Study: Buy ZEEL when RSI is above 50 and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy ZEEL when RSI is above 50 and there is Golden Cross (50 DMA > 200 DMA)" 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
124342.12127558.335550.1123032.63-2901.73-10660.621.912.680.0552028.51
23765.991266505690.6717658.35-5063-13689.481.121.120.0085313.83
324602.09128466.676211.5722552.78-6272.62-17863.110.991.980.0452050.17
45010.49127558.335107.1113910.72-6147.85-13967.720.831.160.012417.54
51417.64127558.336464.7112673.47-8767.06-19031.720.741.030.0027118.14
6456.151266508489.616452.1-8413.57-19029.621.011.010.0007538.01
729620.72127558.339319.8529326.2-7123.65-14492.751.311.830.0452468.39
867070.87128466.6711922.4228886.76-7077.12-13633.831.683.370.0955589.24
995963.6512937514029.0625143.95-10099.29-15633.031.394.170.137996.97
1098846.8812937513505.1436255.32-7566.46-18495.411.785.350.138237.24
Although, strategy looks good but profit factor on day 6 is less than minimum accepted value so avoid this, see below for further analysis.
ZEEL Performance, X=10, Profit Factor:5.35

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017101 Mar 2017 (3.76%)
2016116 May 2016 (-0.72%)
2015129 Jul 2015 (0.27%)
2012103 Mar 2012 (-9.25%)
2009115 Jun 2009 (2.17%)
2007104 Jul 2007 (9.23%)
2006128 Feb 2006 (7.7%)
2005113 Jul 2005 (4.28%)
2004103 Sep 2004 (-1.39%)
2003111 Jul 2003 (11.13%)
1998104 Mar 1998 (18.13%)
1997103 Jun 1997 (4.09%)

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
atrnil36.2755569.681551033.3327233.0932550.28-8059.58-14948.793.381.690.0443704.65
atrtrail3428872.915694014652.9632196.61-6560.54-14278.52.231.490.031924.86
atrtrail-14.5720619.26146842.8611846.3827687.29-6307.37-14278.51.881.410.0261472.8
atrnil25.2522976.261661037.517357.2521700.19-8116.73-14948.792.141.280.0231436.02
atrtrail23.512310.37167943.7510705.4421464.41-6958.63-14278.51.541.20.015769.4

In the table above, row 1 shows the best exit criterion. Profit factor is 1.69. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 1.85%, 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:1.69

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017101 Mar 2017 (-2.49%)
2016116 May 2016 (-2.76%)
2015129 Jul 2015 (-2.87%)
2012103 Mar 2012 (-3.99%)
2009115 Jun 2009 (-7.47%)
2007104 Jul 2007 (11.18%)
2006228 Feb 2006 (-3.9%), 01 Mar 2006 (12.29%)
2005213 Jul 2005 (-4.93%), 14 Jul 2005 (16.28%)
2004103 Sep 2004 (-3.34%)
2003211 Jul 2003 (12.24%), 14 Jul 2003 (-4.29%)
1998104 Mar 1998 (16.1%)
1997103 Jun 1997 (-4.26%)



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