Study: Sell RAYMOND when there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell RAYMOND when there is Dead Cross (50 DMA < 200 DMA)" 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
123688.091596604179.247391.3-2320.84-8333.331.82.70.0821579.21
210410.61511473.333683.9614043.48-7528.25-12901.230.491.350.022694.04
3-1454.3158753.336481.0222391.3-7614.63-27192.630.850.97-0.0019-96.95
41490.751596606618.6520739.13-9679.51-28193.830.681.030.001899.38
512399.591596609824.9829695.65-12670.87-44173.010.781.160.01826.64
634230.14158753.3312658.7438173.91-9577.12-42651.181.321.510.0272282.01
7107599158753.3321269.4592043.48-8936.7-33560.272.382.720.0557173.25
8102833157846.6723895.7886608.7-8054.69-33800.562.972.60.0556855.53
910231715694027698.5980913.04-7097.19-24909.893.92.60.0586821.12
1010986015966020117.6986869.57-11866.55-26191.431.72.540.0587323.99
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=7, Profit Factor:2.72

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019123 Jul 2019 (4.69%)
2018117 Jul 2018 (0.06%)
2015107 May 2015 (-3.04%)
2013106 Mar 2013 (8.06%)
2012212 Jan 2012 (-0.45%), 04 Sep 2012 (-3.3%)
2011103 Mar 2011 (-6.14%)
2010113 Jul 2010 (-0.48%)
2008119 Mar 2008 (-16.78%)
2006113 Jul 2006 (14.22%)
2002101 Nov 2002 (-1.09%)
2001123 May 2001 (1.57%)
1999124 Nov 1999 (5.0%)
1998111 Aug 1998 (5.45%)
1996127 Sep 1996 (46.02%)

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
atrtrail-16.2593138.81651131.2533018.4280383.32-6541.21-16056.275.052.290.055821.18
atrnil27.8177423.2916885019389.7331269.56-9711.82-20301.13220.0644838.96
atrnil313.3160821.221661037.527009.3346904.33-10123.48-20301.132.671.60.0413801.33
atrtrail35.0641606.681651131.252271246904.33-6541.21-16056.273.471.580.0332600.42
atrtrail24.515845.331651131.2517559.7331269.56-6541.21-16056.272.681.220.016990.33

In the table above, row 1 shows the best exit criterion. Profit factor is 2.29. 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 31.25%, which is not acceptable. Avoid this strategy. Average return per trade is 2.91%, which is very good. Sharpe Ratio is 0.05, 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:2.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019123 Jul 2019 (-0.82%)
2018117 Jul 2018 (0.59%)
2015107 May 2015 (-4.24%)
2013106 Mar 2013 (15.26%)
2012312 Jan 2012 (-3.93%), 13 Jan 2012 (-3.83%), 04 Sep 2012 (-2.0%)
2011103 Mar 2011 (-4.63%)
2010113 Jul 2010 (-1.35%)
2008119 Mar 2008 (-8.03%)
2006113 Jul 2006 (9.25%)
2002101 Nov 2002 (-1.87%)
2001123 May 2001 (-1.61%)
1999124 Nov 1999 (-3.67%)
1998111 Aug 1998 (17.26%)
1996127 Sep 1996 (40.19%)



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