Study: Buy BPCL when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy BPCL when near 200 SMA and above 200 SMA and ADX is Trending" 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
1-676.38251015403706.166303.47-2515.86-6694.561.470.98-0.0015-27.06
2-4293.68251411565002.4113794.79-6757.04-12666.670.740.94-0.0052-171.75
3-41631.9825916367409.9813794.79-6770.11-22633.331.090.62-0.039-1665.28
4-50923.7425916367354.9214869.71-7319.88-15037.3810.57-0.051-2036.95
5-65763.35251015407311.8419174.06-9258.78-23388.350.790.53-0.054-2630.53
6-79155.4225916368391.7915716.61-9667.59-281250.870.49-0.063-3166.22
7-10742025916369808.8919366.14-12231.26-35949.610.80.45-0.068-4296.81
8-82870.03259163610860.4418270.15-11288.38-45930.230.960.54-0.049-3314.8
9-48590.4825916361493625941.31-11438.4-43410.851.310.73-0.026-1943.62
10-40643.18259163614893.4726149.05-10917.78-52180.231.360.77-0.02-1625.73

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.98. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 40%, which is not acceptable. Avoid this strategy. Average return per trade is -0.014%, we advise you not to use this strategy.

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
nilnil-11-676.38251015403706.166303.47-2515.86-6694.561.470.98-0.0015-27.06
200trail31.57-1630.483082226.677606.1911927.29-2840-3960.272.680.97-0.0021-54.35
200trail21.37-1968.430921306476.377951.53-2869.32-3960.272.260.97-0.0031-65.61
200nil21.37-2974.8830921306476.377951.53-2917.25-3960.272.220.95-0.0046-99.16
atrnil34.52-14160.85255202025821.641208.04-7163.44-14096.73.60.9-0.0081-566.43
200nil31.67-10749.5830624209957.0311927.29-2937.16-3960.273.390.85-0.014-358.32
200trail-12.5-11722.613082226.676344.6817228.41-2840-3960.272.230.81-0.016-390.75
atrnil23.96-40008.87256192416255.1127472.03-7238.92-14096.72.250.71-0.03-1600.35
atrtrail33-62555.162862221.4310375.2120096.82-5673.02-14096.71.830.5-0.058-2234.11
atrtrail22.61-62863.142862221.4310323.8813397.88-5673.02-14096.71.820.5-0.063-2245.11
atrtrail-13.71-84262.052862221.436757.416571.4-5673.02-14096.71.190.32-0.099-3009.36

In the table above, row 1 shows the best exit criterion. Profit factor is 0.98. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 40%, which is not acceptable. Avoid this strategy. Average return per trade is -0.014%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BPCL Performance, X=1, Profit Factor:0.982

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019219 Jul 2019 (0.71%), 14 Aug 2019 (-0.92%)
2018231 Jan 2018 (-0.4%), 21 Dec 2018 (-2.59%)
2016107 Apr 2016 (1.65%)
2013305 Jun 2013 (-0.17%), 01 Jul 2013 (-0.75%), 03 Nov 2013 (2.3%)
2012221 Feb 2012 (1.57%), 13 Dec 2012 (-0.14%)
2011106 May 2011 (-1.66%)
2010126 May 2010 (3.15%)
2008126 Nov 2008 (1.37%)
2007203 May 2007 (-3.35%), 30 May 2007 (2.29%)
2006429 May 2006 (-0.11%), 06 Oct 2006 (-0.47%), 20 Oct 2006 (1.76%), 07 Nov 2006 (-3.34%)
2005127 Oct 2005 (-1.42%)
2001127 Dec 2001 (-1.2%)
1999105 Aug 1999 (-2.37%)
1998106 Jan 1998 (2.2%)
1996219 Mar 1996 (1.52%), 25 Jul 1996 (0.0%)



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