Study: Sell ZEEL when near 200 SMA and below 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell ZEEL when near 200 SMA and below 200 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: 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
1-14917.192281436.362363.526459.05-2416.09-9614.110.980.56-0.041-678.05
2-6925.662291340.913828.469150.33-3183.22-69861.20.83-0.016-314.8
317672.4221111506057.4812764.32-4450.9-13293.371.361.360.026803.29
412251.152281436.3611845.6525759.32-5893.86-16225.262.011.150.011556.87
5-28872.592281436.3612257.9130449.83-9066.85-17754.31.350.77-0.022-1312.39
6-2315.682281436.361210424375.24-7081.98-18709.431.710.98-0.002-105.26
7-4784.922213959.096945.4725605.54-10564-17992.840.660.95-0.004-217.5
8-32946.522271531.8212974.3726066.9-8251.14-17232.151.570.73-0.026-1497.57
9-51770.872281436.3610842.3829911.57-9893.57-29905.661.10.63-0.038-2353.22
10-11430622101245.458401.8823913.88-16527.04-86981.130.510.42-0.049-5195.71
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
200trail31.657211.723792824.329391.8911603.23-2761.26-3936.13.41.090.0075194.91
200nil31.655942.713792824.329391.8911603.23-2806.58-3936.13.351.080.0062160.61
200trail21.36-9403.0639112828.216088.517735.49-2727.74-3936.12.230.88-0.012-241.1
200nil21.36-10672.0839112828.216088.517735.49-2773.06-3936.12.20.86-0.014-273.64
atrtrail-15.41-28235.912962320.6919682.5479943.4-6362.22-9902.23.090.81-0.012-973.65
200trail-12.49-32711.7535728206540.2824482.89-2803.35-3936.12.330.58-0.036-934.62
atrtrail23.97-71086.542962320.6912540.7618840.98-6362.22-9902.21.970.51-0.06-2451.26
atrnil25.33-82237.432451920.8316988.7520350.8-8799.01-16834.861.930.51-0.065-3426.56
atrtrail34.55-75671.692962320.6911776.5728261.47-6362.22-9902.21.850.48-0.06-2609.37
atrnil37.25-1123202432112.524333.2628261.47-8824.75-16834.862.760.39-0.084-4680

In the table above, row 1 shows the best exit criterion. Profit factor is 1.09. 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 24.32%, which is not acceptable. Avoid this strategy. Average return per trade is 0.097%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0075, 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:1.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017206 Jan 2017 (-1.89%), 20 Jan 2017 (-1.97%)
2016615 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%)
2015315 Jun 2015 (-1.5%), 19 Jun 2015 (-1.58%), 24 Aug 2015 (-1.27%)
2012219 Mar 2012 (4.84%), 20 Mar 2012 (-1.83%)
2011421 Jul 2011 (-1.31%), 29 Nov 2011 (-1.06%), 30 Nov 2011 (-1.01%), 09 Dec 2011 (5.07%)
2010221 Oct 2010 (4.34%), 01 Nov 2010 (-1.79%)
2007209 Jan 2007 (-1.93%), 27 Aug 2007 (-1.66%)
2006317 Jan 2006 (-1.15%), 18 Dec 2006 (-1.39%), 19 Dec 2006 (4.07%)
2005406 Apr 2005 (-1.49%), 07 Apr 2005 (-1.07%), 20 May 2005 (-1.83%), 23 May 2005 (-1.19%)
2004201 Jun 2004 (5.51%), 04 Jun 2004 (-1.03%)
1996718 Jan 1996 (-1.0%), 05 Sep 1996 (5.13%), 18 Sep 1996 (-0.92%), 23 Sep 1996 (-1.07%), 08 Oct 1996 (-1.33%), 09 Oct 1996 (-1.11%), 29 Oct 1996 (5.8%)



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