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

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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 and RSI is above 50" 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
1-14645.8938182047.373769.6111316.23-4124.94-13220.570.910.82-0.015-385.42
231660.6738211755.265101.4311394.71-4439.37-18084.661.151.420.027833.18
344244.3838241463.164626.5717754.08-4770.95-12782.970.971.660.0371164.33
411083738251365.797660.1922237.62-6205.21-18839.31.232.370.0652916.76
511986238251365.798181.8122606.55-6514.13-16070.121.262.420.0713154.25
613197238231560.539034.5727302.94-5054.87-17384.951.792.740.0743472.95
719814938241463.1611788.1536512.93-6054.74-19794.681.953.340.0885214.45
823880338241463.1614003.5863228.05-6948.77-18328.12.023.450.0876284.29
922489038241463.1613384.8555520.14-6881.92-18261.51.943.330.0835918.15
1025074038231560.5315746.0475340.48-7427.93-15242.272.123.250.0776598.42
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=8, Profit Factor:3.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018205 Apr 2018 (5.0%), 04 Sep 2018 (-3.47%)
2017229 Mar 2017 (5.8%), 28 Aug 2017 (7.26%)
2016309 Mar 2016 (-0.54%), 12 Apr 2016 (5.03%), 12 May 2016 (-6.6%)
2015305 May 2015 (-3.72%), 02 Jun 2015 (-9.16%), 24 Nov 2015 (6.1%)
2014603 Jun 2014 (-4.13%), 19 Jun 2014 (14.59%), 22 Aug 2014 (4.15%), 15 Sep 2014 (-0.19%), 28 Oct 2014 (0.87%), 27 Nov 2014 (-3.41%)
2012409 Aug 2012 (-0.99%), 10 Sep 2012 (1.57%), 26 Sep 2012 (1.64%), 10 Dec 2012 (2.59%)
2010326 Feb 2010 (7.19%), 30 Jun 2010 (1.9%), 20 Dec 2010 (9.2%)
2009221 Jul 2009 (3.19%), 23 Nov 2009 (31.61%)
2007312 Mar 2007 (0.74%), 04 Apr 2007 (13.91%), 04 Sep 2007 (-0.96%)
2006113 Feb 2006 (-8.67%)
2005410 May 2005 (-3.11%), 25 May 2005 (9.26%), 18 Nov 2005 (-1.0%), 01 Dec 2005 (6.42%)
2004219 Nov 2004 (-2.7%), 29 Dec 2004 (2.74%)
2003122 Aug 2003 (7.97%)
2002121 Jun 2002 (12.58%)
1998105 Mar 1998 (6.73%)

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-16.6325622343192444.1921354.9210948-6230.01-12729.513.432.710.0365958.68
50nil32.4710749157223538.69676.2211899.67-3011.04-3877.73.212.020.0611885.8
50trail32.0293938.3961214034.439480.3811820.68-2628.74-3877.73.611.890.0531539.97
atrnil310.1715775536142238.8924647.3638224.31-8514.02-12768.332.891.840.0534382.07
atrnil27.8113071437181948.6516312.1925482.87-8573.95-12768.331.91.80.0553532.82
50nil21.7877381.5360283246.676287.147933.11-3083.07-3877.72.041.780.0551289.69
50trail-13.3274003.96018423010144.7926335.14-2585.77-3877.73.921.680.0361233.4
atrtrail24.9898568.6743192444.1913057.323885.51-6230.01-12729.512.11.660.0442292.29
atrtrail35.8192484.4443192444.1912737.0830413.2-6230.01-12729.512.041.620.0382150.8
50trail21.6257875.1263263741.276201.097880.45-2793.33-3877.72.221.560.041918.65

In the table above, row 1 shows the best exit criterion. Profit factor is 2.71. 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 44.19%, which is not acceptable. Avoid this strategy. Average return per trade is 2.98%, which is very good. Sharpe Ratio is 0.036, 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:2.71

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018205 Apr 2018 (16.81%), 04 Sep 2018 (-2.56%)
2017229 Mar 2017 (2.32%), 28 Aug 2017 (105.47%)
2016309 Mar 2016 (-4.59%), 12 Apr 2016 (2.14%), 12 May 2016 (-1.71%)
2015305 May 2015 (-6.36%), 02 Jun 2015 (-4.48%), 24 Nov 2015 (5.32%)
2014703 Jun 2014 (-0.09%), 16 Jun 2014 (12.56%), 22 Aug 2014 (1.52%), 15 Sep 2014 (-2.89%), 18 Sep 2014 (6.1%), 28 Oct 2014 (-1.72%), 27 Nov 2014 (-0.86%)
2012409 Aug 2012 (-3.57%), 10 Sep 2012 (0.07%), 20 Sep 2012 (0.25%), 10 Dec 2012 (0.56%)
2010326 Feb 2010 (4.57%), 30 Jun 2010 (2.39%), 20 Dec 2010 (5.21%)
2009221 Jul 2009 (6.08%), 23 Nov 2009 (-4.19%)
2007512 Mar 2007 (-5.68%), 22 Mar 2007 (-1.79%), 04 Apr 2007 (12.76%), 04 Sep 2007 (-3.27%), 14 Sep 2007 (-4.68%)
2006113 Feb 2006 (-3.63%)
2005506 Jan 2005 (-2.12%), 10 May 2005 (-2.86%), 25 May 2005 (5.77%), 18 Nov 2005 (-3.39%), 01 Dec 2005 (6.11%)
2004219 Nov 2004 (-1.76%), 29 Dec 2004 (6.86%)
2003122 Aug 2003 (-4.74%)
2002121 Jun 2002 (-0.17%)
1998205 Mar 1998 (-1.79%), 16 Mar 1998 (-5.83%)



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