Study: Buy ZEEL when above 200 SMA

home > technical-strategy > zeel > 58

In this study, we evaluate the performance of strategy "Buy ZEEL when 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
186278.9246301665.225306.9617589.35-4558.11-12787.061.162.180.0611875.63
212356946321469.576594.2822985.28-6246.31-23213.191.062.410.0682686.28
310057046262056.529198.9924667.13-6930.17-27489.311.331.730.0422186.31
413621646291763.0410053.2237838.16-9136.89-23213.191.11.880.0522961.22
553440.3546271958.79403.1148789.13-10549.66-30707.070.891.270.0171161.75
693000.9946281860.8711493.9842787.95-12712.8-42168.290.91.410.0262021.76
711881746291763.0412566.3646385.33-14447.48-53253.40.871.480.0282582.99
811139946281860.8713063.3747226.66-14131.96-57749.470.921.440.0252421.72
915585846291763.0413585.4655552.17-14007.05-44878.660.971.650.0363388.23
1020666946331371.7411700.4368682.81-13803.49-31326.820.852.150.0534492.8

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.41. 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 69.57%, which is good. Average return per trade is 1.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.068, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
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=2, Profit Factor:2.41

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018206 Feb 2018 (2.28%), 01 Mar 2018 (0.74%)
2017205 May 2017 (-1.97%), 11 Oct 2017 (-0.86%)
2016315 Jan 2016 (-2.01%), 17 Oct 2016 (1.13%), 11 Nov 2016 (-1.42%)
2015514 Jan 2015 (7.2%), 09 Feb 2015 (-1.79%), 09 Mar 2015 (3.56%), 21 Aug 2015 (-4.63%), 13 Nov 2015 (0.68%)
2014427 Jan 2014 (-2.43%), 15 Apr 2014 (-1.48%), 06 Aug 2014 (-2.37%), 09 Dec 2014 (1.05%)
2013521 Feb 2013 (1.51%), 13 Mar 2013 (4.6%), 31 May 2013 (5.66%), 22 Aug 2013 (1.14%), 21 Nov 2013 (1.42%)
2012129 Oct 2012 (5.37%)
2010307 May 2010 (0.02%), 01 Jun 2010 (5.93%), 25 Aug 2010 (2.7%)
2006313 Jun 2006 (5.84%), 11 Oct 2006 (3.71%), 11 Dec 2006 (4.18%)
2005212 Jan 2005 (1.04%), 19 Oct 2005 (-11.61%)
2004322 Jan 2004 (11.49%), 23 Feb 2004 (-1.62%), 01 Nov 2004 (5.9%)
2003225 Aug 2003 (0.33%), 15 Nov 2003 (3.67%)
2002110 May 2002 (0.66%)
1999419 Jan 1999 (7.46%), 15 Apr 1999 (1.95%), 15 Jun 1999 (3.6%), 01 Nov 1999 (-0.53%)
1998311 Jun 1998 (-5.58%), 26 Nov 1998 (-5.42%), 09 Dec 1998 (0.55%)
1997330 Jun 1997 (7.2%), 26 Aug 1997 (2.01%), 25 Sep 1997 (0.92%)

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-1212356946321469.576594.2822985.28-6246.31-23213.191.062.410.0682686.28
atrnil26.8729589962303248.3919254.0152869.85-8803.8-21351.62.192.050.0624772.56
atrnil39.8333535760233738.3329021.5879304.77-8976.74-21351.63.232.010.0545589.28
atrtrail23.9994305.9772304241.6711614.4753585.03-6050.67-24093.831.921.370.0231309.81
atrtrail-14.7956339.7672304241.6710348.9397984.3-6050.67-24093.831.711.220.011782.5
atrtrail34.5750081.3772304241.6710140.3280377.55-6050.67-24093.831.681.20.011695.57

In the table above, row 1 shows the best exit criterion. Profit factor is 2.41. 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 69.57%, which is good. Average return per trade is 1.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.068, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play