Study: Buy RAYMOND when above 200 SMA

home > technical-strategy > raymond > 58

In this study, we evaluate the performance of strategy "Buy RAYMOND when above 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
1-62394.0841162539.023811.277882.94-4934.98-25539.850.770.49-0.048-1521.81
2-11847441162539.023506.428565.38-6983.09-21731.450.50.32-0.085-2889.62
3-11632541192246.344289.5613710.65-8992.14-25901.540.480.41-0.068-2837.2
4-19147241113026.838978.4226939.47-9674.47-37674.660.930.34-0.083-4670.04
5-17221741132831.7110239.6340369.8-10904.71-33109.020.940.44-0.065-4200.41
6-15022841142734.1510495.7537673.34-11006.23-40287.120.950.49-0.051-3664.09
7-79715.3541162539.0213237.2648844.38-11660.46-37073.171.140.73-0.025-1944.28
8-50171.8241182343.912095.8647457.63-11647.71-33826.831.040.81-0.017-1223.7
9-67446.9341162539.0215780.1644992.3-12797.18-46388.521.230.79-0.019-1645.05
10-87637.4141172441.4616497.9546533.13-15337.61-60206.371.080.76-0.022-2137.5
Although, strategy looks good but profit factor on day 2 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
atrnil38.99-51533.4467155222.3930523.0740618.66-9795.76-22708.473.120.9-0.009-769.16
atrnil24.28-1593636817512519908.4327079.11-9760.91-22708.472.040.68-0.035-2343.57
atrtrail23.44-14350272165622.2218811.3726588.58-7937.21-23657.042.370.68-0.033-1993.08
atrtrail34.06-17803972155720.8317807.3839882.87-7809.64-23657.042.280.6-0.04-2472.76
atrtrail-14.33-20327372155720.8316125.0741761.7-7809.64-23657.042.060.54-0.049-2823.24

In the table above, row 1 shows the best exit criterion. Profit factor is 0.9. 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 22.39%, which is not acceptable. Avoid this strategy. Average return per trade is -0.38%, 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, Profit Factor:0.899

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019117 Jun 2019 (-3.04%)
2018401 Feb 2018 (-4.2%), 02 Feb 2018 (-4.99%), 06 Feb 2018 (17.35%), 21 May 2018 (-3.49%)
2017423 May 2017 (-4.79%), 24 May 2017 (-5.38%), 02 Aug 2017 (-3.16%), 10 Aug 2017 (-3.83%)
2016424 Jun 2016 (-3.44%), 11 Nov 2016 (-5.25%), 15 Nov 2016 (-6.47%), 19 Dec 2016 (11.78%)
2015120 Mar 2015 (-4.33%)
2014328 Jan 2014 (-4.25%), 03 Feb 2014 (13.57%), 25 Sep 2014 (15.1%)
2013408 Jan 2013 (-2.59%), 10 Jan 2013 (-2.68%), 16 Jan 2013 (-2.95%), 22 Jan 2013 (-3.35%)
2012117 Jul 2012 (-3.53%)
2011410 Jan 2011 (-4.76%), 11 Jan 2011 (-5.14%), 01 Aug 2011 (-3.47%), 05 Aug 2011 (-3.86%)
2010405 Feb 2010 (19.3%), 03 May 2010 (-4.06%), 07 May 2010 (-4.18%), 26 Nov 2010 (17.81%)
2009227 Oct 2009 (-5.59%), 03 Nov 2009 (17.84%)
2008216 Jan 2008 (-6.37%), 21 Jan 2008 (-7.12%)
2006219 May 2006 (-8.75%), 22 May 2006 (-11.2%)
2005506 Jan 2005 (-4.0%), 13 Jan 2005 (12.82%), 23 Mar 2005 (16.6%), 29 Jun 2005 (10.48%), 31 Oct 2005 (14.81%)
2004416 Jan 2004 (-4.92%), 21 Jan 2004 (-5.99%), 22 Jan 2004 (-6.84%), 22 Mar 2004 (-4.84%)
2003129 Oct 2003 (17.85%)
2002222 Jul 2002 (-4.34%), 31 Jul 2002 (-4.86%)
2001316 Mar 2001 (-4.74%), 23 Mar 2001 (-4.98%), 26 Mar 2001 (-5.39%)
2000414 Jul 2000 (-4.38%), 18 Jul 2000 (-4.3%), 22 Dec 2000 (-4.38%), 26 Dec 2000 (14.87%)
1999225 Jun 1999 (-6.71%), 01 Jul 1999 (20.31%)
1998308 Jun 1998 (-9.32%), 11 Jun 1998 (-10.39%), 16 Jun 1998 (-11.35%)
1996725 Jan 1996 (-1.96%), 30 Apr 1996 (-2.79%), 06 May 1996 (-2.89%), 10 May 1996 (-2.79%), 14 May 1996 (8.44%), 12 Aug 1996 (-2.95%), 19 Aug 1996 (-3.35%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play