Study: Buy TATAELXSI when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy TATAELXSI when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
116099.0565362955.383917.9511316.23-4308.52-13220.570.911.130.0094247.68
262130.2365382758.465759.2225120.77-5804.45-26020.090.991.40.025955.85
376523.33653926606247.9423768.12-6428.7-25935.020.971.460.0271177.28
412411065432266.157563.0127624.31-9140.88-35044.340.831.620.0361909.38
593268.1465362955.388692.0425701.08-7573.98-34697.221.151.420.0261434.89
686454.6465343152.318829.4729953.78-6895.07-36661.211.281.40.0231330.07
715103265382758.4610007.536512.93-8490.85-46808.511.181.660.0352323.57
821447665372856.9212113.2363228.05-8346.9-44844.521.451.920.0453299.63
922826865372856.9212714.0655520.14-8648.28-47463.181.471.940.0483511.82
1029748265372856.9214545.5175340.48-8596.49-45826.511.692.240.0554576.65
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=10, Profit Factor:2.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018302 Feb 2018 (-0.65%), 05 Apr 2018 (8.63%), 29 Aug 2018 (-4.44%)
2017429 Mar 2017 (3.42%), 28 Apr 2017 (3.1%), 22 May 2017 (-2.35%), 14 Aug 2017 (0.63%)
2016512 Jan 2016 (-3.18%), 09 Mar 2016 (-1.36%), 12 Apr 2016 (-1.75%), 29 Apr 2016 (-0.27%), 13 May 2016 (-3.0%)
2015305 May 2015 (0.39%), 02 Jun 2015 (-7.51%), 24 Nov 2015 (-0.97%)
2014925 Apr 2014 (-7.9%), 03 Jun 2014 (2.69%), 19 Jun 2014 (12.42%), 01 Aug 2014 (2.41%), 22 Aug 2014 (4.66%), 15 Sep 2014 (2.83%), 27 Oct 2014 (1.28%), 12 Nov 2014 (-2.71%), 27 Nov 2014 (-3.4%)
2012507 Aug 2012 (-0.63%), 10 Sep 2012 (0.89%), 26 Sep 2012 (1.24%), 19 Oct 2012 (-2.29%), 10 Dec 2012 (1.0%)
2010318 Feb 2010 (3.4%), 30 Jun 2010 (0.81%), 20 Dec 2010 (9.89%)
2009306 Jul 2009 (7.25%), 21 Jul 2009 (9.49%), 23 Nov 2009 (37.67%)
2007623 Feb 2007 (-0.45%), 12 Mar 2007 (1.85%), 04 Apr 2007 (15.2%), 21 Jun 2007 (0.87%), 05 Jul 2007 (-1.16%), 04 Sep 2007 (-3.91%)
2006417 Jan 2006 (-8.17%), 13 Feb 2006 (-7.62%), 19 Oct 2006 (7.04%), 11 Dec 2006 (14.51%)
2005725 Feb 2005 (12.08%), 15 Apr 2005 (-3.35%), 10 May 2005 (-2.5%), 25 May 2005 (6.3%), 28 Jun 2005 (7.56%), 18 Nov 2005 (-1.73%), 01 Dec 2005 (5.68%)
2004325 Oct 2004 (8.15%), 17 Nov 2004 (-2.45%), 29 Dec 2004 (-7.52%)
2003318 Aug 2003 (11.84%), 21 Oct 2003 (5.28%), 17 Nov 2003 (11.84%)
2002207 Jun 2002 (5.99%), 21 Jun 2002 (22.56%)
1999103 Nov 1999 (-7.99%)
1998311 Feb 1998 (10.78%), 05 Mar 1998 (7.45%), 20 Oct 1998 (-8.17%)
1997103 Nov 1997 (-22.91%)

