Study: Buy BPCL when RSI is below 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy BPCL when RSI is below 50 and there is Bullish Crossover in MACD" 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
166939.0773393453.425711.2843537.71-4582.38-15983.491.251.430.024916.97
215369373403354.798079.0652082.89-5135.43-19579.851.571.910.0412105.39
315876273442960.278467.4252125.61-7372.56-34068.581.151.740.0372174.82
413725073433058.98805.7352082.89-8046.56-39888.791.091.570.0311880.13
515589573423157.539800.2248835.72-8248.86-39269.411.191.610.0342135.55
623449873393453.4212625.4364481.9-7585.11-32803.651.661.910.0453212.3
730665873442960.2712603.2186579.28-8547.67-32082.581.472.240.0544200.8
835525673433058.914224.53100125-8546.63-44413.451.662.390.0554866.52
941888473442960.2715426.25100062-8961.07-41205.191.722.610.0625738.13
1039157473433058.916135.6486641.7-10075.29-47538.011.62.30.0545364.03
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=9, Profit Factor:2.61

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019321 Feb 2019 (10.56%), 23 Jul 2019 (-5.58%), 27 Aug 2019 (12.8%)
2018530 Jan 2018 (-3.72%), 05 Apr 2018 (-4.08%), 07 May 2018 (0.14%), 16 Jul 2018 (3.92%), 18 Sep 2018 (6.41%)
2017422 Mar 2017 (-1.12%), 05 Jul 2017 (6.16%), 11 Oct 2017 (4.18%), 12 Dec 2017 (8.01%)
2016229 Feb 2016 (4.61%), 28 Dec 2016 (7.34%)
2015201 Jan 2015 (-0.38%), 14 Oct 2015 (5.46%)
2013308 Apr 2013 (9.0%), 19 Jun 2013 (1.86%), 19 Aug 2013 (-5.34%)
2012210 Jan 2012 (13.0%), 23 Aug 2012 (-1.62%)
2011304 Mar 2011 (-1.04%), 26 Oct 2011 (-14.97%), 29 Nov 2011 (2.46%)
2010308 Feb 2010 (3.34%), 30 Mar 2010 (-2.74%), 13 Dec 2010 (-1.83%)
2009227 Mar 2009 (1.19%), 11 Nov 2009 (4.22%)
2008531 Mar 2008 (-3.65%), 16 Apr 2008 (1.89%), 28 May 2008 (-20.6%), 25 Jun 2008 (-6.71%), 10 Nov 2008 (5.15%)
2007415 Mar 2007 (5.89%), 25 Jun 2007 (-1.69%), 07 Aug 2007 (-4.91%), 29 Aug 2007 (3.25%)
2006320 Jun 2006 (1.01%), 26 Jul 2006 (-5.32%), 21 Dec 2006 (10.3%)
2005406 Apr 2005 (0.41%), 03 May 2005 (4.49%), 01 Jul 2005 (-8.34%), 25 Jul 2005 (1.68%)
2004203 Jun 2004 (4.17%), 22 Jul 2004 (4.08%)
2003211 Feb 2003 (6.19%), 05 Aug 2003 (7.26%)
2002207 May 2002 (-3.51%), 11 Jun 2002 (-1.52%)
2001218 Jun 2001 (0.7%), 18 Jul 2001 (2.39%)
2000416 Mar 2000 (16.84%), 16 May 2000 (50.03%), 23 Aug 2000 (10.7%), 19 Oct 2000 (18.01%)
1999216 Feb 1999 (-4.34%), 30 Apr 1999 (24.98%)
1998518 Feb 1998 (8.62%), 05 Jun 1998 (-5.82%), 01 Jul 1998 (-0.13%), 27 Aug 1998 (-2.61%), 14 Dec 1998 (-4.39%)
1997304 Sep 1997 (0.8%), 25 Nov 1997 (-7.22%), 22 Dec 1997 (11.35%)
1996402 Feb 1996 (24.76%), 19 Jun 1996 (-3.62%), 14 Aug 1996 (2.54%), 17 Dec 1996 (7.2%)
1995211 Sep 1995 (-2.05%), 13 Dec 1995 (-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
atrtrail-16.1530025184345040.4817747.59152785-6063.35-13326.162.931.990.0363574.41
atrtrail24.4822063584364842.8614264.0636966.25-6101.47-13326.162.341.750.0452626.61
atrnil26.5123542582364643.917342.638621.3-8454.54-19890.562.051.610.0422871.04
atrtrail35.3514155484345040.4813080.0442889.58-6063.35-13326.162.161.470.031685.17
atrnil39.9921050282275532.9325321.657931.95-8603.3-19890.562.941.440.032567.1

