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

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In this study, we evaluate the performance of strategy "Sell TATAELXSI when below 200 SMA and near 50 SMA and below 50 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
120271.426151157.693222.148219.18-2550.98-7964.61.261.720.043779.67
25276.3126121446.155031.1929449.98-3935.57-150001.281.10.0056202.93
3-778.0526111542.314716.7818103.07-3510.84-8495.581.340.99-0.0011-29.93
416809.29261313506415.6226245.13-5122.6-12035.41.251.250.017646.51
538267.1926151157.697315.6918995.43-6497.11-14315.141.131.540.0331471.82
619615.6826141253.859811.4625119.1-9812.07-32234.8111.170.012754.45
738694.5426161061.549893.9949414.98-11960.92-38516.990.831.320.0191488.25
838923.1226141253.8510559.8844110.76-9076.27-34603.51.161.360.0211497.04
939669.5226151157.6910877.1538845.55-11226.16-35530.380.971.320.0211525.75
1058386.2126161061.5411479.6138689.55-12528.76-37240.30.921.470.0292245.62

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.72. 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 57.69%, which is not acceptable. Avoid this strategy. Average return per trade is 0.39%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, which is low, don't trade solely on the basis of this study.

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-1120271.426151157.693222.148219.18-2550.98-7964.61.261.720.043779.67
atrtrail-15.9762928.0535132237.1414649.3735030.49-5796.08-15344.882.531.490.031797.94
atrtrail35.4344188.8735132237.1413207.937219.34-5796.08-15344.882.281.350.0231262.54
50trail32.1519682.6446123426.098987.0711873.54-2593.01-3996.463.471.220.016427.88
50nil32.2618220.2146123426.099727.8811973.86-2897.48-3996.463.361.180.014396.09
atrnil39.5632476.273292328.1224325.8537219.34-8106.8-15344.8831.170.0141014.88
atrtrail24.7420253.0635132237.1411366.6824812.89-5796.08-15344.881.961.160.012578.66
50trail-13.073487.7645103522.228900.2926555.56-2443.29-3996.463.641.040.002677.51
50trail21.8-3579.5246133328.266473.127982.58-2658.49-3996.462.430.96-0.0038-77.82
atrnil26.94-1958332102231.2515990.0624812.89-8158.35-15344.881.960.89-0.011-611.97
50nil21.8-11199.9646133328.266473.127982.58-2889.41-3996.462.240.88-0.012-243.48

In the table above, row 1 shows the best exit criterion. Profit factor is 1.72. 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 57.69%, which is not acceptable. Avoid this strategy. Average return per trade is 0.39%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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, X=1, Profit Factor:1.72

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019304 Jan 2019 (2.54%), 24 Apr 2019 (0.26%), 09 Oct 2019 (2.96%)
2018119 Dec 2018 (-0.5%)
2017315 Feb 2017 (-2.27%), 08 Mar 2017 (-0.13%), 30 Mar 2017 (0.66%)
2013209 May 2013 (0.97%), 29 Jul 2013 (0.75%)
2012206 Mar 2012 (1.24%), 08 May 2012 (0.74%)
2011311 May 2011 (0.82%), 12 Jul 2011 (-0.74%), 14 Oct 2011 (-0.74%)
2008111 Jan 2008 (-1.77%)
2007128 Sep 2007 (0.41%)
2003106 Jan 2003 (1.48%)
2002111 Jan 2002 (-3.98%)
2001109 Jan 2001 (-0.15%)
2000320 Jul 2000 (4.03%), 15 Sep 2000 (4.11%), 30 Nov 2000 (-0.62%)
1997226 May 1997 (1.55%), 11 Jun 1997 (-2.19%)
1996226 Apr 1996 (1.64%), 10 Jul 1996 (-0.93%)



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