Study: Sell ZEEL when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell ZEEL when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell ZEEL 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
11598.0431151648.394386.8814606.02-4012.82-20018.621.091.020.001751.55
2-41749.6231112035.484547.0819090.33-4588.37-24022.350.990.55-0.039-1346.76
3-21192.4431171454.844247.7614606.02-6671.75-40130.350.640.77-0.016-683.63
4-69772.3731131841.946526.7415502.88-8590-40037.240.760.55-0.044-2250.72
5-12223231112035.486565.5118898.14-9722.64-28119.180.680.37-0.079-3942.97
6-1326693192229.036834.2120755.93-8826.22-35381.750.770.32-0.082-4279.64
7-16833131112035.484719.7319859.06-11012.41-35332.40.430.24-0.1-5430.04
8-2038323162519.358670.8320947.06-10234.27-37616.390.850.2-0.11-6575.22
9-2352953182325.817104.1628477.47-12701.23-53277.550.560.19-0.11-7590.16
10-3353873162519.356376.4116672.15-14945.81-86981.130.430.1-0.12-10818.93

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.02. 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 48.39%, which is not acceptable. Avoid this strategy. Average return per trade is 0.026%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0017, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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-111598.0431151648.394386.8814606.02-4012.82-20018.621.091.020.001751.55
200nil32.13-21962.4947103721.289527.9311821.27-3168.7-3975.363.010.81-0.018-467.29
200nil21.76-31069.8649133626.536272.017880.85-3127.94-3975.362.010.72-0.031-634.08
200trail31.88-35698.2249113822.456965.1211821.27-2955.65-3975.362.360.68-0.032-728.54
200trail21.63-36894.4151133825.495729.357880.85-2930.95-3975.361.950.67-0.037-723.42
atrnil27-1296653682822.2215767.6724918.16-9135.95-18660.091.730.49-0.067-3601.81
atrtrail24.54-1027773973217.9511561.4819272.88-5740.86-18660.092.010.44-0.068-2635.31
atrnil37.77-1792573543111.4324703.1437377.24-8969.99-18660.092.750.36-0.09-5121.63
atrtrail34.72-1319373953412.8211972.5127744.51-5641.15-18660.092.120.31-0.091-3382.99
200trail-12.23-82935.6348103820.832894.1215987.19-2944.13-3975.360.980.26-0.11-1727.83
atrtrail-14.79-1501723953412.828325.4916940.01-5641.15-18660.091.480.22-0.13-3850.56

In the table above, row 1 shows the best exit criterion. Profit factor is 1.02. 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 48.39%, which is not acceptable. Avoid this strategy. Average return per trade is 0.026%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0017, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ZEEL Performance, X=1, Profit Factor:1.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018221 May 2018 (-2.08%), 08 Jun 2018 (-1.76%)
2017320 Jun 2017 (-0.04%), 05 Jul 2017 (-0.27%), 13 Oct 2017 (-0.86%)
2016410 Feb 2016 (2.64%), 15 Mar 2016 (0.48%), 15 Nov 2016 (-4.81%), 29 Nov 2016 (0.38%)
2015124 Aug 2015 (-1.88%)
2014216 Jun 2014 (-1.25%), 11 Aug 2014 (-0.33%)
2013129 Aug 2013 (-3.07%)
2012219 Mar 2012 (0.28%), 10 May 2012 (0.53%)
2011120 Jun 2011 (-1.42%)
2010221 Oct 2010 (0.32%), 15 Nov 2010 (2.76%)
2008109 Jan 2008 (3.83%)
2007509 Jan 2007 (-0.4%), 27 Jun 2007 (1.41%), 27 Aug 2007 (1.55%), 28 Nov 2007 (3.93%), 20 Dec 2007 (-2.38%)
2006118 Dec 2006 (-0.2%)
2005120 Oct 2005 (7.3%)
2002302 Jan 2002 (-10.01%), 20 May 2002 (4.51%), 21 Jun 2002 (0.62%)
1997109 Oct 1997 (-1.35%)
1996118 Jan 1996 (2.36%)



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