dec 1998 (-3.5%), 17 Dec 1998 (11.99%)
1997513 Nov 1997 (2.75%), 08 Dec 1997 (-2.56%), 09 Dec 1997 (-2.8%), 11 Dec 1997 (-2.93%), 16 Dec 1997 (8.7%)
1996429 Jul 1996 (-3.75%), 30 Jul 1996 (4.8%), 24 Sep 1996 (9.3%), 04 Dec 1996 (9.47%)



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