Study: Sell ZEEL when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell ZEEL when below 200 SMA and RSI is overbought" 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
17894.7473442.866234.738294.13-2702.36-5363.322.311.730.0471127.82
2-23007.6573442.867913.8311289.92-11687.29-18649.520.680.51-0.063-3286.81
3-27310.1473442.8613642.4720945.78-17059.39-29584.780.80.6-0.043-3901.45
44673.9474357.1416842.5728249.57-20898.78-44377.160.811.070.006667.71
535416.5475271.4314691.9830898.74-19021.68-21885.810.771.930.0575059.51
668369.3976185.7115157.8736122.8-22577.85-22577.850.674.030.129767.06
751568.8675271.4317909.4345283.49-18989.14-34602.080.942.360.0677366.98
847367.8475271.4318251.6237633.08-21945.13-36505.190.832.080.0636766.83
938461.9176185.7115421.2835875.22-54065.74-54065.740.291.710.0435494.56
1064618.9376185.7118742.7237534.04-47837.37-47837.370.392.350.0759231.28
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
ZEEL Performance, X=6, Profit Factor:4.03

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019126 Jul 2019 (18.06%)
2009109 Apr 2009 (2.97%)
2003105 May 2003 (9.74%)
2001121 Nov 2001 (-11.29%)
1997103 Mar 1997 (1.76%)
1996212 Feb 1996 (8.45%), 05 Sep 1996 (4.48%)

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
atrnil24.2236767.894544.4420607.8724793.22-9132.73-12632.662.261.810.0554085.31
atrnil36.6736947.3593633.3330956.6937189.83-9320.45-12632.663.321.660.0434105.26
atrtrail-14.224878.4610464017101.4836158.26-7254.58-12632.662.361.570.0352487.85
atrtrail22.919686.4910464015803.4921969.16-7254.58-12632.662.181.450.0321968.65
atrtrail33.813151.210464014169.6724431-7254.58-12632.661.951.30.0231315.12

In the table above, row 1 shows the best exit criterion. Profit factor is 1.81. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 44.44%, which is not acceptable. Avoid this strategy. Average return per trade is 2.04%, which is very good. Sharpe Ratio is 0.055, 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:1.81

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019126 Jul 2019 (8.14%)
2009209 Apr 2009 (-6.32%), 15 Apr 2009 (12.4%)
2003105 May 2003 (10.26%)
2001121 Nov 2001 (-5.53%)
1997203 Mar 1997 (-3.38%), 05 Mar 1997 (-3.19%)
1996212 Feb 1996 (10.42%), 05 Sep 1996 (-4.42%)



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