Study: Sell RAYMOND when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell RAYMOND when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell RAYMOND 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
1-18350.757243342.113769.4711491.44-3297.51-10688.141.140.83-0.015-321.94
25436.1457322556.144567.7424327.63-5629.27-18490.150.811.040.002895.37
35930.2257292850.885592.8717319.59-5580.82-17895.1111.040.003104.04
4-37668.2257282949.126029.2917731.96-7120.28-25615.140.850.82-0.016-660.85
5-11183457302752.635217.2214020.62-9938.91-35424.350.520.58-0.04-1962
6-10684057233440.357415.7316598.47-8158.88-24143.930.910.61-0.04-1874.39
7-13833257253243.868302.7918946.9-10809.44-30480.170.770.6-0.041-2426.88
8-14755357273047.378928.6921507.29-12954.24-39665.970.690.62-0.037-2588.64
9-14350657273047.379400.6826444.16-13244.14-38552.540.710.64-0.034-2517.65
10-18882757282949.128931.6225893.66-15134.9-63048.020.590.57-0.041-3312.75
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
200trail31.9522033.4585236227.068331.6511605.66-2735.4-3970.333.051.130.01259.22
200nil32.129083.0381206124.699254.811605.66-2885.46-3970.333.211.050.0043112.14
200trail21.48-6549.7587276031.035872.667737.11-2751.86-3970.332.130.96-0.0037-75.28
200nil21.58-6797.0983265731.336053.657737.11-2880.56-3970.332.10.96-0.004-81.89
200trail-12.79-906084196522.628738.5535973.3-2693.73-3970.333.240.95-0.0034-107.86
atrtrail24.67-62904.9269234633.3310211.4424306.43-6473.22-22055.251.580.79-0.019-911.67
atrtrail34.94-11130369224731.888905.3425360.31-6536.61-22055.251.360.64-0.036-1613.09
atrtrail-15.44-13458168214730.888051.4537271.18-6460.87-22055.251.250.56-0.045-1979.13
atrnil26.24-19374562154724.1915054.4624306.43-8926.85-25697.371.690.54-0.058-3124.92
atrnil37.64-2924816195214.7519246.3723505.26-8955.73-25697.372.150.37-0.092-4794.77

In the table above, row 1 shows the best exit criterion. Profit factor is 1.13. 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 27.06%, which is not acceptable. Avoid this strategy. Average return per trade is 0.13%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.01, 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.
RAYMOND Performance, Profit Factor:1.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019408 Mar 2019 (-1.06%), 28 Mar 2019 (-1.2%), 12 Apr 2019 (-1.31%), 18 Apr 2019 (4.1%)
2018323 Mar 2018 (-1.27%), 04 Jun 2018 (-1.86%), 20 Jun 2018 (4.39%)
2016527 Apr 2016 (-1.06%), 28 Apr 2016 (-1.85%), 17 Aug 2016 (3.6%), 20 Dec 2016 (-1.11%), 22 Dec 2016 (-1.47%)
2015204 Aug 2015 (5.49%), 15 Oct 2015 (4.34%)
2013401 Nov 2013 (-1.09%), 07 Nov 2013 (-1.24%), 11 Nov 2013 (-1.5%), 13 Dec 2013 (-1.18%)
2012829 Feb 2012 (-1.31%), 01 Mar 2012 (-0.53%), 14 May 2012 (4.36%), 29 May 2012 (-1.33%), 30 May 2012 (-1.28%), 16 Aug 2012 (5.35%), 22 Oct 2012 (-1.33%), 23 Oct 2012 (-1.3%)
20111025 Mar 2011 (3.84%), 07 Apr 2011 (4.04%), 09 May 2011 (-1.68%), 23 Jun 2011 (-1.97%), 08 Aug 2011 (-1.74%), 25 Aug 2011 (-0.85%), 22 Sep 2011 (-1.74%), 11 Oct 2011 (-1.23%), 13 Oct 2011 (-1.34%), 18 Oct 2011 (-1.39%)
2010227 May 2010 (-1.28%), 14 Jun 2010 (-1.61%)
2008122 Feb 2008 (5.05%)
2007116 Oct 2007 (5.8%)
20061314 Aug 2006 (-1.47%), 25 Aug 2006 (-1.03%), 12 Sep 2006 (-1.35%), 20 Sep 2006 (-1.77%), 22 Sep 2006 (-1.51%), 28 Sep 2006 (-1.23%), 05 Oct 2006 (-1.12%), 10 Oct 2006 (-1.12%), 27 Oct 2006 (-1.36%), 07 Nov 2006 (-1.34%), 10 Nov 2006 (-1.51%), 15 Nov 2006 (2.06%), 07 Dec 2006 (-1.05%)
20021214 Jan 2002 (-1.84%), 09 Sep 2002 (-1.99%), 12 Sep 2002 (-1.09%), 23 Sep 2002 (-1.0%), 25 Sep 2002 (0.58%), 07 Oct 2002 (-0.65%), 11 Oct 2002 (-1.49%), 25 Oct 2002 (3.59%), 18 Nov 2002 (-1.73%), 27 Nov 2002 (5.46%), 29 Nov 2002 (-1.14%), 02 Dec 2002 (3.19%)
2001302 Apr 2001 (-1.0%), 12 Apr 2001 (-1.68%), 05 Dec 2001 (-1.96%)
2000303 Feb 2000 (5.75%), 19 Jul 2000 (5.74%), 09 Aug 2000 (-1.21%)
1999525 Feb 1999 (5.67%), 30 Jul 1999 (4.25%), 17 Sep 1999 (-1.24%), 21 Sep 1999 (-1.45%), 05 Oct 1999 (-1.87%)
1998522 Jun 1998 (-1.87%), 09 Nov 1998 (-1.11%), 12 Nov 1998 (4.75%), 17 Nov 1998 (-1.51%), 10 Dec 1998 (-1.21%)
1997204 Aug 1997 (-1.22%), 14 Aug 1997 (3.78%)
1996128 May 1996 (-1.54%)
1995127 Dec 1995 (0.62%)



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