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

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In this study, we evaluate the performance of strategy "Buy BEL when above 200 SMA and near 50 SMA and above 50 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 BEL 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
137992.832314960.874086.0812608.16-2134.7-6050.531.912.980.0841651.86
238914.22314960.874011.7112006.95-1916.64-4664.952.093.260.0971691.92
345416.4223131056.526196.7113440-3514.08-7843.681.762.290.0721974.63
448183.1123111247.837881.7319833.78-3209.66-10114.072.462.250.0662094.92
557816.3723121152.178725.6328603.72-4262.83-9443.762.052.230.0642513.76
669377.2723121152.1710486.9324754.45-5133.26-18046.972.042.230.0643016.4
710644123131056.5211902.2327746.51-4828.84-11470.952.463.20.0944627.85
886350.2423131056.5211244.8124387.13-5983.22-16316.441.882.440.0733754.36
973260.0623121152.1712013.724913.56-6445.85-22200.251.862.030.0583185.22
101373762314960.8714164.0634787.23-6768.99-17700.872.093.250.15972.87

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 3.26. Strategy is very good and impressively bullish. Percentage of profitable trades is 60.87%, which is good. Average return per trade is 0.85%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.097, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
BEL Performance, X=2, Profit Factor:3.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018105 Jan 2018 (0.14%)
2017324 Mar 2017 (1.83%), 10 Jul 2017 (-1.3%), 12 Oct 2017 (1.39%)
2016119 Sep 2016 (0.79%)
2015308 Jun 2015 (-0.59%), 06 Oct 2015 (1.24%), 18 Dec 2015 (2.97%)
2010121 Jun 2010 (-1.24%)
2009122 Sep 2009 (-0.3%)
2007330 Mar 2007 (0.62%), 04 Sep 2007 (-2.33%), 07 Dec 2007 (-1.11%)
2005310 Feb 2005 (3.48%), 21 Jul 2005 (1.86%), 08 Aug 2005 (0.81%)
2004116 Apr 2004 (-0.72%)
2002222 Jul 2002 (0.94%), 08 Aug 2002 (6.0%)
2001302 Jul 2001 (4.08%), 31 Jul 2001 (-0.31%), 14 Aug 2001 (1.94%)
1999102 Dec 1999 (-0.72%)

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
atrtrail37.0714494827161159.2611781.8931705.58-3960.18-83672.984.330.115368.45
atrnil312.912228052213959.0922957.4650083.44-8404.71-13451.82.733.950.1310127.48
atrtrail26.0710563727161159.269324.9221137.05-3960.18-83672.353.420.113912.47
nilnil-1238914.22314960.874011.7112006.95-1916.64-4664.952.093.260.0971691.92
atrtrail-18.4187292.2527151255.568970.9230400.12-3939.29-83672.282.850.0813233.05
atrnil29.221342052314960.8714989.1333388.96-8404.71-13451.81.782.770.15835.02
50nil3383693.933141942.4210034.8811829.76-2989.18-3881.913.362.470.0862536.18
50trail-1474627.7835132237.1410041.4532104.13-2541.41-3881.913.952.330.0592132.22
50trail32.5167118.7535152042.868007.5111829.76-2649.7-3881.913.022.270.0741917.68
50nil22.0360401.0535171848.576678.227886.51-2951.59-3881.912.262.140.0781725.74
50trail21.8653476.6736171947.226243.597886.51-2771.81-3881.912.252.020.071485.46

In the table above, row 1 shows the best exit criterion. Profit factor is 4.33. Strategy is very good and impressively bullish. Percentage of profitable trades is 59.26%, which is not acceptable. Avoid this strategy. Average return per trade is 2.68%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BEL Performance, Profit Factor:4.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018105 Jan 2018 (-1.2%)
2017524 Mar 2017 (-0.48%), 10 Jul 2017 (-1.1%), 21 Jul 2017 (6.98%), 12 Oct 2017 (1.13%), 26 Oct 2017 (7.13%)
2016119 Sep 2016 (1.97%)
2015308 Jun 2015 (1.48%), 06 Oct 2015 (1.74%), 18 Dec 2015 (8.16%)
2010121 Jun 2010 (-2.7%)
2009122 Sep 2009 (8.71%)
2007430 Mar 2007 (15.85%), 04 Sep 2007 (-3.79%), 10 Sep 2007 (10.53%), 07 Dec 2007 (-4.18%)
2005310 Feb 2005 (14.6%), 21 Jul 2005 (9.84%), 08 Aug 2005 (-2.79%)
2004216 Apr 2004 (-2.01%), 19 Apr 2004 (-0.87%)
2002322 Jul 2002 (0.96%), 08 Aug 2002 (-0.47%), 20 Aug 2002 (1.0%)
2001202 Jul 2001 (2.34%), 31 Jul 2001 (1.83%)
1999102 Dec 1999 (-2.17%)



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