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

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In this study, we evaluate the performance of strategy "Buy ZEEL when near 200 SMA and above 200 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
164645.8567343350.754818.6918525.23-3005.75-11122.691.61.650.035964.86
293118.9967323547.767377.8928615.78-4084.96-10942.71.811.650.0361389.84
317804867373055.228811.1537994.95-4932.17-17892.791.792.20.0542657.43
417732967412661.198363.1237476.98-6367.67-22402.961.312.070.0522646.7
516582467402759.79265.4240816.33-7584.93-22402.961.221.810.0432474.98
626772467382956.7212081.8163520.41-6599.49-21219.961.832.40.063995.88
730705867422562.6911361.8989880.95-6805.66-22682.511.672.80.064582.96
838853267432464.1812997.56110714-7098.45-21867.571.833.280.0655798.99
932632467422562.6912811.51107653-8470.37-29537.771.512.540.0554870.51
1031959867392858.2114093.6495663.27-8216.23-40203.741.722.390.0544770.11

From the table above, we see that best results are achieved by holding positions for 8 trading days. Profit factor is 3.28. Strategy is very good and impressively bullish. Percentage of profitable trades is 64.18%, which is good. Average return per trade is 2.9%, which is very good. Sharpe Ratio is 0.065, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
ZEEL Performance, X=8, Profit Factor:3.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Mar 2019 (-7.52%)
2018225 May 2018 (-2.1%), 12 Jun 2018 (0.1%)
2017605 Jan 2017 (2.01%), 05 May 2017 (3.65%), 13 Jun 2017 (0.2%), 07 Jul 2017 (7.5%), 11 Aug 2017 (1.35%), 11 Oct 2017 (2.23%)
2016615 Feb 2016 (-1.15%), 08 Mar 2016 (-0.01%), 04 Apr 2016 (3.29%), 21 Apr 2016 (5.12%), 05 May 2016 (11.17%), 17 Nov 2016 (-0.35%)
2015317 Apr 2015 (-4.69%), 22 Jun 2015 (6.88%), 02 Sep 2015 (9.47%)
2014617 Apr 2014 (2.65%), 06 May 2014 (4.22%), 29 May 2014 (5.83%), 13 Jun 2014 (6.62%), 06 Aug 2014 (1.9%), 27 Aug 2014 (2.02%)
2013210 Sep 2013 (-2.31%), 24 Sep 2013 (8.72%)
2012625 Jan 2012 (3.48%), 22 Feb 2012 (8.35%), 16 Mar 2012 (-2.11%), 12 Apr 2012 (0.16%), 26 Apr 2012 (0.28%), 18 May 2012 (4.67%)
2011424 May 2011 (3.16%), 17 Jun 2011 (4.38%), 26 Jul 2011 (-3.75%), 04 Nov 2011 (-6.14%)
2010402 Nov 2010 (-0.61%), 22 Nov 2010 (3.31%), 16 Dec 2010 (-1.92%), 31 Dec 2010 (-10.93%)
2008108 Jan 2008 (-5.14%)
2007525 Apr 2007 (-0.42%), 20 Jun 2007 (-0.56%), 20 Aug 2007 (-0.49%), 12 Nov 2007 (1.52%), 07 Dec 2007 (2.37%)
2006318 Jan 2006 (3.03%), 14 Jun 2006 (19.92%), 22 Dec 2006 (1.81%)
2005424 Feb 2005 (-2.37%), 06 May 2005 (1.2%), 22 Jun 2005 (6.86%), 05 Dec 2005 (3.44%)
2004326 Feb 2004 (-0.81%), 03 May 2004 (-6.91%), 17 Jun 2004 (-7.21%)
2003118 Jun 2003 (1.67%)
2002301 Jan 2002 (12.94%), 28 May 2002 (1.76%), 19 Jun 2002 (-2.15%)
2001122 Nov 2001 (23.72%)
1998230 Jan 1998 (-5.13%), 13 Feb 1998 (55.36%)
1997110 Oct 1997 (24.95%)
1996312 Jun 1996 (-10.41%), 27 Sep 1996 (1.33%), 14 Oct 1996 (4.87%)

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
nilnil-1838853267432464.1812997.56110714-7098.45-21867.571.833.280.0655798.99
atrnil311.1340488663263741.2727041.0158647.7-8058.94-13681.973.362.360.0696426.76
200trail-13.59196160102366635.2910505.3497000-2758.07-3916.133.812.080.0341923.14
atrnil27.2530376669343549.2817309.9839098.46-8136.37-13681.972.132.070.0654402.41
200nil32.4915207098356335.719857.711910.41-3062.69-3990.783.221.790.051551.73
atrtrail-15.5321439388385043.1813400.4897708.26-5896.5-13237.392.271.730.0322436.28
200trail21.71116783106475944.346110.177940.27-2888.05-3916.132.121.690.0491101.73
atrtrail24.3820109188394944.3212711.8639098.46-6013.7-13237.392.111.680.0412285.13
200trail32.19116554102376536.278005.1111910.41-2763.62-3916.132.91.650.0411142.68
200nil21.82108835102455744.126348.097940.27-3102.26-3990.782.051.620.0461067.01
atrtrail34.9917229888385043.1812292.7235893.82-5896.5-13237.392.081.580.0351957.93

In the table above, row 1 shows the best exit criterion. Profit factor is 3.28. Strategy is very good and impressively bullish. Percentage of profitable trades is 64.18%, which is good. Average return per trade is 2.9%, which is very good. Sharpe Ratio is 0.065, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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