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

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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 and RSI is above 50" 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
113710.4648252352.083504.5214786.89-3213.15-10843.371.091.190.013285.63
28246.92482424504706.8516258.3-4363.23-14802.071.081.080.0059171.81
320911.3448212743.757365.1433524.16-4953.95-23063.681.491.160.01435.65
491413.6348262254.178681.4952163.96-6104.78-19388.751.421.680.0361904.45
590718.154824245010384.6356858.26-6604.71-20740.11.571.570.0321889.96
612519848252352.0811149.159285.55-6675.18-20740.11.671.820.042608.3
710532048262254.1710958.8746851.39-8164.11-23838.211.341.590.0342194.17
882271.654824245012538.7937734.16-9110.81-31669.541.381.380.0241713.99
984052.4348252352.0812454.2735731.61-9882.8-41337.721.261.370.0241751.09
1013825748291960.4212918.7538099.17-12441.43-45175.441.041.580.0352880.34
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
50trail32.2711305064263840.628376.0511879.26-2755.98-3980.543.042.080.0631766.41
50nil32.5811991064273742.198715.5911879.26-3119.21-3980.542.792.040.0641873.59
atrnil38.0221521749183136.7324248.9641007.01-7137.57-10305.163.41.970.0564392.18
atrtrail-15.6914514255243143.6412685.4191245.81-5138.96-10305.162.471.910.0342638.95
atrtrail35.1514055555243143.6412494.341007.01-5138.96-10305.162.431.880.0442555.55
50trail-13.4787504.8364244037.58131.4849254.52-2691.27-3980.543.021.810.0331367.26
atrtrail24.6911698855253045.4510972.9927338-5244.57-10305.162.091.740.0442127.05
atrnil26.4114897351232845.115372.9627338-7307.33-10305.162.11.730.052921.04
50nil21.9563713.8666303645.455853.587919.51-3108.15-3980.541.881.570.043965.36
50trail21.7753124.2366283842.425752.837919.51-2840.92-3980.542.021.490.038804.91

In the table above, row 1 shows the best exit criterion. Profit factor is 2.08. 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 40.62%, which is not acceptable. Avoid this strategy. Average return per trade is 0.88%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.063, 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:2.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018426 Feb 2018 (-1.16%), 26 Mar 2018 (-1.38%), 03 Apr 2018 (-1.47%), 13 Apr 2018 (3.48%)
2017525 Apr 2017 (-1.24%), 12 May 2017 (-1.54%), 14 Jul 2017 (4.75%), 01 Sep 2017 (-0.18%), 20 Nov 2017 (5.8%)
2016205 Feb 2016 (-1.03%), 11 Mar 2016 (-1.15%)
2015424 Sep 2015 (-1.93%), 30 Sep 2015 (-1.25%), 14 Dec 2015 (3.61%), 24 Dec 2015 (5.59%)
2014706 Mar 2014 (3.03%), 14 May 2014 (-1.87%), 16 May 2014 (3.77%), 22 May 2014 (-1.47%), 26 May 2014 (-1.46%), 04 Jun 2014 (4.31%), 20 Aug 2014 (-0.14%)
2013319 Jun 2013 (-1.54%), 28 Jun 2013 (5.94%), 11 Jul 2013 (3.54%)
2012302 Apr 2012 (4.99%), 23 May 2012 (3.2%), 01 Jun 2012 (3.68%)
2011227 Jul 2011 (-1.16%), 28 Jul 2011 (-1.11%)
20101209 Feb 2010 (-1.84%), 25 Mar 2010 (5.45%), 07 Jun 2010 (-1.27%), 11 Jun 2010 (3.76%), 18 Jun 2010 (-1.97%), 24 Jun 2010 (-1.27%), 28 Jun 2010 (-1.24%), 02 Jul 2010 (4.15%), 23 Aug 2010 (-1.99%), 30 Sep 2010 (-0.57%), 03 Nov 2010 (0.26%), 01 Dec 2010 (3.98%)
2008107 Jan 2008 (-1.86%)
2007723 Jan 2007 (-1.13%), 03 Jul 2007 (3.41%), 20 Sep 2007 (-1.77%), 25 Sep 2007 (-1.43%), 26 Sep 2007 (4.68%), 13 Dec 2007 (-1.52%), 28 Dec 2007 (5.84%)
2005207 Oct 2005 (-1.97%), 07 Dec 2005 (-0.6%)
2004206 Apr 2004 (3.42%), 03 Nov 2004 (-1.57%)
2003103 Dec 2003 (-1.96%)
2002129 Jan 2002 (-1.1%)
1999305 Jan 1999 (4.51%), 15 Feb 1999 (5.66%), 02 Jul 1999 (3.75%)
1998313 Jul 1998 (-1.34%), 14 Jul 1998 (4.32%), 18 Nov 1998 (-1.82%)
1997224 Jul 1997 (-1.09%), 27 Nov 1997 (-1.96%)



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