Study: Buy TATAELXSI when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy TATAELXSI when 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
17609.8247222546.816379.5519287.67-5309.61-17335.441.21.060.0042161.91
2-2716.4447262155.327715.9531527.46-9682.44-277130.80.99-0.00099-57.8
383268.9547252253.1911937.1236343.12-9779.96-32735.431.221.390.0261771.68
410506047252253.1914305.7749586.16-11481.11-30176.661.251.420.0282235.32
511355847262155.3214115.5957637.32-12068.94-34462.791.171.450.0282416.12
677585.247262155.3213986.863506.4-13622.46-46085.671.031.270.0181650.75
731291.6747232448.9413950.5846576.37-12065.49-36258.331.161.110.0081665.78
825576.947242351.0613830.0440433.84-13319.31-36258.331.041.080.0065544.19
965160.0647262155.3215346.2942703.86-15897.31-42242.150.971.20.0151386.38
1098875.7847272057.4517156.1635729.61-18217.02-40545.140.941.270.0212103.74
Although, strategy looks good but profit factor on day 2 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
atrtrail35.3620815475294638.6720970.9864358.05-8695.75-23476.522.411.520.0312775.38
atrnil310.1722010763214233.3333180.5164358.05-11349.6-23476.522.921.460.0323493.77
atrtrail-15.9614883575294638.6718925.563153.12-8695.75-23476.522.181.370.0241984.47
atrtrail24.5512838175294638.6718220.1942905.37-8695.75-23476.522.11.320.0231711.74
atrnil26.762300.9166244236.3622087.6842905.37-11138.17-23476.521.981.130.011943.95

In the table above, row 1 shows the best exit criterion. Profit factor is 1.52. 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 38.67%, which is not acceptable. Avoid this strategy. Average return per trade is 1.39%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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:1.52

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018311 Sep 2018 (0.95%), 21 Sep 2018 (-3.71%), 26 Sep 2018 (-4.19%)
2017223 May 2017 (-2.69%), 10 Aug 2017 (1.11%)
2016313 Jan 2016 (-4.41%), 15 Jan 2016 (-5.35%), 18 Jan 2016 (17.74%)
2015427 Apr 2015 (10.85%), 09 Oct 2015 (-1.75%), 05 Nov 2015 (-3.52%), 18 Nov 2015 (10.9%)
2014507 May 2014 (-4.23%), 09 May 2014 (-3.31%), 16 May 2014 (14.38%), 13 Aug 2014 (6.07%), 16 Sep 2014 (9.85%)
2013122 Jan 2013 (-3.53%)
2012325 Jul 2012 (-4.44%), 22 Oct 2012 (-1.85%), 31 Oct 2012 (-0.66%)
2010728 Apr 2010 (-0.92%), 03 May 2010 (-3.8%), 07 May 2010 (-1.72%), 12 May 2010 (-4.05%), 19 May 2010 (-4.58%), 21 May 2010 (-3.56%), 26 Jul 2010 (-3.47%)
2009518 Jun 2009 (0.32%), 10 Jul 2009 (17.64%), 27 Oct 2009 (-4.89%), 30 Oct 2009 (-5.25%), 03 Nov 2009 (16.93%)
2007412 Feb 2007 (4.28%), 24 Jul 2007 (-3.6%), 25 Jul 2007 (-2.35%), 27 Jul 2007 (-1.22%)
2006325 Jan 2006 (-3.32%), 11 Dec 2006 (-4.57%), 12 Dec 2006 (15.53%)
2005212 Jan 2005 (16.83%), 22 Sep 2005 (3.47%)
2004619 Jan 2004 (-5.89%), 21 Jan 2004 (2.43%), 12 Aug 2004 (11.99%), 25 Oct 2004 (11.89%), 07 Dec 2004 (-1.88%), 10 Dec 2004 (5.26%)
2002721 May 2002 (6.69%), 22 Jul 2002 (-0.82%), 26 Jul 2002 (-7.92%), 29 Jul 2002 (8.07%), 19 Sep 2002 (-4.4%), 24 Sep 2002 (-1.49%), 30 Sep 2002 (0.23%)
2000610 Jan 2000 (-6.6%), 25 Jan 2000 (-8.26%), 31 Jan 2000 (29.44%), 25 Feb 2000 (-4.63%), 07 Mar 2000 (-4.79%), 10 Mar 2000 (-11.74%)
1999412 Apr 1999 (-10.55%), 26 Apr 1999 (8.84%), 26 May 1999 (-8.74%), 01 Nov 1999 (32.18%)
1998418 Feb 1998 (15.56%), 08 Jun 1998 (-11.63%), 02 Nov 1998 (-3.58%), 16 Nov 1998 (5.4%)
1997628 Oct 1997 (0.73%), 06 Nov 1997 (-4.57%), 07 Nov 1997 (-5.08%), 10 Nov 1997 (-5.61%), 12 Nov 1997 (-0.88%), 05 Dec 1997 (18.49%)



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