Study: Sell ZEEL when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell ZEEL when below 200 SMA and near 50 SMA and below 50 SMA" 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
123899.5949292059.184485.9113576.39-5309.59-49651.210.841.230.011487.75
223490.2649272255.17268.831443.25-7853.06-43331.970.931.140.0082479.39
324787.0649292059.187359.6623889.62-9432.16-56462.860.781.130.0081505.86
460539.8549232646.9412336.233699.26-8584.33-50307.761.441.270.0171235.51
522175.6149242548.9811873.6146694.41-10511.64-41690.61.131.080.0058452.56
6-4923.3349242548.9812490.9248424.61-12188.21-42100.941.020.98-0.0012-100.48
7-29355.1549262353.0612056.6540798.86-14905.57-49891.30.810.91-0.0069-599.08
8-44273.9549232646.9415648.5843965.76-15545.82-58695.651.010.89-0.0089-903.55
9-10474249232646.9415811.6149306.63-18015.73-60217.390.880.78-0.019-2137.59
10-62617.9649222744.919773.3358936.83-18430.78-64891.31.070.87-0.011-1277.92
Although, strategy looks good but profit factor on day 3 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
atrnil25.7674252.3251183335.2921877.9637759.43-9683.36-20608.542.261.230.0191455.93
atrnil38.0480252.5649123724.4936093.5956639.15-9537.04-20608.543.781.230.0161637.81
atrtrail24.0816887.3660204033.3314072.0828889.42-6613.86-17799.232.131.060.0052281.46
atrtrail34.571134.9960194131.671432931489.37-6612.58-17799.232.1710.0003418.92
50trail-12.54-18385.5274136117.5711830.1730662.74-2822.59-3935.594.190.89-0.0073-248.45
atrtrail-14.83-41102.216018423012932.5736744.78-6521.15-17799.231.980.85-0.013-685.04
50trail31.81-37870.85751560208877.811889.04-2850.63-3935.593.110.78-0.021-504.94
50nil31.92-47826.7473145919.189409.1711889.04-3043.31-3939.753.090.73-0.027-655.16
50trail21.57-45286.2477205725.976124.037926.03-2943.28-3935.592.080.73-0.03-588.13
50nil21.58-52763.677205725.976124.037926.03-3074.46-3939.751.990.7-0.034-685.24

In the table above, row 1 shows the best exit criterion. Profit factor is 1.23. 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 35.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.73%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.
ZEEL Performance, Profit Factor:1.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019514 Feb 2019 (-6.23%), 30 Apr 2019 (7.48%), 03 Jul 2019 (-4.76%), 16 Aug 2019 (-5.09%), 13 Sep 2019 (8.36%)
2018219 Nov 2018 (-3.74%), 26 Dec 2018 (-4.18%)
2016118 Mar 2016 (-3.25%)
2015102 Jun 2015 (-2.47%)
2012118 Jan 2012 (-3.5%)
2011504 Jan 2011 (7.44%), 15 Mar 2011 (-3.61%), 20 Jun 2011 (6.56%), 14 Nov 2011 (-3.57%), 19 Dec 2011 (7.64%)
2010230 Nov 2010 (-3.93%), 29 Dec 2010 (-3.76%)
2009309 Jan 2009 (18.1%), 27 Mar 2009 (-7.0%), 28 Apr 2009 (-8.9%)
2008516 Jun 2008 (-4.88%), 26 Jun 2008 (10.32%), 25 Jul 2008 (11.73%), 06 Aug 2008 (-5.81%), 17 Sep 2008 (11.54%)
2007313 Jun 2007 (-4.62%), 27 Jun 2007 (-3.85%), 02 Jul 2007 (-3.94%)
2006101 Feb 2006 (-4.03%)
2005408 Apr 2005 (7.95%), 25 May 2005 (-4.93%), 01 Jun 2005 (-4.42%), 16 Jun 2005 (-3.65%)
2004305 May 2004 (10.5%), 02 Jun 2004 (-5.18%), 18 Jun 2004 (-5.28%)
2001325 Jan 2001 (12.93%), 25 Oct 2001 (-7.17%), 20 Dec 2001 (-10.3%)
2000410 Mar 2000 (18.88%), 20 Jul 2000 (14.44%), 20 Sep 2000 (14.52%), 07 Dec 2000 (9.88%)
1998106 Jan 1998 (-4.25%)
1997420 Jan 1997 (11.06%), 14 Feb 1997 (7.58%), 10 Apr 1997 (-4.24%), 28 Apr 1997 (-3.93%)
1996302 Feb 1996 (-5.09%), 26 Mar 1996 (-4.32%), 23 May 1996 (-5.88%)



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