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

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In this study, we evaluate the performance of strategy "Buy TATAELXSI when near 200 SMA and above 200 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
1-52558.3635102528.574894.329585.35-4060.06-17335.441.210.48-0.055-1501.67
2-48802.6135132237.145323.5115616.59-5364.01-17246.120.990.59-0.04-1394.36
3-32957.8235161945.716579.1120357.14-7274.92-30394.140.90.76-0.02-941.65
4-54016.87351421407067.2915765.31-7283.76-369210.970.65-0.031-1543.34
5-6416435161945.715971.7921938.78-8405.93-28777.160.710.6-0.038-1833.26
6-88603.2435152042.867394.3819234.69-9975.95-35741.960.740.56-0.045-2531.52
7-89624.56351421408073.624030.61-9650.24-36087.250.840.56-0.045-2560.7
8-43627.093514214012380.5530058.69-10331.18-35433.491.20.8-0.017-1246.49
918085.3935171848.5712585.2727404.95-10881.34-39810.021.161.090.0072516.73
1085668.0835221362.8612490.3834042.55-14547.72-39637.310.861.450.0312447.66
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
200trail31.6461534.2459203933.98461.311812.43-2761.33-3972.973.061.570.0381042.95
atrtrail25.0581422.7443172639.5316015.626593.79-7340.1-15124.372.181.430.031893.55
200trail21.3842613.1264263840.625774.777874.96-2829.76-3972.972.041.40.031665.83
200nil31.7643789.0458184031.038861.911812.43-2893.13-3996.23.061.380.028754.98
200nil21.3839383.164263840.625774.777874.96-2914.76-3996.21.981.360.029615.36
200trail-12.7238012.0658154325.869947.8847685.2-2586.19-3972.973.851.340.016655.38
atrnil25.9376983.1641152636.5920160.9526593.79-8670.43-16078.772.331.340.0271877.64
atrtrail-16.417275.4143172639.5312242.2361756.52-7340.1-15124.371.671.090.006401.75
atrnil37.621342.14010302529105.539890.69-8990.43-16078.773.241.080.0063533.55
atrtrail35.58-12566.9243172639.5310486.826838.18-7340.1-15124.371.430.93-0.0055-292.25

In the table above, row 1 shows the best exit criterion. Profit factor is 1.57. 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 33.9%, which is not acceptable. Avoid this strategy. Average return per trade is 0.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.038, 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:1.57

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019230 Oct 2019 (-1.03%), 01 Nov 2019 (-1.73%)
2018103 Oct 2018 (-1.65%)
2017421 Mar 2017 (-1.7%), 27 Mar 2017 (-1.07%), 03 Apr 2017 (5.31%), 23 May 2017 (-1.31%)
2016303 May 2016 (-1.28%), 12 May 2016 (-1.28%), 13 May 2016 (-0.45%)
2014122 Dec 2014 (3.87%)
2013228 Jan 2013 (-1.28%), 15 Oct 2013 (4.48%)
2012203 May 2012 (-1.57%), 16 Nov 2012 (-1.43%)
2011207 Apr 2011 (-1.99%), 13 Apr 2011 (-1.84%)
2010507 Oct 2010 (5.91%), 18 Oct 2010 (-1.05%), 21 Oct 2010 (-1.64%), 28 Oct 2010 (3.65%), 13 Dec 2010 (5.12%)
2009204 May 2009 (-1.63%), 05 May 2009 (4.93%)
2007507 Aug 2007 (3.49%), 20 Aug 2007 (-1.91%), 27 Aug 2007 (-1.38%), 28 Aug 2007 (-1.04%), 18 Sep 2007 (-1.59%)
2006925 Jan 2006 (-1.19%), 10 Feb 2006 (4.51%), 10 Apr 2006 (-1.53%), 19 Apr 2006 (-1.49%), 25 Apr 2006 (5.31%), 23 May 2006 (-1.8%), 25 May 2006 (-1.67%), 29 May 2006 (-1.74%), 16 Aug 2006 (3.88%)
2004425 Feb 2004 (-1.39%), 27 Feb 2004 (-0.56%), 05 May 2004 (3.03%), 02 Jun 2004 (-1.84%)
2003206 Aug 2003 (4.64%), 19 Aug 2003 (-1.12%)
2002616 Jan 2002 (-1.31%), 21 Jan 2002 (-1.01%), 01 Oct 2002 (3.2%), 04 Oct 2002 (3.94%), 09 Oct 2002 (0.6%), 16 Oct 2002 (4.26%)
2001227 Nov 2001 (-1.17%), 04 Dec 2001 (3.84%)
2000211 Dec 2000 (-1.54%), 13 Dec 2000 (-1.02%)
1999219 Jul 1999 (-1.04%), 21 Jul 1999 (5.85%)
1997202 Jan 1997 (-1.55%), 14 Jan 1997 (4.8%)
1996128 Jun 1996 (-1.04%)



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