Study: Buy TATAELXSI when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy TATAELXSI when below 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
1-64341.14103386536.895925.2623560.21-4453.86-28056.111.330.78-0.017-624.67
214571.96103495447.577818.3737303.66-6824.59-30577.781.151.040.0029141.48
325247.01103544952.439210.1857294.43-9634.75-44391.410.961.050.0036245.12
4-62295.95103465744.6611401.8161892.13-10294.37-45238.961.110.89-0.0083-604.82
5-89906.66103445942.7213148.8168979.06-11329.73-57978.451.160.87-0.01-872.88
6-11683.49103535051.4612293.3964014.15-13264.66-68753.210.930.98-0.0013-113.43
734775.36103535051.4613500.4273916.89-13614.94-48537.710.991.050.0036337.62
8194107103544952.4315891.881343.94-13552.04-39853.031.171.290.0191884.54
9116545103505348.5417802.7564898.32-14596.08-42729.811.221.150.0111131.5
10130566103525150.4917509.4461343.01-15292.65-43612.981.141.170.0121267.63
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
atrnil39.111869761594111825.7935704.8783167.34-10821.38-35586.533.31.150.0111175.95
atrtrail24.6269898.151896312633.3317706.7755444.89-8298.64-30246.72.131.070.0051369.83
atrtrail35.2465804.041896112832.2818387.9779186.54-8248.92-30246.72.231.060.0044348.17
atrnil26.6759494.041655411132.7323229.855444.89-10765-35586.532.161.050.0042360.57
atrtrail-15.78-70374.911896012931.7516487.1578703.14-8213.99-30246.72.010.93-0.0049-372.35

In the table above, row 1 shows the best exit criterion. Profit factor is 1.15. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 25.79%, which is not acceptable. Avoid this strategy. Average return per trade is 0.59%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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:1.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191524 Jan 2019 (-2.56%), 25 Jan 2019 (-2.68%), 28 Jan 2019 (-2.96%), 15 Feb 2019 (-2.9%), 24 Apr 2019 (-2.34%), 02 May 2019 (-2.53%), 03 May 2019 (-2.63%), 13 May 2019 (-2.56%), 14 May 2019 (7.81%), 15 Jul 2019 (-2.77%), 17 Jul 2019 (-3.56%), 19 Jul 2019 (-4.05%), 23 Jul 2019 (-4.16%), 25 Jul 2019 (-4.21%), 30 Jul 2019 (-4.24%)
2018227 Sep 2018 (-4.15%), 08 Oct 2018 (-6.4%)
2017124 May 2017 (10.99%)
20161526 Feb 2016 (19.2%), 04 May 2016 (-3.36%), 24 May 2016 (-2.74%), 24 Jun 2016 (-2.65%), 25 Aug 2016 (-2.36%), 29 Aug 2016 (-2.46%), 12 Sep 2016 (-2.37%), 29 Sep 2016 (-2.78%), 07 Oct 2016 (-2.78%), 17 Oct 2016 (-3.06%), 26 Oct 2016 (-3.0%), 27 Oct 2016 (-3.33%), 09 Nov 2016 (-3.96%), 15 Nov 2016 (-4.89%), 21 Nov 2016 (14.24%)
2014116 Dec 2014 (-3.79%)
20131023 Jan 2013 (-3.68%), 08 Feb 2013 (-3.1%), 26 Feb 2013 (-3.28%), 28 Feb 2013 (-3.68%), 25 Mar 2013 (-5.25%), 03 Jun 2013 (-2.98%), 25 Jun 2013 (10.28%), 02 Aug 2013 (-3.99%), 05 Aug 2013 (12.72%), 28 Aug 2013 (13.59%)
