Study: Sell BEML when near 200 SMA and below 200 SMA and ADX is Trending

home > technical-strategy > beml > 3

In this study, we evaluate the performance of strategy "Sell BEML when near 200 SMA and below 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: sell BEML 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
160758.441110190.916164.5214285.71-886.81-886.816.9569.510.265523.49
279720119281.829827.2319807.81-4362.53-7619.052.2510.140.227247.27
350899.37119281.826692.5216999.4-4666.67-4761.91.436.450.164627.22
470525.311110190.917453.5718548.39-4010.42-4010.421.8618.590.226411.39
51315971110190.9113219.6332661.29-599.6-599.622.05220.480.2611963.34
6112098119281.8213590.338709.68-5107.41-9531.642.6611.970.1710190.72
791739.31119281.821096325806.45-3463.83-6737.883.1614.240.188339.94
886947.25119281.8212173.1433870.97-11305.52-11764.711.084.850.147904.3
9100884118372.7315849.5137903.23-8637.44-21568.631.834.890.139171.25
1075811.99118372.7317070.4546774.19-20250.55-42285.710.842.250.0646892

From the table above, we see that best results are achieved by holding positions for 5 trading days. Profit factor is 220.48. Strategy is very good and impressively bearish. Percentage of profitable trades is 90.91%, which is excellent. Average return per trade is 5.98%, which is very good.
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.
BEML Performance, X=5, Profit Factor:220

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016101 Aug 2016 (-599.6)
2012102 May 2012 (2846.57)
2008108 Feb 2008 (17923.12)
2007205 Apr 2007 (856.92), 03 May 2007 (8768.79)
2002108 Oct 2002 (22350.04)
2001212 Mar 2001 (17142.86), 31 Dec 2001 (3428.57)
2000128 Nov 2000 (7352.94)
1999125 Mar 1999 (32661.29)
1996126 Apr 1996 (18865.25)

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-151315971110190.9113219.6332661.29-599.6-599.622.05220.480.2611963.34
atrtrail-18.53106099157846.6720069.2353671.89-4298.24-11607.24.674.090.0887073.24
200trail-13.3961869.641881044.4410480.8236282.26-2197.69-3946.114.773.820.0743437.2
200nil21.8847798.751711664.715929.877944.59-2904.96-35602.043.740.142811.69
atrtrail36.3392486.35157846.6718124.6146965.77-4298.24-11607.24.223.690.0866165.76
200nil32.3559074.92179852.949093.2511916.88-2845.54-35603.23.60.123475
200trail31.8456361.611910952.637826.2311806.45-2433.41-3946.113.223.570.122966.4
atrtrail25.481796.43157846.6716597.4834840.04-4298.24-11607.23.863.380.0885453.1
200trail21.5843558.111912763.165256.517870.97-2788.57-3946.111.893.230.122292.53
atrnil320.42143903125741.6742904.3661275.84-10088.37-14316.694.253.040.09411991.93
atrnil215.4288471.212665025621.940850.56-10876.69-14316.692.362.360.0817372.6

In the table above, row 1 shows the best exit criterion. Profit factor is 220.48. Strategy is very good and impressively bearish. Percentage of profitable trades is 90.91%, which is excellent. Average return per trade is 5.98%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.