Study: Buy BPCL when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy BPCL when above 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
146374.3959342557.634766.2214861.15-4627.09-13338.911.031.40.028786.01
231333.9259302950.855488.2215320.61-4596.99-13964.721.191.240.017531.08
311486659342557.637015.1425905.46-4945.94-12026.981.421.930.051946.88
413622659372262.716489.9323103.97-4722.81-11959.021.372.310.0652308.91
510868259352459.327674.6229694.45-6663.72-15929.21.151.680.0421842.07
665053.4259322754.248473.9226670.39-7633.78-20598.111.111.320.0221102.6
719199.0259332655.939276.2437198.94-11035.26-50295.860.841.070.0048325.41
8-33157.559273245.7611365.1129263.54-10625.48-46782.541.070.9-0.0081-561.99
919514859302950.8517880.16243886-11767.46-44267.751.521.570.0193307.6
1027664759302950.8519240.54235850-10364.45-47596.151.861.920.0284688.93
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
BPCL Performance, X=4, Profit Factor:2.31

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019203 Apr 2019 (-1.9%), 05 Jul 2019 (-5.27%)
2018105 Jan 2018 (0.96%)
2017501 Mar 2017 (-2.05%), 19 May 2017 (3.47%), 15 Jun 2017 (-2.39%), 26 Sep 2017 (2.05%), 14 Nov 2017 (2.31%)
2016324 May 2016 (11.55%), 12 Sep 2016 (3.41%), 02 Dec 2016 (4.92%)
2015323 Mar 2015 (4.78%), 27 Apr 2015 (7.02%), 12 Aug 2015 (3.04%)
2014217 Sep 2014 (1.88%), 08 Dec 2014 (-3.21%)
2013414 Feb 2013 (1.43%), 28 Feb 2013 (3.31%), 22 Mar 2013 (2.99%), 22 May 2013 (-2.32%)
2012225 Jul 2012 (-0.81%), 31 Aug 2012 (3.72%)
2011228 Sep 2011 (5.34%), 17 Oct 2011 (1.9%)
2010520 Jan 2010 (-3.99%), 02 Mar 2010 (0.18%), 26 Jul 2010 (2.76%), 14 Oct 2010 (-1.23%), 25 Nov 2010 (3.75%)
2009309 Mar 2009 (0.16%), 07 May 2009 (0.84%), 16 Oct 2009 (-0.67%)
2008221 Jan 2008 (0.66%), 17 Mar 2008 (4.16%)
2006110 Mar 2006 (-0.76%)
2005312 Jan 2005 (-1.7%), 01 Mar 2005 (-0.47%), 15 Mar 2005 (-0.51%)
2004128 Apr 2004 (0.57%)
2003117 Jul 2003 (-4.22%)
2002318 Apr 2002 (-3.51%), 27 May 2002 (-3.84%), 29 Aug 2002 (0.39%)
2001514 Mar 2001 (0.89%), 07 Jun 2001 (10.94%), 09 Jul 2001 (-0.82%), 20 Aug 2001 (2.34%), 27 Dec 2001 (2.76%)
2000305 Jan 2000 (3.57%), 25 Jan 2000 (8.72%), 11 Feb 2000 (0.02%)
1999102 Aug 1999 (-5.98%)
1997403 Jun 1997 (-0.78%), 22 Aug 1997 (1.42%), 09 Sep 1997 (6.16%), 28 Oct 1997 (4.05%)
1996328 May 1996 (-2.16%), 02 Jul 1996 (1.65%), 17 Jul 1996 (-3.38%)

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
atrtrail35.1413624994395541.4911461.9258789.29-5650.29-16669.182.031.440.0251449.46
atrnil27.0814954486335338.3717051.4339192.86-7795.34-16669.182.191.360.0271738.89
atrtrail-15.8110550093385540.8610885.242668.41-5602.51-16669.181.941.340.0211134.4
atrtrail24.6110269694395541.4910601.639192.86-5650.29-16669.181.881.330.0211092.51
atrnil39.5713857783265731.3323127.0458789.29-8118.01-19258.782.851.30.0221669.6

