Study: Buy RAYMOND when above 200 SMA and near 50 SMA and above 50 SMA and ADX is Trending

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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 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: 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
1-847.2720911454157.8415342.15-3478.9-106641.20.98-0.0016-42.36
21768.5120119554037.7213533.83-4738.49-13206.630.851.040.002988.43
32203.5420119554853.6110460.49-5687.35-14327.490.851.040.0035110.18
4-23090.6620911455510.1812677.66-6607.48-21491.230.830.68-0.03-1154.53
5-35090.23201010507287.1113071.73-10796.14-30836.590.670.67-0.031-1754.51
6-32107.3620911459292.2116640.67-10521.57-27143.810.880.72-0.027-1605.37
7-20933.15209114511411.7921201.53-11239.93-26666.671.020.83-0.016-1046.66
8-47522.6620911458350.1814717.1-11152.2-24063.890.750.61-0.04-2376.13
9-42234.3420911459877.3314780.93-11920.94-24482.850.830.68-0.034-2111.72
10-32437.37209114510822.7321292.78-11803.81-27796.760.920.75-0.024-1621.87
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
atrtrail24.133799.722181338.116422.4827371.52-7506.16-13785.222.191.350.0261609.51
50nil31.968991.6225718288818.2510700.27-2929.79-3713.693.011.170.014359.66
atrnil24.3515600.7207133518548.627371.52-8787.65-13785.222.111.140.012780.04
50trail21.542757.862891932.146125.957422.11-2756.62-3713.692.221.050.004798.5
50nil21.591766.532791833.336075.587422.11-2939.65-3713.692.071.030.003165.43
atrnil37.282953.841851327.7824755.9528092.65-9294.3-13785.222.661.020.0022164.1
50trail31.77-861.332671926.927565.710561.98-2832.69-3713.692.670.98-0.0014-33.13
atrtrail34.81-9041.552171433.3312718.8225838.27-7005.24-13785.221.820.91-0.0081-430.55
atrtrail-15.29-18895.752171433.3311311.0833793.21-7005.24-13785.221.610.81-0.017-899.8
50trail-12.5-15975.852671926.925406.4810699.16-2832.69-3713.691.910.7-0.03-614.46

In the table above, row 1 shows the best exit criterion. Profit factor is 1.35. 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 38.1%, which is not acceptable. Avoid this strategy. Average return per trade is 0.8%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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:1.35

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018125 May 2018 (-1.01%)
2017223 May 2017 (-4.79%), 28 Sep 2017 (8.15%)
2014202 May 2014 (8.61%), 08 Aug 2014 (-1.07%)
2013110 Jan 2013 (-2.68%)
2012116 Jul 2012 (-3.37%)
2006115 May 2006 (13.69%)
2005528 Mar 2005 (9.97%), 18 Apr 2005 (0.77%), 28 Apr 2005 (-4.7%), 09 Aug 2005 (7.33%), 23 Aug 2005 (7.81%)
2004127 Jan 2004 (-6.89%)
2003127 Oct 2003 (-5.87%)
2002509 Jan 2002 (9.36%), 01 Feb 2002 (-3.79%), 13 Mar 2002 (-2.87%), 20 May 2002 (-4.84%), 23 Oct 2002 (-2.53%)
2000114 Jul 2000 (-4.38%)



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