Study: Sell RAYMOND when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell RAYMOND when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50" 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
1-13522.8425817323788.066273.06-2578.08-6437.51.470.69-0.031-540.91
2-3486.31251411564117.8316178.34-5557.81-14576.90.740.94-0.0045-139.45
3-13923.2251114445778.3517319.59-5534.64-14199.481.040.82-0.016-556.93
4-39296.36251114446574.417731.96-7972.48-18958.710.820.65-0.036-1571.85
5-124300251114445366.0114020.62-13094.72-35424.350.410.32-0.085-4972
6-10800525817327299.4715712.59-9788.3-24143.930.750.35-0.088-4320.22
7-132290251015407547.0418831.62-13850.7-27510.160.540.36-0.087-5291.61
8-141852251015409639.217869.42-15882.91-38348.290.610.4-0.075-5674.07
9-150563259163611256.3726444.16-15741.88-38348.290.720.4-0.075-6022.51
10-190952251015407589.925032.09-17790.07-33931.780.430.28-0.099-7638.08
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
200trail21.69-26150.313592625.715457.367653.61-2894.87-3970.331.890.65-0.04-747.15
200trail32.06-29489.4835728207139.0511480.41-2837.96-3970.332.520.63-0.04-842.56
200nil21.91-29603.293382524.245993.647653.61-3102.1-3970.331.930.62-0.046-897.07
200trail-12.57-36083.2835728206197.0811899.03-2837.96-3970.332.180.55-0.051-1030.95
200nil32.42-41954.263352815.158935.9111480.41-3094.07-3970.332.890.52-0.059-1271.34
atrtrail24.79-1036792982127.596488.5617277.48-7408.95-22055.250.880.33-0.091-3575.15
atrtrail35.03-1199952982127.594449.099229.58-7408.95-22055.250.60.23-0.12-4137.77
atrtrail-15.03-1199952982127.594449.099229.58-7408.95-22055.250.60.23-0.12-4137.77
atrnil26.27-1816222632311.5413664.6317277.48-9678.96-25697.371.410.18-0.17-6985.46
atrnil37.85-216911261253.8519651.2619651.26-9462.5-25697.372.080.083-0.25-8342.74

In the table above, row 1 shows the best exit criterion. Profit factor is 0.65. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RAYMOND Performance, Profit Factor:0.653

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018323 Mar 2018 (-1.27%), 04 Jun 2018 (-1.86%), 20 Jun 2018 (2.93%)
2016317 Aug 2016 (2.4%), 20 Dec 2016 (-1.11%), 22 Dec 2016 (-1.47%)
2013113 Dec 2013 (-1.18%)
2012314 May 2012 (2.91%), 29 May 2012 (-1.33%), 30 May 2012 (-1.28%)
2011623 Jun 2011 (-1.97%), 08 Aug 2011 (-1.74%), 25 Aug 2011 (2.81%), 22 Sep 2011 (-1.74%), 11 Oct 2011 (-1.23%), 13 Oct 2011 (-1.34%)
2010127 May 2010 (-1.28%)
2006307 Nov 2006 (-1.34%), 10 Nov 2006 (-1.51%), 15 Nov 2006 (3.78%)
2002614 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%)
2001202 Apr 2001 (-1.0%), 12 Apr 2001 (-1.68%)
2000119 Jul 2000 (3.83%)
1999430 Jul 1999 (2.83%), 17 Sep 1999 (2.49%), 21 Sep 1999 (-1.45%), 05 Oct 1999 (-1.87%)
1998122 Jun 1998 (-1.87%)
1996128 May 1996 (-1.54%)



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