In the table above, row 1 shows the best exit criterion. Profit factor is 1.44. 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 41.49%, which is not acceptable. Avoid this strategy. Average return per trade is 0.72%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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:1.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019303 Apr 2019 (-3.36%), 05 Jul 2019 (-3.12%), 09 Jul 2019 (-3.2%)
2018105 Jan 2018 (-0.61%)
2017701 Mar 2017 (-3.11%), 02 Mar 2017 (-1.45%), 10 Mar 2017 (0.99%), 19 May 2017 (0.91%), 15 Jun 2017 (-2.15%), 26 Sep 2017 (-3.8%), 14 Nov 2017 (0.77%)
2016324 May 2016 (7.65%), 12 Sep 2016 (8.23%), 02 Dec 2016 (1.93%)
2015423 Mar 2015 (9.95%), 27 Apr 2015 (3.33%), 12 Aug 2015 (0.1%), 24 Aug 2015 (3.32%)
2014517 Sep 2014 (1.63%), 25 Sep 2014 (11.19%), 08 Dec 2014 (-3.46%), 11 Dec 2014 (-2.72%), 15 Dec 2014 (-0.5%)
2013614 Feb 2013 (-3.76%), 15 Feb 2013 (-0.3%), 28 Feb 2013 (5.37%), 22 Mar 2013 (0.85%), 22 May 2013 (-3.13%), 27 May 2013 (-1.48%)
2012425 Jul 2012 (-2.53%), 27 Jul 2012 (0.15%), 06 Aug 2012 (-0.97%), 31 Aug 2012 (0.48%)
2011228 Sep 2011 (7.53%), 17 Oct 2011 (1.13%)
2010820 Jan 2010 (-3.38%), 27 Jan 2010 (-3.69%), 28 Jan 2010 (3.41%), 02 Mar 2010 (-3.72%), 26 Jul 2010 (4.96%), 14 Oct 2010 (-3.2%), 15 Oct 2010 (1.05%), 25 Nov 2010 (-0.27%)
2009609 Mar 2009 (-2.87%), 18 Mar 2009 (14.22%), 07 May 2009 (11.37%), 16 Oct 2009 (-3.23%), 23 Oct 2009 (-3.87%), 28 Oct 2009 (2.6%)
2008321 Jan 2008 (-8.33%), 29 Jan 2008 (14.42%), 17 Mar 2008 (4.06%)
2006110 Mar 2006 (2.78%)
2005712 Jan 2005 (-3.88%), 14 Jan 2005 (-0.23%), 19 Jan 2005 (-4.16%), 24 Jan 2005 (12.73%), 01 Mar 2005 (-2.51%), 14 Mar 2005 (-3.3%), 18 Mar 2005 (-2.57%)
2004328 Apr 2004 (-2.05%), 03 May 2004 (-0.84%), 11 May 2004 (-5.55%)
2003317 Jul 2003 (-3.46%), 18 Jul 2003 (-3.73%), 21 Jul 2003 (-3.92%)
2002618 Apr 2002 (-5.01%), 19 Apr 2002 (5.04%), 27 May 2002 (-5.81%), 28 May 2002 (-6.33%), 04 Jun 2002 (19.16%), 29 Aug 2002 (-2.08%)
2001614 Mar 2001 (29.39%), 07 Jun 2001 (5.56%), 09 Jul 2001 (-1.22%), 20 Aug 2001 (1.38%), 31 Aug 2001 (-3.41%), 27 Dec 2001 (-1.07%)
2000305 Jan 2000 (0.6%), 25 Jan 2000 (-0.36%), 11 Feb 2000 (-0.39%)
1999102 Aug 1999 (-6.74%)
1997503 Jun 1997 (-0.28%), 09 Jun 1997 (5.98%), 22 Aug 1997 (0.39%), 09 Sep 1997 (9.42%), 28 Oct 1997 (1.66%)
1996728 May 1996 (-3.02%), 02 Jul 1996 (-0.54%), 15 Jul 1996 (-2.46%), 17 Jul 1996 (-2.37%), 18 Jul 1996 (7.81%), 24 Jul 1996 (-2.83%), 25 Jul 1996 (-3.07%)



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