Study: Buy RAYMOND when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy RAYMOND when below 200 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
1-8701.16118566247.465149.829341.32-4791.77-22571.591.070.97-0.0021-73.74
2-153272118546445.765366.4925449.1-6922.85-39266.390.780.65-0.03-1298.91
3-222561118506842.376904.4424707.26-8349.74-27617.210.830.61-0.038-1886.11
4-198803118546445.768170.4527286.59-10000.11-34572.820.820.69-0.029-1684.77
5-119887118546445.7610602.6145579.27-10819.18-35900.840.980.83-0.015-1015.99
6-177376118556346.6111134.245227.42-12535.83-87900.680.890.78-0.018-1503.19
7-323509118526644.0711171.5936316.39-13703.52-82257.340.820.64-0.032-2741.6
8-260935118546445.7612035.9745731.71-14232.45-76343.120.850.71-0.025-2211.31
9-248358118536544.9213181.6750791.92-14569.02-82528.220.90.74-0.023-2104.73
10-239528118506842.3714071.1538612.78-13868.91-80722.351.010.75-0.022-2029.9

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.97. 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 47.46%, which is not acceptable. Avoid this strategy. Average return per trade is -0.037%, we advise you not to use this strategy.

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
nilnil-11-8701.16118566247.465149.829341.32-4791.77-22571.591.070.97-0.0021-73.74
atrtrail-15.17-41803.322387416431.0917075.77212818-7959.82-24306.382.150.97-0.0019-175.64
atrtrail34.58-63534.722387416431.0916814.4956635.18-7974.43-24306.382.110.95-0.0037-266.95
atrnil25.41-1267602076014728.9922118.258778.23-9890.15-26294.072.240.91-0.0079-612.37
atrtrail23.95-1190672387616231.9315548.4358778.23-8029.31-24306.381.940.91-0.0076-500.28
atrnil38.19-1955401903715319.4735398.1488167.34-9838.38-26294.073.60.87-0.011-1029.16

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. 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 47.46%, which is not acceptable. Avoid this strategy. Average return per trade is -0.037%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RAYMOND Performance, X=1, Profit Factor:0.971

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019825 Jan 2019 (-3.58%), 09 Apr 2019 (-0.46%), 02 May 2019 (2.57%), 19 Jun 2019 (2.95%), 05 Jul 2019 (-2.05%), 19 Jul 2019 (0.21%), 02 Aug 2019 (-0.86%), 20 Aug 2019 (-5.53%)
2018604 Jun 2018 (0.07%), 27 Jun 2018 (-1.86%), 16 Jul 2018 (1.27%), 02 Aug 2018 (1.2%), 21 Sep 2018 (-3.34%), 08 Oct 2018 (-5.13%)
2016513 Jan 2016 (-0.04%), 12 Feb 2016 (11.12%), 16 Mar 2016 (-0.61%), 10 Aug 2016 (-0.73%), 26 Dec 2016 (6.47%)
2015723 Mar 2015 (-3.21%), 07 May 2015 (1.27%), 04 Jun 2015 (1.02%), 11 Aug 2015 (-2.06%), 07 Sep 2015 (1.14%), 30 Oct 2015 (-0.11%), 09 Dec 2015 (-1.14%)
20131024 Jan 2013 (2.04%), 14 Feb 2013 (-0.04%), 28 Feb 2013 (1.9%), 15 Mar 2013 (-3.83%), 08 Apr 2013 (-1.4%), 31 May 2013 (1.17%), 24 Jun 2013 (2.79%), 24 Jul 2013 (-4.12%), 28 Aug 2013 (2.18%), 13 Dec 2013 (0.46%)
2012314 May 2012 (0.22%), 23 Jul 2012 (-0.59%), 29 Aug 2012 (2.66%)
2011401 Feb 2011 (-2.97%), 18 Aug 2011 (-1.95%), 04 Oct 2011 (-0.9%), 20 Dec 2011 (0.99%)
2010221 May 2010 (0.54%), 08 Jun 2010 (-1.26%)
2009322 Jan 2009 (-3.37%), 17 Feb 2009 (-1.63%), 04 Mar 2009 (-1.16%)
20081122 Jan 2008 (6.17%), 10 Mar 2008 (2.33%), 08 May 2008 (-0.19%), 23 May 2008 (-2.08%), 06 Jun 2008 (0.02%), 20 Jun 2008 (0.07%), 01 Aug 2008 (0.79%), 21 Aug 2008 (0.51%), 08 Sep 2008 (-0.78%), 29 Sep 2008 (-1.39%), 23 Oct 2008 (-11.29%)
2007931 Jan 2007 (0.25%), 23 Feb 2007 (1.03%), 12 Apr 2007 (1.15%), 24 May 2007 (-0.06%), 07 Jun 2007 (-0.37%), 25 Jun 2007 (-0.18%), 12 Jul 2007 (-0.32%), 01 Aug 2007 (0.0%), 17 Aug 2007 (0.82%)
2006406 Jun 2006 (-6.61%), 20 Jul 2006 (-7.49%), 17 Nov 2006 (-0.16%), 13 Dec 2006 (-0.79%)
2004217 May 2004 (8.06%), 23 Jun 2004 (2.34%)
2003203 Feb 2003 (-1.01%), 26 Feb 2003 (0.11%)
2002309 Sep 2002 (3.21%), 04 Oct 2002 (1.75%), 05 Nov 2002 (0.75%)
2001527 Mar 2001 (14.67%), 15 Jun 2001 (-2.73%), 02 Jul 2001 (1.46%), 23 Jul 2001 (1.49%), 12 Sep 2001 (0.51%)
2000329 Feb 2000 (2.66%), 21 Mar 2000 (2.96%), 19 Jul 2000 (-1.72%)
1999914 Jan 1999 (-7.51%), 05 Feb 1999 (-0.15%), 11 Mar 1999 (-3.96%), 15 Apr 1999 (8.02%), 30 Jul 1999 (-2.68%), 16 Sep 1999 (4.16%), 01 Nov 1999 (2.56%), 16 Nov 1999 (-1.44%), 14 Dec 1999 (3.48%)
1998623 Jan 1998 (-2.67%), 10 Feb 1998 (0.82%), 22 Jun 1998 (1.6%), 23 Jul 1998 (-7.09%), 02 Sep 1998 (-0.93%), 05 Oct 1998 (-7.68%)
19971120 Jan 1997 (-4.81%), 18 Feb 1997 (-1.69%), 31 Mar 1997 (-2.42%), 07 May 1997 (2.17%), 29 May 1997 (2.61%), 22 Aug 1997 (-2.44%), 23 Sep 1997 (3.13%), 14 Oct 1997 (-1.34%), 28 Oct 1997 (7.01%), 18 Nov 1997 (5.95%), 09 Dec 1997 (0.29%)
1996502 Sep 1996 (-6.2%), 16 Sep 1996 (-0.98%), 30 Sep 1996 (-3.45%), 10 Nov 1996 (5.02%), 25 Nov 1996 (0.0%)



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