Study: Sell TATAELXSI when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell TATAELXSI when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell TATAELXSI 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
1-11776.5346242252.173873.1618641.39-4760.57-12871.460.810.89-0.0088-256.01
210032446242252.178252.3535387.05-4442.4-12973.341.862.030.052180.95
310886146242252.179581.3535830.62-5504.13-23255.811.741.90.0462366.55
447255.3646252154.35962640390.88-9209.26-40930.231.051.240.0161027.29
513070746291763.0410378.941693.81-10016.51-30387.61.041.770.0442841.46
617412646271958.712680.6244625.41-8855.3-38040.891.432.030.0533785.35
719345846291763.0412785.9835830.62-10431.5-42480.621.232.090.0564205.61
898793.1646291763.0412265.8137137.84-15112.67-50879.70.811.380.0262147.68
911881546281860.8712859.5736962.25-13402.92-45839.280.961.490.0322582.94
1015921146301665.2213681.1734484.22-15701.53-47836.420.871.630.0413461.1
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
TATAELXSI Performance, X=7, Profit Factor:2.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019131 Oct 2019 (1.41%)
2018127 Sep 2018 (17.66%)
2017227 Feb 2017 (4.13%), 22 Mar 2017 (0.96%)
2016116 May 2016 (4.77%)
2014119 Dec 2014 (-2.56%)
2013123 Jan 2013 (-0.14%)
2012323 Feb 2012 (0.56%), 28 Apr 2012 (2.1%), 19 Nov 2012 (-0.49%)
2011311 Jan 2011 (1.71%), 15 Apr 2011 (0.26%), 07 Jul 2011 (5.21%)
2010427 Jul 2010 (2.24%), 05 Oct 2010 (-5.08%), 20 Oct 2010 (-0.87%), 19 Nov 2010 (3.67%)
2008104 Jan 2008 (13.2%)
2007330 Jul 2007 (-5.07%), 30 Aug 2007 (-7.3%), 20 Sep 2007 (-0.42%)
2006303 Mar 2006 (4.38%), 07 Apr 2006 (-1.17%), 24 May 2006 (3.2%)
2005127 Oct 2005 (-4.29%)
2004503 Feb 2004 (-6.54%), 26 Feb 2004 (2.61%), 16 Apr 2004 (3.16%), 03 May 2004 (-3.65%), 01 Jun 2004 (-6.09%)
2003128 Jul 2003 (-0.38%)
2002314 Jan 2002 (3.83%), 22 Oct 2002 (6.08%), 10 Dec 2002 (3.89%)
2001329 Jan 2001 (-14.6%), 28 May 2001 (8.26%), 18 Dec 2001 (17.92%)
2000112 Dec 2000 (12.42%)
1999109 Jun 1999 (14.03%)
1998212 Jun 1998 (13.27%), 13 Jul 1998 (-21.24%)
1997306 Jan 1997 (-8.79%), 15 May 1997 (8.26%), 13 Jun 1997 (7.27%)
1996210 Jan 1996 (11.4%), 26 Jun 1996 (7.56%)

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
atrnil310.8615097649173234.6928484.4750092.63-10414.36-23564.932.741.450.0323081.15
atrtrail24.7410012658253343.113881.8333395.09-7482.42-16693.021.861.410.0271726.31
atrnil26.3292468.7753213239.6219335.2833395.09-9799.13-23564.931.971.290.0231744.69
atrtrail35.3372289.9758253343.112768.3950092.63-7482.42-16693.021.711.290.0181246.38
atrtrail-15.7159842.5558253343.112270.558510.84-7482.42-16693.021.641.240.0161031.77
200trail-12.578714.9379215826.58834522967.05-2871.21-3936.612.911.050.0036110.32
200trail31.8-21941.6879215826.586885.1611938.39-2871.21-3936.612.40.87-0.012-277.74
200trail21.49-23920.881255630.865622.677958.93-2937.28-3936.611.910.85-0.015-295.32
200nil31.99-31539.4777166120.789350.3211938.39-2969.58-3936.613.150.83-0.016-409.6
200nil21.54-32731.278225628.216125.497958.93-2990.93-3936.612.050.8-0.02-419.63

In the table above, row 1 shows the best exit criterion. Profit factor is 1.45. 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 34.69%, which is not acceptable. Avoid this strategy. Average return per trade is 1.54%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAELXSI Performance, Profit Factor:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018127 Sep 2018 (12.46%)
2017127 Feb 2017 (-2.7%)
2016116 May 2016 (8.23%)
2014119 Dec 2014 (-4.15%)
2013223 Jan 2013 (-3.68%), 29 Jan 2013 (10.79%)
2012323 Feb 2012 (-4.36%), 19 Nov 2012 (-2.68%), 29 Nov 2012 (-2.58%)
2011311 Jan 2011 (-4.83%), 15 Apr 2011 (12.34%), 07 Jul 2011 (8.09%)
2010627 Jul 2010 (10.87%), 05 Oct 2010 (-3.67%), 20 Oct 2010 (-4.18%), 29 Oct 2010 (-4.33%), 19 Nov 2010 (-6.11%), 01 Dec 2010 (-6.49%)
2008104 Jan 2008 (15.73%)
2007330 Jul 2007 (-4.19%), 30 Aug 2007 (-4.22%), 20 Sep 2007 (-4.57%)
2006303 Mar 2006 (-3.39%), 07 Apr 2006 (-4.17%), 24 May 2006 (25.05%)
2005127 Oct 2005 (-4.18%)
2004503 Feb 2004 (-8.35%), 26 Feb 2004 (17.91%), 16 Apr 2004 (-4.45%), 03 May 2004 (-4.72%), 01 Jun 2004 (-7.09%)
2003128 Jul 2003 (-4.94%)
2002314 Jan 2002 (-7.28%), 22 Oct 2002 (11.49%), 10 Dec 2002 (11.85%)
2001429 Jan 2001 (-4.39%), 28 May 2001 (17.68%), 18 Dec 2001 (23.02%), 31 Dec 2001 (-8.31%)
2000112 Dec 2000 (11.64%)
1999109 Jun 1999 (-7.26%)
1998212 Jun 1998 (-11.78%), 13 Jul 1998 (-8.19%)
1997406 Jan 1997 (-4.74%), 17 Jan 1997 (17.16%), 15 May 1997 (-4.39%), 13 Jun 1997 (12.97%)
1996210 Jan 1996 (14.84%), 26 Jun 1996 (-6.27%)



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