Study: Buy BPCL when near 200 SMA and above 200 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy BPCL when near 200 SMA and above 200 SMA and RSI is above 50" 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
114426.728121642.864658.5616036.71-2592.25-6694.561.81.350.023515.24
287751.552819967.867089.3233340.62-5216.18-9287.131.362.870.0723133.98
310357528151353.5710961.4552042.82-4680.51-12837.262.342.70.0613699.11
492431.328171160.719480.5431898.62-6248.9-15037.381.522.340.0653301.12
510186828181064.2911055.0537204.72-9712.3-23388.351.142.050.063638.14
610000428161257.1412401.6836327.85-8201.91-15359.961.512.020.0563571.57
766799.1128151353.5713065.0238636.36-9936.63-20996.391.311.520.0342385.68
864890.6428161257.1412059.5335773.09-10671.81-18699.081.131.510.0342317.52
978808.328151353.5713976.1637491.05-10064.16-20820.991.391.60.042814.58
1084660.0128151353.5712861.5235898.35-8327.91-18084.681.541.780.0453023.57
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
BPCL Performance, X=2, Profit Factor:2.87

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019114 Aug 2019 (-2.1%)
2018231 Jan 2018 (-3.08%), 21 Dec 2018 (-2.22%)
2016107 Apr 2016 (3.63%)
2013401 Jul 2013 (-4.53%), 03 Nov 2013 (1.47%), 10 Dec 2013 (-2.15%), 26 Dec 2013 (-1.72%)
2012321 Feb 2012 (6.9%), 04 Dec 2012 (3.12%), 28 Dec 2012 (1.14%)
2011206 May 2011 (-2.18%), 06 Jul 2011 (2.8%)
2010214 May 2010 (-0.86%), 23 Jun 2010 (11.08%)
2008126 Nov 2008 (4.49%)
2007203 May 2007 (0.89%), 22 Jun 2007 (-4.64%)
2006206 Oct 2006 (0.46%), 20 Oct 2006 (2.27%)
2005131 May 2005 (0.5%)
2004109 Nov 2004 (3.67%)
2003115 Apr 2003 (1.09%)
2001114 Nov 2001 (2.24%)
1999114 May 1999 (16.67%)
1997208 Jan 1997 (0.87%), 31 Dec 1997 (3.0%)
1996119 Mar 1996 (1.07%)

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
200trail-13.6893298.1934161847.069282.0437928.77-3067.47-3847.243.032.690.0612744.06
200trail31.7965143.1134161847.067522.3511927.29-3067.47-3847.242.452.180.0681915.97
atrnil35.7410702327111640.7419767.1230309.36-6900.96-14096.72.861.970.063963.81
atrtrail23.0987912.8232151746.8812018.0920206.24-5432.85-14096.72.211.950.062747.28
200nil31.8258120.5234142041.188517.8811927.29-3056.49-3847.242.791.950.061709.43
atrtrail-15.3478463.2632151746.8811388.1245539.57-5432.85-14096.72.11.850.0392451.98
atrtrail33.6678321.7232151746.8811378.6830309.36-5432.85-14096.72.091.850.0472447.55
atrnil24.0372196.8229141548.2812672.0520206.24-7014.12-14096.71.811.690.052489.55
200trail21.5635365.9334161847.065661.287951.53-3067.47-3847.241.851.640.0481040.17
200nil21.5634990.834161847.065661.287951.53-3088.31-3847.241.831.630.0471029.14

In the table above, row 1 shows the best exit criterion. Profit factor is 2.69. 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 47.06%, which is not acceptable. Avoid this strategy. Average return per trade is 1.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.061, 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:2.69

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019114 Aug 2019 (-1.01%)
2018231 Jan 2018 (-1.36%), 21 Dec 2018 (-1.82%)
2016107 Apr 2016 (8.61%)
2013401 Jul 2013 (-1.44%), 03 Nov 2013 (-1.65%), 10 Dec 2013 (-1.92%), 26 Dec 2013 (-1.61%)
2012421 Feb 2012 (5.64%), 04 Dec 2012 (1.34%), 13 Dec 2012 (-1.36%), 28 Dec 2012 (6.53%)
2011206 May 2011 (-1.22%), 06 Jul 2011 (1.66%)
2010314 May 2010 (-1.51%), 26 May 2010 (3.06%), 23 Jun 2010 (-1.73%)
2008126 Nov 2008 (-1.81%)
2007203 May 2007 (-1.38%), 22 Jun 2007 (-1.56%)
2006406 Oct 2006 (-1.62%), 09 Oct 2006 (1.52%), 20 Oct 2006 (0.15%), 27 Oct 2006 (3.45%)
2005131 May 2005 (-1.43%)
2004109 Nov 2004 (1.87%)
2003115 Apr 2003 (-1.26%)
2001214 Nov 2001 (-1.92%), 15 Nov 2001 (3.82%)
1999114 May 1999 (18.96%)
1998106 Jan 1998 (0.41%)
1997208 Jan 1997 (12.84%), 31 Dec 1997 (1.85%)
1996119 Mar 1996 (2.54%)



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