Study: Sell RAYMOND when near 200 SMA and below 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell RAYMOND when near 200 SMA and below 200 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: 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
1-21754.682381534.783815.8711491.44-3485.44-10065.651.090.58-0.043-945.86
2-19586.0423121152.174170.7924327.63-6330.51-18490.150.660.72-0.023-851.57
3-10027.1423111247.834988.8116503.67-5408.67-13249.210.920.85-0.014-435.96
4-46020.0723111247.834128.796557.38-7619.73-25615.140.540.5-0.052-2000.87
5-95677.992381534.783659.617657.37-8330.33-26315.790.440.23-0.11-4159.91
6-65420.022361726.095015.587870.23-5618.44-16445.240.890.32-0.094-2844.35
7-61122.352391439.135604.6516641.63-7968.87-25362.780.70.45-0.056-2657.49
8-54181.5923101343.487087.9917092.22-9620.11-38348.290.740.57-0.042-2355.72
9-46664.5623101343.489371.8526444.16-10798.7-38348.290.870.67-0.031-2028.89
10-51883.2123101343.4810313.5925893.66-11924.55-33931.780.860.67-0.032-2255.79
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
200trail31.5510461.173182325.819345.6211605.66-2795.82-3923.683.341.160.013337.46
200nil31.559827.153182325.819345.6211605.66-2823.38-3923.683.311.150.012317
200trail-12.33-11440.183042613.3314590.3835973.3-2684.68-3923.685.430.84-0.01-381.34
200trail21.32-14460.493182325.816230.427737.11-2795.82-3923.682.230.78-0.024-466.47
200nil21.32-15094.513182325.816230.427737.11-2823.38-3923.682.210.77-0.024-486.92
atrtrail24.45-42690.52982127.5914345.3324306.43-7497.77-22055.251.910.73-0.027-1472.09
atrtrail34.66-84446.872972224.1411779.8223505.26-7586.62-22055.251.550.49-0.06-2911.96
atrnil25.93-1181982752218.5217414.5424306.43-9330.48-25697.371.870.42-0.078-4377.7
atrtrail-15.29-99916.762862221.4310571.5737271.18-7424.83-22055.251.420.39-0.072-3568.46
atrnil36.52-1704812732411.1119581.4623505.26-9551.06-25697.372.050.26-0.13-6314.11

In the table above, row 1 shows the best exit criterion. Profit factor is 1.16. 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 25.81%, which is not acceptable. Avoid this strategy. Average return per trade is 0.17%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, 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:1.16

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019208 Mar 2019 (-1.06%), 28 Mar 2019 (-1.2%)
2018105 Jun 2018 (-1.91%)
2016220 Dec 2016 (-1.11%), 22 Dec 2016 (-1.47%)
2013201 Nov 2013 (-1.09%), 07 Nov 2013 (-1.24%)
2012129 May 2012 (-1.33%)
2010227 May 2010 (-1.28%), 14 Jun 2010 (-1.61%)
2008122 Feb 2008 (5.05%)
2007116 Oct 2007 (5.8%)
2006125 Aug 2006 (-1.03%)
2002614 Jan 2002 (-1.84%), 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%)
2000103 Feb 2000 (5.75%)
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%)



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