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

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In this study, we evaluate the performance of strategy "Sell RAYMOND when below 200 SMA and near 50 SMA and below 50 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
115472.2223131056.523139.629627.18-2534.29-8907.451.241.610.034672.71
25407.462314960.873834.2517083.53-5363.56-25608.910.711.110.0066235.11
3-7315.522314960.875345.0923312.88-9127.42-43702.160.590.91-0.0055-318.07
427390.3923131056.528323.631807.46-8081.64-42171.191.031.340.0191190.89
546198.682317673.915884.2623312.88-8972.3-22825.330.661.860.0472008.64
667398.152317673.916738.824351.11-7860.24-16010.350.862.430.0672930.35
777279.472316769.578242.0428532.79-7799.01-18371.611.062.420.0673359.98
872531.122316769.577832.4518181.82-7541.16-22825.331.042.370.0663153.53
995595.882316769.579512.6229885.06-8086.57-19574.591.182.690.0794156.34
101294022316769.5711034.4332319.13-6735.55-20350.681.643.740.0925626.18
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
RAYMOND Performance, X=10, Profit Factor:3.74

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019217 Jan 2019 (6.81%), 30 Apr 2019 (-0.79%)
2016204 Jan 2016 (8.97%), 11 Mar 2016 (0.09%)
2015306 Aug 2015 (4.27%), 05 Nov 2015 (-0.42%), 20 Nov 2015 (-0.42%)
2013227 May 2013 (0.94%), 10 Jun 2013 (15.87%)
2011123 Jun 2011 (-10.18%)
2009122 Jan 2009 (6.05%)
2007230 Apr 2007 (1.77%), 17 May 2007 (3.77%)
2006107 Nov 2006 (3.96%)
2003208 Jan 2003 (0.65%), 21 Apr 2003 (-2.27%)
2002325 Oct 2002 (2.28%), 12 Nov 2002 (-1.08%), 04 Dec 2002 (1.87%)
2000207 Feb 2000 (-8.42%), 23 Feb 2000 (16.16%)
1998128 Jan 1998 (3.17%)
1997115 Jan 1997 (11.66%)

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
atrnil39.1973578.722681830.7725853.3743226.02-7402.68-14233.063.491.550.0352829.95
atrnil284636.392681830.7717235.5828817.35-7402.68-14233.062.331.030.003178.32
50nil22.27-2402.28401228306506.47823.88-2874.25-3900.972.260.97-0.0028-60.06
atrtrail35.86-11794.8428131546.436243.3122341.47-6197.19-14233.061.010.87-0.011-421.24
50trail22.02-13428.76401030256372.577823.88-2571.82-3769.572.480.83-0.017-335.72
atrtrail25.75-21631.4528131546.435486.6516266.07-6197.19-14233.060.890.77-0.022-772.55
50trail32.38-23804.813973217.957622.0711683.32-2411.23-3769.573.160.69-0.03-610.38
50nil33.35-303353763116.229926.2911735.83-2899.77-3900.973.420.66-0.035-819.86
atrtrail-16.32-42955.8428121642.864278.3813900.81-5893.52-14233.060.730.54-0.05-1534.14
50trail-12.72-55431.713963315.383777.417698.85-2366.55-3769.571.60.29-0.11-1421.33

In the table above, row 1 shows the best exit criterion. Profit factor is 1.55. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 30.77%, which is not acceptable. Avoid this strategy. Average return per trade is 1.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, 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:1.55

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019217 Jan 2019 (8.03%), 30 Apr 2019 (-2.64%)
2016204 Jan 2016 (7.98%), 11 Mar 2016 (-3.1%)
2015306 Aug 2015 (11.39%), 05 Nov 2015 (-3.42%), 20 Nov 2015 (-3.43%)
2013227 May 2013 (-4.01%), 10 Jun 2013 (12.2%)
2011123 Jun 2011 (-4.55%)
2009122 Jan 2009 (20.08%)
2007230 Apr 2007 (-4.77%), 17 May 2007 (10.95%)
2006207 Nov 2006 (-4.06%), 10 Nov 2006 (-3.96%)
2003308 Jan 2003 (-2.53%), 16 Jan 2003 (-2.31%), 21 Apr 2003 (-2.27%)
2002325 Oct 2002 (-2.49%), 12 Nov 2002 (-2.77%), 04 Dec 2002 (11.17%)
2000207 Feb 2000 (-7.12%), 23 Feb 2000 (21.61%)
1998228 Jan 1998 (-4.44%), 03 Feb 1998 (-4.17%)
1997115 Jan 1997 (-4.59%)



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