Study: Buy ZEEL when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy ZEEL when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA 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: buy 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. 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
12941.6164266.673396.789146.34-5322.75-7416.270.641.280.019490.27
238522.2664266.6712458.2823588.88-5655.43-8931.422.24.410.126420.38
337859.246335017728.3737994.95-5108.62-11164.273.473.470.0836309.87
416719.2464266.678424.0616090.99-8488.5-15390.750.991.980.0582786.54
55423.7164266.678175.8816764.95-13639.89-18819.780.61.20.016903.95
610099.786335014814.9728475.15-11448.38-18102.071.291.290.0221683.3
710802.286335015129.9430328.56-11529.18-17942.581.311.310.0221800.38
838270.3564266.6716966.9147430.5-14798.65-17316.591.152.290.0626378.39
928214.2964266.6715314.6541364.79-16522.15-16586.920.931.850.0484702.38
1025874.2664266.6714653.8538753.16-16370.56-16746.410.91.790.0464312.38
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
ZEEL Performance, X=2, Profit Factor:4.41

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017105 Jan 2017 (-1.19%)
2015122 Jun 2015 (2.85%)
2011104 Nov 2011 (-4.47%)
2005117 May 2005 (1.12%)
2001122 Nov 2001 (11.79%)
1996127 Sep 1996 (9.15%)

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
atrnil2545685.9464266.6715014.8322342.48-7186.7-8156.442.094.180.147614.32
atrtrail33.8331531.246335015067.5133513.72-4557.09-6216.953.313.310.0785255.21
atrtrail23.527559.416335013743.5722342.48-4557.09-6216.953.023.020.0854593.24
atrnil36.8343059.176335021865.5633513.72-7512.5-8164.112.912.910.0927176.53
atrtrail-1423375.936335012349.0725358.42-4557.09-6216.952.712.710.0733895.99
200nil31.5715938.3673442.8610086.8411049.71-3580.54-3712.612.822.110.0682276.91
200trail-12.5713075.373442.869132.4822103.62-3580.54-3712.612.551.910.0441867.9
200trail31.437841.1273442.867387.7611049.71-3580.54-3712.612.061.550.0391120.16
200nil215851.5273442.866724.567366.47-3580.54-3712.611.881.410.033835.93
200trail215851.5273442.866724.567366.47-3580.54-3712.611.881.410.033835.93

In the table above, row 1 shows the best exit criterion. Profit factor is 4.18. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bullish. Percentage of profitable trades is 66.67%, which is good. Average return per trade is 3.81%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ZEEL Performance, Profit Factor:4.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017105 Jan 2017 (5.28%)
2015122 Jun 2015 (5.41%)
2011104 Nov 2011 (-3.11%)
2005117 May 2005 (-4.08%)
2001122 Nov 2001 (11.17%)
1996127 Sep 1996 (8.16%)



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