Study: Sell RAYMOND when near 200 SMA and below 200 SMA and RSI is below 50 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 RSI is below 50 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
1-12777.241028203186.555887.65-2393.79-5526.371.330.33-0.09-1277.72
2-22597.521046401347.422567.39-4664.53-7971.270.290.19-0.14-2259.75
3-16774.271046403399.896311.26-5062.31-9946.140.670.45-0.071-1677.43
4-30197.611046404345.576120.01-7929.99-18958.710.550.37-0.084-3019.76
5-66838.451037303520.84660.19-11057.26-26315.790.320.14-0.15-6683.85
6-32051.131037305863.267870.23-7091.56-16445.240.830.35-0.094-3205.11
7-34238.31046408151.2216641.63-11140.53-24339.210.730.49-0.058-3423.83
8-40288.51046409911.9717092.22-13322.73-38348.290.740.5-0.053-4028.85
9-37384.3910464016237.5526444.16-17055.77-38348.290.950.63-0.04-3738.44
10-32399.9410464016836.5925893.66-16624.39-33931.781.010.68-0.034-3239.99
Although, strategy looks good but profit factor on day 5 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
200trail31.75-12777.831221016.678639.8110104.39-3005.75-3817.922.870.57-0.049-1064.82
200nil31.75-13411.851221016.678639.8110104.39-3069.15-3817.922.820.56-0.051-1117.65
200trail21.5-18537.711221016.675759.886736.26-3005.75-3817.921.920.38-0.094-1544.81
200nil21.5-19171.731221016.675759.886736.26-3069.15-3817.921.880.38-0.097-1597.64
atrtrail25.09-79946.63112918.183244.295472.57-9603.91-22055.250.340.075-0.21-7267.88
atrtrail35.09-79946.63112918.183244.295472.57-9603.91-22055.250.340.075-0.21-7267.88
atrtrail-15.09-79946.63112918.183244.295472.57-9603.91-22055.250.340.075-0.21-7267.88
atrnil26.27-11884611011000-10804.14-25697.3700-0.38-10804.14
atrnil36.27-11884611011000-10804.14-25697.3700-0.38-10804.14
200trail-11.92-33464.4312012000-2788.7-3817.9200-0.57-2788.7

In the table above, row 1 shows the best exit criterion. Profit factor is 0.57. 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:0.575

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018105 Jun 2018 (-1.91%)
2016220 Dec 2016 (-1.11%), 22 Dec 2016 (-1.47%)
2012129 May 2012 (-1.33%)
2010127 May 2010 (-1.28%)
2008122 Feb 2008 (5.05%)
2002214 Jan 2002 (-1.84%), 25 Oct 2002 (3.59%)
2001202 Apr 2001 (-1.0%), 12 Apr 2001 (-1.68%)
1998122 Jun 1998 (-1.87%)
1996128 May 1996 (-1.54%)



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