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

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In this study, we evaluate the performance of strategy "Buy ZEEL when near 200 SMA and above 200 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
139706.5931171454.844683.1213606.99-2850.46-7416.271.641.990.0511280.86
248897.9531171454.846639.923588.88-4570.03-10942.71.451.760.041577.35
374616.5431181358.068540.9837994.95-6086.24-17892.791.41.940.0452406.99
427993.4131191261.296924.6334098.64-8631.21-22402.960.81.270.018903.01
514565.1231161551.618464.0540816.33-8057.31-22402.961.051.120.0082469.84
678246.4431161551.6112533.4463520.41-8152.58-21219.961.541.640.0332524.08
799278.1331181358.0612070.989880.95-9076.77-22682.511.331.840.0343202.52
817287331191261.2914846.21110714-9100.42-21867.571.632.580.0495576.54
915686031201164.5213161.86107653-9670.65-22750.421.362.470.0475060
1013957831181358.0614786.1295663.27-9736.34-40203.741.522.10.0424502.5
Although, strategy looks good but profit factor on day 5 is less than minimum accepted value so avoid this, see below for further analysis.
ZEEL Performance, X=8, Profit Factor:2.58

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Mar 2019 (-7.52%)
2018112 Jun 2018 (0.1%)
2017205 Jan 2017 (2.01%), 07 Jul 2017 (7.5%)
2016308 Mar 2016 (-0.01%), 04 Apr 2016 (3.29%), 21 Apr 2016 (5.12%)
2015122 Jun 2015 (6.88%)
2013101 Oct 2013 (4.72%)
2012125 Jan 2012 (3.48%)
2011324 May 2011 (3.16%), 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%)
2007225 Apr 2007 (-0.42%), 20 Jun 2007 (-0.56%)
2006118 Jan 2006 (3.03%)
2005306 May 2005 (1.2%), 22 Jun 2005 (6.86%), 05 Dec 2005 (3.44%)
2004117 Jun 2004 (-7.21%)
2003118 Jun 2003 (1.67%)
2001122 Nov 2001 (23.72%)
1998230 Jan 1998 (-5.13%), 13 Feb 1998 (55.36%)
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
200trail-13.110437548173135.4211374.8697000-2870.91-3916.133.962.170.032174.47
atrnil39.4711926532122037.522892.6133513.72-7772.33-11197.32.951.770.0493727.02
atrnil26.8510354233161748.4814946.4922342.48-7976.56-11197.31.871.760.0543137.65
atrtrail-15.2411626841152636.5917905.9497708.26-5858.49-10384.193.061.760.032835.81
200nil32.3868571.6548173135.429652.1911910.41-3081.15-3916.133.131.720.0471428.58
200trail21.551711.64502228446178.367940.27-3007.58-3916.132.051.610.0451034.23
200nil21.5447891.07502228446178.367940.27-3144.03-3916.131.971.540.041957.82
200trail3225146.8748173135.426714.4111910.41-2870.91-3916.132.341.280.021523.89
atrtrail34.7336182.8141152636.5912566.9133513.72-5858.49-10384.192.151.240.016882.51
atrtrail24.1729433.2941162539.021135022342.48-6086.67-10384.191.861.190.015717.89

In the table above, row 1 shows the best exit criterion. Profit factor is 2.17. 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 35.42%, which is not acceptable. Avoid this strategy. Average return per trade is 1.09%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.03, 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:2.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Mar 2019 (-1.87%)
2018212 Jun 2018 (-1.7%), 21 Jun 2018 (-1.13%)
2017305 Jan 2017 (-1.82%), 07 Jul 2017 (-1.9%), 10 Jul 2017 (6.92%)
2016408 Mar 2016 (0.85%), 04 Apr 2016 (-1.35%), 11 Apr 2016 (0.48%), 21 Apr 2016 (0.72%)
2015222 Jun 2015 (-1.86%), 23 Jun 2015 (1.42%)
2013101 Oct 2013 (5.96%)
2012125 Jan 2012 (3.44%)
2011424 May 2011 (-1.33%), 30 May 2011 (3.11%), 26 Jul 2011 (-0.85%), 04 Nov 2011 (-1.74%)
2010602 Nov 2010 (1.18%), 22 Nov 2010 (-1.64%), 23 Nov 2010 (-1.15%), 01 Dec 2010 (0.19%), 16 Dec 2010 (-1.1%), 31 Dec 2010 (-1.96%)
2007625 Apr 2007 (-1.14%), 27 Apr 2007 (-1.18%), 04 May 2007 (-1.46%), 20 Jun 2007 (-0.81%), 26 Jun 2007 (-1.92%), 03 Jul 2007 (-0.7%)
2006218 Jan 2006 (-1.85%), 24 Jan 2006 (-1.57%)
2005506 May 2005 (-1.43%), 17 May 2005 (-1.75%), 22 Jun 2005 (-1.33%), 28 Jun 2005 (0.77%), 05 Dec 2005 (1.25%)
2004117 Jun 2004 (-1.17%)
2003318 Jun 2003 (-1.3%), 23 Jun 2003 (-1.37%), 25 Jun 2003 (7.7%)
2001122 Nov 2001 (11.05%)
1998230 Jan 1998 (-0.58%), 13 Feb 1998 (48.5%)
1996412 Jun 1996 (-1.89%), 14 Jun 1996 (-1.68%), 27 Sep 1996 (1.23%), 11 Oct 1996 (1.93%)



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