Study: Sell ZEEL when near 200 SMA and below 200 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 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
11965.1341192246.343915.1414606.02-3291.93-20018.621.191.030.001847.93
2-8300.8141192246.344704.4319090.33-4440.22-24022.351.060.92-0.0062-202.46
315857.3341231856.15392.6414606.02-6009.63-40130.350.91.150.0091386.76
4-39083.841202148.787253.4625759.32-8769.19-40037.240.830.79-0.018-953.26
5-88951.9841172441.468272.3630449.83-9565.92-28119.180.860.61-0.039-2169.56
6-94042.6441152636.599442.5227986.35-9064.63-35381.751.040.6-0.038-2293.72
7-12844541192246.346665.2425605.54-11594.73-35332.40.570.5-0.052-3132.79
8-17105141132831.718384.9926066.9-10002-37616.390.840.39-0.067-4171.98
9-21015341142734.158413.1429911.57-12145.82-53277.550.690.36-0.071-5125.69
10-30514141132831.718667.5523913.88-14922.12-86981.130.580.27-0.083-7442.47
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
200nil31.94-26295.5368155322.069027.1611821.27-3051-3975.362.960.84-0.015-386.7
200nil21.55-44129.0171195226.765951.17880.85-3023.07-3975.361.970.72-0.031-621.54
atrtrail-15.87-67540.9354134124.0713119.979943.4-5807.31-18660.092.260.72-0.019-1250.76
200trail21.47-47017.1775195625.335951.17880.85-2858.71-3975.362.080.71-0.033-626.9
200trail31.75-47821.7972165622.227075.3611821.27-2875.49-3975.362.460.7-0.03-664.19
atrnil38.16-100052459362024460.0437377.24-8894.22-18660.092.750.69-0.032-2223.37
atrtrail25.04-73481.0654153927.7810467.8720660.03-5910.23-18660.091.770.68-0.031-1360.76
atrnil27.28-98854.9447133427.6615913.5224918.16-8992.08-18660.091.770.68-0.037-2103.3
atrtrail35.31-81342.3154134124.0712058.2530990.05-5807.31-18660.092.080.66-0.031-1506.34
200trail-12.24-93056.33701456204748.2124482.89-2848.77-3975.361.670.42-0.063-1329.38

In the table above, row 1 shows the best exit criterion. Profit factor is 0.84. 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 22.06%, which is not acceptable. Avoid this strategy. Average return per trade is -0.19%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ZEEL Performance, Profit Factor:0.837

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018721 May 2018 (-1.85%), 23 May 2018 (-1.89%), 29 May 2018 (-1.38%), 08 Jun 2018 (-1.6%), 13 Jun 2018 (-1.78%), 25 Jun 2018 (-1.72%), 26 Jun 2018 (3.67%)
2017320 Jun 2017 (-1.07%), 05 Jul 2017 (-1.66%), 13 Oct 2017 (5.42%)
20161010 Feb 2016 (4.87%), 18 Feb 2016 (-1.49%), 15 Mar 2016 (-1.91%), 22 Mar 2016 (4.14%), 15 Nov 2016 (-1.59%), 23 Nov 2016 (3.47%), 28 Nov 2016 (-1.15%), 29 Nov 2016 (-1.28%), 01 Dec 2016 (4.04%), 09 Dec 2016 (-1.28%)
2015124 Aug 2015 (-1.27%)
2014216 Jun 2014 (-1.44%), 11 Aug 2014 (-1.93%)
2013429 Aug 2013 (-1.5%), 05 Sep 2013 (-1.53%), 18 Sep 2013 (-1.35%), 30 Sep 2013 (-1.06%)
2012527 Feb 2012 (-1.24%), 19 Mar 2012 (4.84%), 20 Mar 2012 (-1.83%), 28 Mar 2012 (-1.71%), 10 May 2012 (-1.86%)
2011320 Jun 2011 (-1.22%), 01 Jul 2011 (5.4%), 29 Jul 2011 (-1.44%)
2010721 Oct 2010 (4.34%), 01 Nov 2010 (-1.79%), 12 Nov 2010 (-1.19%), 15 Nov 2010 (-1.47%), 18 Nov 2010 (-1.25%), 09 Dec 2010 (-1.26%), 13 Dec 2010 (-1.37%)
2008109 Jan 2008 (-1.16%)
2007809 Jan 2007 (-1.93%), 06 Jun 2007 (-1.38%), 27 Jun 2007 (-1.71%), 02 Jul 2007 (-1.44%), 27 Aug 2007 (-1.66%), 28 Nov 2007 (-1.78%), 10 Dec 2007 (-1.26%), 20 Dec 2007 (-1.01%)
2006517 Jan 2006 (-1.15%), 25 Jan 2006 (3.18%), 30 Jan 2006 (-1.59%), 18 Dec 2006 (-1.39%), 19 Dec 2006 (4.07%)
2005220 Oct 2005 (5.91%), 18 Nov 2005 (-1.78%)
2004206 May 2004 (-1.8%), 07 May 2004 (3.27%)
2002402 Jan 2002 (-1.92%), 20 May 2002 (5.29%), 21 Jun 2002 (-1.85%), 03 Jul 2002 (-1.95%)
1997209 Oct 1997 (-1.99%), 13 Oct 1997 (-1.76%)
1996218 Jan 1996 (-1.0%), 29 Oct 1996 (5.8%)



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