Study: Buy ZEEL when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy ZEEL when above 200 SMA and near 50 SMA and above 50 SMA" 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
1-644.3390484253.333844.0315322.41-4408.52-19957.130.871-0.00026-7.16
247966.7690484253.335727.3330781.88-5403.45-34127.171.061.210.014532.96
310472590484253.337119.5733524.16-5643.22-23063.681.261.440.0261163.61
421045090494154.449520.9752163.96-6245.8-27363.661.521.820.0422338.33
523606290523857.7810116.9956858.26-7632.14-44582.041.331.810.0412622.91
623123290513956.6711077.7259285.55-8557.23-60085.731.291.690.0362569.24
717135390484253.3311258.0746851.39-8786.53-64372.471.281.460.0271903.92
81991319045455013470.4241638.69-9045.28-50821.621.491.490.032212.57
919430390444648.8913752.3448662.6-8930.44-41337.721.541.470.0292158.92
1025795490504055.5613753.1352648.53-10742.56-45175.441.281.60.0362866.16
Although, strategy looks good but profit factor on day 1 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
atrnil37.933795490315934.4426154.8155817.33-8014.32-17828.363.261.710.0443755.05
50trail-13.08160159131448733.598841.0949254.52-2630.45-3949.563.361.70.0311222.59
50trail32.07135983131468535.117867.5611879.26-2657.95-3949.562.961.60.041038.03
atrtrail24.32200597108446440.7413128.1837211.56-5891.3-17828.362.231.530.0331857.38
50nil32.28125976127448334.658502.4611879.26-2989.55-3949.562.841.510.036991.94
atrnil25.7123476098405840.8217454.6537211.56-7990.1-17828.362.181.510.0362395.51
atrtrail34.93182685108436539.8113062.7741007.01-5830.98-17828.362.241.480.0291691.53
atrtrail-15.41180812108436539.8113019.22100060-5830.98-17828.362.231.480.0241674.19
50trail21.6781524.61137548339.425738.227919.51-2751.07-3949.562.091.360.028595.07
50nil21.7981307.28134557941.045774.797919.51-2991.22-3949.561.931.340.028606.77

In the table above, row 1 shows the best exit criterion. Profit factor is 1.71. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 34.44%, which is not acceptable. Avoid this strategy. Average return per trade is 1.88%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.044, 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:1.71

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018502 Feb 2018 (-2.7%), 08 Feb 2018 (-2.69%), 26 Feb 2018 (-2.38%), 26 Mar 2018 (-2.51%), 03 Apr 2018 (-2.49%)
2017613 Apr 2017 (-2.31%), 12 May 2017 (-2.82%), 14 Jul 2017 (6.67%), 10 Aug 2017 (-2.47%), 30 Aug 2017 (-2.41%), 20 Nov 2017 (7.48%)
2016611 Jan 2016 (-2.34%), 05 Feb 2016 (-3.33%), 11 Mar 2016 (-3.44%), 27 Jun 2016 (7.16%), 21 Jul 2016 (7.39%), 14 Oct 2016 (-3.38%)
2015730 Jan 2015 (-2.68%), 21 Aug 2015 (-3.2%), 31 Aug 2015 (-3.78%), 24 Sep 2015 (-3.23%), 30 Sep 2015 (9.77%), 06 Nov 2015 (-2.82%), 14 Dec 2015 (8.06%)
2014816 Jan 2014 (-3.15%), 06 Mar 2014 (-3.01%), 14 May 2014 (-2.72%), 16 May 2014 (8.62%), 22 May 2014 (-3.84%), 04 Jun 2014 (-3.39%), 28 Jul 2014 (-3.27%), 20 Aug 2014 (-2.91%)
2013618 Feb 2013 (-3.19%), 31 May 2013 (-3.75%), 19 Jun 2013 (-3.55%), 28 Jun 2013 (10.47%), 01 Aug 2013 (-4.68%), 22 Nov 2013 (10.73%)
2012302 Apr 2012 (-4.66%), 23 May 2012 (8.77%), 20 Nov 2012 (11.9%)
2011317 Jun 2011 (-3.18%), 23 Jun 2011 (-3.49%), 27 Jul 2011 (-4.11%)
20101005 Jan 2010 (11.88%), 27 Jan 2010 (-5.56%), 09 Feb 2010 (-4.28%), 19 Mar 2010 (11.45%), 21 May 2010 (-4.28%), 07 Jun 2010 (12.36%), 28 Jul 2010 (9.36%), 30 Sep 2010 (-3.35%), 03 Nov 2010 (-3.04%), 01 Dec 2010 (-3.84%)
2009310 Jul 2009 (22.47%), 12 Aug 2009 (18.94%), 15 Dec 2009 (-4.74%)
2007623 Jan 2007 (12.94%), 03 Jul 2007 (11.44%), 01 Aug 2007 (-6.33%), 20 Sep 2007 (13.65%), 13 Dec 2007 (-5.03%), 28 Dec 2007 (-4.74%)
2006218 May 2006 (-7.26%), 19 Oct 2006 (10.71%)
2005323 Aug 2005 (14.02%), 23 Sep 2005 (-5.25%), 07 Dec 2005 (-4.49%)
2004511 Feb 2004 (-6.91%), 06 Apr 2004 (-4.53%), 03 May 2004 (-5.24%), 26 Oct 2004 (-3.63%), 03 Nov 2004 (-3.55%)
2003219 Nov 2003 (-4.57%), 27 Nov 2003 (14.4%)
2001131 Dec 2001 (27.91%)
1999605 Jan 1999 (13.94%), 15 Jan 1999 (-5.58%), 28 Jan 1999 (-5.96%), 15 Feb 1999 (14.97%), 25 Jun 1999 (16.48%), 09 Nov 1999 (24.22%)
1998412 Jun 1998 (-8.91%), 13 Jul 1998 (20.5%), 06 Oct 1998 (-6.17%), 20 Oct 1998 (-6.19%)
1997403 Jul 1997 (-4.01%), 07 Jul 1997 (12.32%), 24 Jul 1997 (14.41%), 27 Nov 1997 (-5.1%)



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