2012315 Mar 2012 (-3.76%), 29 Mar 2012 (10.9%), 19 Nov 2012 (8.03%)
20111711 Jan 2011 (-4.83%), 18 Jan 2011 (-5.6%), 28 Jan 2011 (-5.04%), 09 Feb 2011 (-4.91%), 10 Feb 2011 (15.53%), 04 May 2011 (-3.93%), 23 May 2011 (9.99%), 28 Jul 2011 (-3.07%), 04 Aug 2011 (-3.1%), 05 Aug 2011 (-3.34%), 08 Aug 2011 (-3.65%), 09 Aug 2011 (-3.89%), 16 Aug 2011 (-4.56%), 19 Aug 2011 (15.41%), 23 Nov 2011 (-4.96%), 16 Dec 2011 (-5.03%), 19 Dec 2011 (15.86%)
2010727 Jul 2010 (-3.62%), 06 Aug 2010 (-3.38%), 27 Aug 2010 (-3.45%), 30 Aug 2010 (-3.78%), 31 Aug 2010 (11.74%), 25 Nov 2010 (-6.53%), 26 Nov 2010 (21.62%)
2009227 Feb 2009 (-4.8%), 05 Mar 2009 (14.49%)
20081521 Jan 2008 (-7.15%), 22 Jan 2008 (-9.55%), 13 Mar 2008 (-6.43%), 19 Mar 2008 (-7.49%), 24 Mar 2008 (27.75%), 16 Jul 2008 (-5.06%), 22 Jul 2008 (-5.62%), 30 Jul 2008 (-5.79%), 15 Sep 2008 (-5.08%), 18 Sep 2008 (-6.5%), 29 Sep 2008 (-6.48%), 30 Sep 2008 (-6.7%), 08 Oct 2008 (-9.49%), 24 Oct 2008 (-9.6%), 03 Dec 2008 (21.91%)
2007318 Oct 2007 (-6.68%), 31 Oct 2007 (-6.53%), 05 Nov 2007 (18.94%)
2006527 Jan 2006 (-3.36%), 30 Jan 2006 (-3.69%), 03 Feb 2006 (11.06%), 22 May 2006 (-8.34%), 08 Jun 2006 (30.78%)
2005128 Oct 2005 (12.76%)
2004503 Feb 2004 (-8.35%), 15 Mar 2004 (-5.37%), 18 Mar 2004 (-5.49%), 22 Mar 2004 (17.46%), 17 May 2004 (27.4%)
2003806 Jan 2003 (-3.63%), 17 Jan 2003 (-3.53%), 21 Jan 2003 (-3.55%), 24 Jan 2003 (-3.84%), 27 Jan 2003 (-4.71%), 07 Mar 2003 (-4.81%), 11 Mar 2003 (14.86%), 12 May 2003 (11.09%)
2002430 Jan 2002 (16.32%), 24 Oct 2002 (-3.91%), 25 Oct 2002 (-4.07%), 12 Nov 2002 (12.27%)
20011302 Mar 2001 (-12.63%), 05 Mar 2001 (-14.81%), 12 Mar 2001 (-17.79%), 12 Apr 2001 (39.59%), 15 Jun 2001 (-8.41%), 22 Jun 2001 (-8.1%), 25 Jun 2001 (-8.92%), 25 Jul 2001 (-7.01%), 26 Jul 2001 (-8.23%), 12 Sep 2001 (-6.43%), 17 Sep 2001 (32.79%), 20 Dec 2001 (-8.92%), 24 Dec 2001 (29.45%)
20001113 Mar 2000 (-12.57%), 21 Mar 2000 (-13.59%), 03 Apr 2000 (-12.16%), 05 Apr 2000 (-13.09%), 22 May 2000 (-9.88%), 19 Jul 2000 (-5.18%), 21 Jul 2000 (-5.88%), 24 Jul 2000 (21.33%), 22 Sep 2000 (-5.99%), 13 Oct 2000 (15.73%), 22 Dec 2000 (16.61%)
1999127 May 1999 (28.12%)
1998209 Jun 1998 (-12.46%), 16 Jun 1998 (41.58%)
1997631 Jan 1997 (-6.19%), 25 Feb 1997 (14.33%), 07 Apr 1997 (-5.49%), 05 May 1997 (-4.65%), 06 May 1997 (15.05%), 02 Jul 1997 (-5.55%)
19961215 Jan 1996 (-4.81%), 19 Jan 1996 (-5.1%), 25 Jan 1996 (15.17%), 18 Mar 1996 (-5.71%), 28 May 1996 (14.48%), 26 Jul 1996 (-6.52%), 23 Sep 1996 (-4.38%), 30 Sep 1996 (-4.2%), 04 Oct 1996 (-4.81%), 22 Nov 1996 (-4.4%), 28 Nov 1996 (-4.34%), 03 Dec 1996 (12.72%)



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