In the table above, row 1 shows the best exit criterion. Profit factor is 1.99. 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 40.48%, which is not acceptable. Avoid this strategy. Average return per trade is 1.79%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.036, 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:1.99

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019521 Feb 2019 (-0.47%), 23 Jul 2019 (-2.91%), 24 Jul 2019 (-3.07%), 01 Aug 2019 (-3.14%), 27 Aug 2019 (14.98%)
2018530 Jan 2018 (-1.16%), 05 Apr 2018 (3.55%), 07 May 2018 (-1.7%), 16 Jul 2018 (1.87%), 18 Sep 2018 (2.53%)
2017422 Mar 2017 (-1.13%), 05 Jul 2017 (-2.09%), 11 Oct 2017 (7.7%), 12 Dec 2017 (2.17%)
2016229 Feb 2016 (2.82%), 28 Dec 2016 (6.7%)
2015201 Jan 2015 (-2.98%), 14 Oct 2015 (3.71%)
2013308 Apr 2013 (-2.96%), 19 Jun 2013 (-2.98%), 19 Aug 2013 (-2.93%)
2012210 Jan 2012 (15.78%), 23 Aug 2012 (-2.14%)
2011404 Mar 2011 (-4.47%), 07 Mar 2011 (6.52%), 26 Oct 2011 (-2.67%), 29 Nov 2011 (0.77%)
2010308 Feb 2010 (-0.76%), 30 Mar 2010 (-3.34%), 13 Dec 2010 (-0.53%)
2009227 Mar 2009 (1.58%), 11 Nov 2009 (19.33%)
2008731 Mar 2008 (-3.74%), 16 Apr 2008 (-5.67%), 29 Apr 2008 (-1.69%), 28 May 2008 (-5.11%), 25 Jun 2008 (-6.66%), 07 Jul 2008 (8.57%), 10 Nov 2008 (1.73%)
2007515 Mar 2007 (2.72%), 25 Jun 2007 (-4.15%), 03 Jul 2007 (-3.76%), 07 Aug 2007 (-1.49%), 29 Aug 2007 (-2.96%)
2006320 Jun 2006 (-4.2%), 26 Jul 2006 (-5.35%), 21 Dec 2006 (6.85%)
2005406 Apr 2005 (-1.26%), 03 May 2005 (1.96%), 01 Jul 2005 (-2.85%), 25 Jul 2005 (-0.82%)
2004203 Jun 2004 (4.01%), 22 Jul 2004 (-1.39%)
2003211 Feb 2003 (3.92%), 05 Aug 2003 (12.17%)
2002207 May 2002 (0.48%), 11 Jun 2002 (3.82%)
2001218 Jun 2001 (-3.35%), 18 Jul 2001 (-3.34%)
2000416 Mar 2000 (8.2%), 16 May 2000 (11.0%), 23 Aug 2000 (6.87%), 19 Oct 2000 (16.32%)
1999316 Feb 1999 (-5.32%), 30 Apr 1999 (-6.36%), 03 May 1999 (76.39%)
1998918 Feb 1998 (7.25%), 05 Jun 1998 (-2.09%), 01 Jul 1998 (-4.34%), 10 Jul 1998 (-3.22%), 27 Aug 1998 (-4.82%), 28 Aug 1998 (-5.42%), 07 Sep 1998 (7.84%), 14 Dec 1998 (-2.81%), 28 Dec 1998 (-1.72%)
1997304 Sep 1997 (-3.14%), 25 Nov 1997 (-1.75%), 22 Dec 1997 (8.19%)
1996402 Feb 1996 (21.91%), 19 Jun 1996 (-3.45%), 14 Aug 1996 (-3.8%), 17 Dec 1996 (1.47%)
1995211 Sep 1995 (-2.59%), 13 Dec 1995 (-1.56%)



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