Study: Sell TATAELXSI when there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell TATAELXSI when there is Dead Cross (50 DMA < 200 DMA)" 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
127508.131596604479.710916.18-2134.86-5839.422.13.150.0911833.88
2-2893.47157846.676886.0512721.28-6386.98-18098.631.080.94-0.0046-192.9
3-14979.641596605521.7911989.19-10779.3-20145.990.510.77-0.022-998.64
4-12972.231569408756.2511885.5-7278.86-16166.751.20.8-0.02-864.82
5-13095.7157846.678494.2419693.65-9069.42-15696.60.940.82-0.017-873.05
611980.4315694012739.617828.25-7161.91-14890.511.781.190.015798.7
722594.63157846.6710980.1522352.18-6783.3-18912.051.621.420.0281506.31
8-33811.5115694013125.6220568.93-12507.25-40874.431.050.7-0.029-2254.1
9-2191.07157846.6714692.4424945.3-13129.77-34773.771.120.98-0.0018-146.07
10-15285.76157846.6715070.5623123.29-15097.46-39349.2610.87-0.012-1019.05

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.15. Strategy is very good and impressively bearish. Percentage of profitable trades is 60%, which is not acceptable. Avoid this strategy. Average return per trade is 0.92%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.091, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
TATAELXSI Performance, X=1, Profit Factor:3.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018107 Nov 2018 (2.67%)
2016110 May 2016 (0.55%)
2013101 Mar 2013 (-0.05%)
2012125 Apr 2012 (-0.5%)
2011101 Mar 2011 (-0.99%)
2010127 Aug 2010 (3.17%)
2007103 Oct 2007 (1.48%)
2006210 Mar 2006 (-0.98%), 03 Jul 2006 (1.48%)
2004130 Mar 2004 (1.31%)
2002108 Nov 2002 (0.77%)
2001122 Mar 2001 (5.46%)
2000124 Apr 2000 (-0.97%)
1999102 Jul 1999 (-2.92%)
1996112 Jan 1996 (3.28%)

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-1127508.131596604479.710916.18-2134.86-5839.422.13.150.0911833.88
atrtrail25.247936.7515694020839.2154778.48-8566.5-24271.852.431.620.0353195.78
atrtrail35.8712343.51569401490733623.57-8566.5-24271.851.741.160.012822.9
atrtrail-15.8712343.51569401490733623.57-8566.5-24271.851.741.160.012822.9
atrnil26.077452.661541126.6729401.554778.48-10013.94-24271.852.941.070.0052496.84
atrnil312.8-97512.131521313.3326791.5827754.33-11622.71-27389.242.310.35-0.092-6500.81

In the table above, row 1 shows the best exit criterion. Profit factor is 3.15. Strategy is very good and impressively bearish. Percentage of profitable trades is 60%, which is not acceptable. Avoid this strategy. Average return per trade is 0.92%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.091, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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