Study: Sell BPCL when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell BPCL when below 200 SMA and RSI is overbought" 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
1-6190.32633503673.899051.03-5737.33-7017.540.640.64-0.038-1031.72
214035.816335011328.715192.8-6650.1-71321.71.70.0512339.3
324143.786335011153.1513431.24-3105.23-7017.543.593.590.114023.96
416227.73633509452.8414197.21-4043.59-5236.712.342.340.072704.62
521711.566335010917.4218146.62-3680.23-7017.542.972.970.0793618.59
618121.28633508281.4812958.18-2241.05-5236.713.73.70.13020.21
717595.67633509975.5812854.93-4110.35-7017.542.432.430.0782932.61
87299.69633506996.9214171.4-4563.69-5765.671.531.530.0351216.62
9-3655.81633509161.317243.16-10379.91-18302.040.880.88-0.011-609.3
10-14325.4264266.675619.0313190.5-18400.78-26976.990.310.61-0.038-2387.57
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=6, Profit Factor:3.7

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018119 Dec 2018 (-0.04%)
2006118 Aug 2006 (4.42%)
2005102 Aug 2005 (6.48%)
2002106 Dec 2002 (1.52%)
2000101 Nov 2000 (-2.62%)
1996112 Feb 1996 (-0.7%)

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
atrtrail23.11-14150.6192722.2215063.717170.12-6325.43-9217.342.380.68-0.034-1572.29
atrnil25.11-25747.192722.2215063.717170.12-7982.07-9217.341.890.54-0.06-2860.79
atrtrail33.56-27110.5892722.228583.7211324.25-6325.43-9217.341.360.39-0.09-3012.29
atrtrail-13.56-27110.5892722.228583.7211324.25-6325.43-9217.341.360.39-0.09-3012.29
atrnil36.33-45023.6391811.1119435.9419435.94-8057.45-9217.342.410.3-0.12-5002.63

In the table above, row 1 shows the best exit criterion. Profit factor is 0.68. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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:0.68

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018119 Dec 2018 (-3.28%)
2006118 Aug 2006 (8.59%)
2005102 Aug 2005 (6.48%)
2002106 Dec 2002 (-4.61%)
2000301 Nov 2000 (-4.21%), 02 Nov 2000 (-1.61%), 14 Nov 2000 (-4.34%)
1996212 Feb 1996 (-3.61%), 13 Feb 1996 (-0.48%)



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