Study: Sell TATAELXSI when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell TATAELXSI when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50" 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
1-12310.661910952.633478.3318641.39-5232.66-12871.460.660.74-0.02-647.93
232209.071911857.896891.8935387.05-5450.21-12973.341.261.740.0351695.21
311046.751971236.8410125.3520129.87-4985.89-14739.342.031.180.013581.41
4852.741991047.378605.225974.03-7659.41-16521.051.121.010.0008544.88
535804.091912763.167910.5218311.69-8446.02-15122.230.941.610.041884.43
673079.911910952.6313822.2828735.44-7238.09-16714.041.912.120.0613846.31
787723.031910952.6315480.6535326.13-7453.72-14603.52.082.310.0654617
8-1794.11991047.3712700.1727102.64-11609.56-26511.091.090.98-0.0014-94.43
9-23168.11991047.3713171.1834135.56-14170.87-36611.710.930.84-0.015-1219.37
10-28462.281991047.3713461.6934484.22-14961.75-32859.580.90.81-0.018-1498.01
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:2.31

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018127 Sep 2018 (17.66%)
2017130 Mar 2017 (-6.74%)
2014119 Dec 2014 (-2.56%)
2013123 Jan 2013 (-0.14%)
2012119 Nov 2012 (-0.49%)
2011111 Jan 2011 (1.71%)
2010227 Jul 2010 (2.24%), 01 Dec 2010 (5.21%)
2007330 Jul 2007 (-5.07%), 30 Aug 2007 (-7.3%), 20 Sep 2007 (-0.42%)
2006124 May 2006 (3.2%)
2005127 Oct 2005 (-4.29%)
2004203 Feb 2004 (-6.54%), 26 Feb 2004 (2.61%)
2002122 Oct 2002 (6.08%)
1999109 Jun 1999 (14.03%)
1998112 Jun 1998 (13.27%)
1996110 Jan 1996 (11.4%)

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
atrtrail25.3276635.522291340.9118631.0333395.09-7003.37-16693.022.661.840.0493483.43
atrtrail35.9563048.852291340.9117121.450092.63-7003.37-16693.022.441.690.0382865.86
atrnil27.178022.942191242.8621430.2933395.09-9570.8-23564.932.241.680.0463715.38
atrnil39.2964451.742171433.3329543.3250092.63-10167.96-23564.932.911.450.0313069.13
atrtrail-16.1435114.282291340.9114017.5631090.77-7003.37-16693.0221.390.0271596.1
200trail-12.8214133.023392427.279214.1421892.47-2866.43-3936.613.211.210.013428.27
200trail31.97-5897.723392427.276988.5111938.39-2866.43-3936.612.440.91-0.0072-178.72
200trail21.62-11668.4934102429.415740.77958.93-2878.15-3936.611.990.83-0.017-343.19
200nil32.09-18378.343262618.759998.8211938.39-3014.28-3936.613.320.77-0.023-574.32
200nil21.81-18792.9132824256631.347958.93-2993.48-3936.612.220.74-0.028-587.28

In the table above, row 1 shows the best exit criterion. Profit factor is 1.84. 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 40.91%, which is not acceptable. Avoid this strategy. Average return per trade is 1.74%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.049, 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.
TATAELXSI Performance, Profit Factor:1.84

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018127 Sep 2018 (-2.58%)
2017130 Mar 2017 (-1.57%)
2014119 Dec 2014 (-4.15%)
2013223 Jan 2013 (-3.55%), 29 Jan 2013 (3.79%)
2012219 Nov 2012 (-1.82%), 29 Nov 2012 (-2.58%)
2011111 Jan 2011 (-4.83%)
2010227 Jul 2010 (0.08%), 01 Dec 2010 (12.98%)
2007430 Jul 2007 (-4.19%), 30 Aug 2007 (-4.22%), 20 Sep 2007 (-2.25%), 28 Sep 2007 (-3.55%)
2006124 May 2006 (16.7%)
2005127 Oct 2005 (-1.89%)
2004203 Feb 2004 (-8.35%), 26 Feb 2004 (11.94%)
2002122 Oct 2002 (7.66%)
1999109 Jun 1999 (14.52%)
1998112 Jun 1998 (6.28%)
1996110 Jan 1996 (9.89%)



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