Study: Buy RAYMOND when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy RAYMOND when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
138859.3273383552.053649.8615342.15-2852.44-106641.281.390.025532.32
276620.4273393453.425587.0921748.52-4155.17-15020.31.341.540.0311049.59
311129973433058.96812.529878.87-6054.62-27470.311.131.610.0331524.64
449241.0973383552.057814.6628218.93-7077.6-21849.171.11.20.013674.54
510752473413256.169146.7228805.99-8359.11-30836.591.091.40.0261472.93
615229073353847.9512393.234586.47-7407.17-27143.811.671.540.0332086.16
712048773363749.3211929.8131954.89-8350.97-27935.811.431.390.0261650.51
886861.1873383552.0511464.6842857.14-9965.62-50303.911.151.250.0171189.88
911711473383552.0512737.6250478.09-10483.3-41064.921.221.320.0211604.3
1018026073442960.2712302.154203.19-12449.41-52662.290.991.50.032469.31
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
atrtrail24.5624766487394844.8314143.9827371.52-6332.33-16131.722.231.810.0512846.71
atrtrail35.6519835585364942.3513930.0228863.97-6186.24-16131.722.251.650.0412333.59
50trail-13.26120785106327430.199893.2446320.61-2645.93-3991.723.741.620.0271139.48
atrnil26.1719286672324044.4416967.4427371.52-8752.3-16131.721.941.550.0412678.69
50nil32.42109272103356833.988998.4711992.86-3024.62-3991.722.981.530.0371060.9
atrtrail-16.3614788684354941.6712886.0639260.66-6186.24-16131.722.081.490.0311760.55
atrnil39.3115640564224234.3823954.6636015.72-8823.74-13785.222.711.420.0312443.83
50trail32.1682113.49108347431.488201.1211965.56-2658.44-3991.723.081.420.029760.31
50nil22.0663687.7109436639.456131.827995.24-3030.01-3991.722.021.320.026584.29
50trail21.8846065.26113407335.46033.577977.04-2675.03-3991.722.261.240.019407.66

In the table above, row 1 shows the best exit criterion. Profit factor is 1.81. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 44.83%, which is not acceptable. Avoid this strategy. Average return per trade is 1.42%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.051, 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:1.81

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019317 May 2019 (-0.29%), 22 May 2019 (6.17%), 12 Jun 2019 (-3.06%)
2018205 Apr 2018 (6.81%), 25 May 2018 (-1.01%)
2017713 Jan 2017 (1.19%), 27 Jan 2017 (-2.09%), 15 Feb 2017 (4.92%), 23 May 2017 (-4.79%), 14 Jun 2017 (-0.9%), 03 Aug 2017 (-0.92%), 28 Sep 2017 (8.15%)
2016129 Jun 2016 (6.43%)
2015329 Jan 2015 (-1.07%), 20 Feb 2015 (-3.68%), 05 Mar 2015 (-3.41%)
20141108 Jan 2014 (8.36%), 06 Feb 2014 (0.48%), 21 Feb 2014 (-3.17%), 10 Mar 2014 (-1.51%), 14 Mar 2014 (6.78%), 02 May 2014 (8.61%), 08 Aug 2014 (-1.07%), 13 Aug 2014 (9.62%), 17 Oct 2014 (9.19%), 03 Nov 2014 (9.24%), 30 Dec 2014 (8.96%)
2013110 Jan 2013 (-2.68%)
2012220 Jun 2012 (7.5%), 16 Jul 2012 (-3.37%)
2011319 Oct 2011 (6.95%), 15 Nov 2011 (-2.57%), 15 Dec 2011 (-4.18%)
2010510 Feb 2010 (12.01%), 23 Feb 2010 (-2.78%), 12 Mar 2010 (9.77%), 29 Apr 2010 (-4.03%), 06 Dec 2010 (-6.02%)
2009209 Dec 2009 (-3.47%), 23 Dec 2009 (7.32%)
2008110 Jan 2008 (-4.65%)
2006816 Jan 2006 (5.7%), 27 Jan 2006 (5.84%), 01 Feb 2006 (-2.1%), 10 Feb 2006 (-1.56%), 15 Feb 2006 (6.74%), 15 May 2006 (13.69%), 18 May 2006 (-8.07%), 03 Nov 2006 (-3.87%)
20051528 Mar 2005 (9.97%), 18 Apr 2005 (0.77%), 28 Apr 2005 (-4.7%), 04 May 2005 (-4.91%), 10 May 2005 (-0.03%), 20 Jun 2005 (0.71%), 24 Jun 2005 (-3.39%), 06 Jul 2005 (6.81%), 15 Jul 2005 (7.36%), 09 Aug 2005 (7.33%), 23 Aug 2005 (7.81%), 16 Nov 2005 (-3.18%), 21 Nov 2005 (-1.41%), 08 Dec 2005 (-2.37%), 13 Dec 2005 (0.67%)
2004327 Jan 2004 (-6.89%), 11 May 2004 (-0.16%), 01 Jul 2004 (7.41%)
2003127 Oct 2003 (-5.87%)
2002809 Jan 2002 (9.36%), 01 Feb 2002 (-3.79%), 13 Mar 2002 (-2.87%), 18 Apr 2002 (8.84%), 20 May 2002 (-4.84%), 24 May 2002 (-4.49%), 25 Jul 2002 (-4.27%), 23 Oct 2002 (-2.53%)
2000214 Jul 2000 (-4.38%), 28 Dec 2000 (9.35%)
1999407 Jul 1999 (11.84%), 31 Aug 1999 (-6.17%), 28 Sep 1999 (-3.32%), 20 Oct 1999 (11.91%)
1996410 Jan 1996 (1.04%), 24 Jan 1996 (-1.71%), 31 Jan 1996 (4.21%), 08 Aug 1996 (-2.97%)
1995129 Dec 1995 (-1.44%)



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