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
atrtrail-15.9223443780334741.2516233.81210948-6410.2-12729.512.531.780.0232930.46
50nil32.2811371999346534.349096.8511899.67-3008.83-3959.893.021.580.041148.68
50trail-12.9791354.92105317429.529349.1633138.03-2682.01-3959.893.491.460.025870.05
50trail31.9489446.33106337331.138664.1711820.68-2691.39-3959.893.221.460.031843.83
50nil21.5881558.64107456242.066001.47933.11-3040.4-3959.891.971.430.034762.23
atrnil310.914437558193932.7626108.3843131.65-9017.55-19185.112.91.410.032489.22
atrnil27.5711947667283941.7916689.2128754.43-8918.52-19185.111.871.340.0271783.22
atrtrail35.2410029680334741.2512168.9630413.2-6410.2-12729.511.91.330.0231253.71
atrtrail24.6299420.680334741.2512142.4228754.43-6410.2-12729.511.891.330.0241242.76
50trail21.4856306.09110426838.185913.877880.45-2824.65-3959.892.091.290.024511.87

In the table above, row 1 shows the best exit criterion. Profit factor is 1.78. 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 41.25%, which is not acceptable. Avoid this strategy. Average return per trade is 1.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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:1.78

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018502 Feb 2018 (-2.61%), 08 Feb 2018 (-1.42%), 05 Apr 2018 (16.81%), 29 Aug 2018 (1.11%), 04 Sep 2018 (-2.56%)
2017529 Mar 2017 (2.32%), 28 Apr 2017 (1.17%), 22 May 2017 (-2.3%), 14 Aug 2017 (-0.11%), 28 Aug 2017 (105.47%)
2016512 Jan 2016 (-3.79%), 09 Mar 2016 (-4.59%), 12 Apr 2016 (2.14%), 28 Apr 2016 (-3.37%), 12 May 2016 (-1.71%)
2015305 May 2015 (-6.36%), 02 Jun 2015 (-4.48%), 24 Nov 2015 (5.32%)
20141025 Apr 2014 (-1.26%), 03 Jun 2014 (-0.09%), 16 Jun 2014 (12.56%), 01 Aug 2014 (0.49%), 11 Aug 2014 (-3.86%), 22 Aug 2014 (1.52%), 15 Sep 2014 (-2.89%), 18 Sep 2014 (6.1%), 27 Oct 2014 (-0.99%), 27 Nov 2014 (-0.86%)
2012507 Aug 2012 (-2.93%), 10 Sep 2012 (0.07%), 20 Sep 2012 (0.25%), 19 Oct 2012 (-3.05%), 10 Dec 2012 (0.56%)
2010418 Feb 2010 (-5.27%), 26 Feb 2010 (4.57%), 30 Jun 2010 (2.39%), 20 Dec 2010 (5.21%)
2009306 Jul 2009 (-6.15%), 21 Jul 2009 (6.08%), 23 Nov 2009 (-4.19%)
2007923 Feb 2007 (-1.83%), 12 Mar 2007 (-5.68%), 22 Mar 2007 (-1.79%), 04 Apr 2007 (12.76%), 21 Jun 2007 (1.45%), 05 Jul 2007 (0.15%), 13 Jul 2007 (-3.55%), 04 Sep 2007 (-3.27%), 14 Sep 2007 (-4.68%)
2006417 Jan 2006 (-2.26%), 13 Feb 2006 (-3.63%), 19 Oct 2006 (3.83%), 11 Dec 2006 (-4.57%)
2005906 Jan 2005 (-2.12%), 25 Feb 2005 (10.19%), 15 Apr 2005 (-4.66%), 25 Apr 2005 (-3.05%), 10 May 2005 (-2.86%), 25 May 2005 (5.77%), 28 Jun 2005 (-1.77%), 18 Nov 2005 (-3.39%), 01 Dec 2005 (6.11%)
2004325 Oct 2004 (6.9%), 17 Nov 2004 (-1.51%), 29 Dec 2004 (6.86%)
2003618 Aug 2003 (-2.02%), 26 Aug 2003 (9.46%), 21 Oct 2003 (-4.15%), 24 Oct 2003 (-3.92%), 17 Nov 2003 (-3.65%), 25 Nov 2003 (15.39%)
2002207 Jun 2002 (5.28%), 19 Jun 2002 (1.3%)
1999103 Nov 1999 (4.34%)
1998511 Feb 1998 (-4.94%), 05 Mar 1998 (-1.79%), 16 Mar 1998 (-5.83%), 20 Oct 1998 (3.92%), 29 Oct 1998 (-6.0%)
1997103 Nov 1997 (-2.86%)



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