Study: Sell TATAELXSI when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell TATAELXSI when below 200 SMA and RSI is overbought" 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
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

In the table above, row 1 shows the best exit criterion. Profit factor is 0.78. 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 20.83%, which is not acceptable. Avoid this strategy. Average return per trade is -0.82%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAELXSI Performance, Profit Factor:0.781

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017119 Jan 2017 (-2.86%)
2016209 Dec 2016 (-3.54%), 12 Dec 2016 (10.47%)
2011131 Oct 2011 (-3.91%)
2009609 Apr 2009 (-4.28%), 13 Apr 2009 (-4.28%), 15 Apr 2009 (-4.59%), 22 Apr 2009 (-5.85%), 23 Apr 2009 (-6.4%), 28 Apr 2009 (-6.57%)
2008230 May 2008 (-4.81%), 02 Jun 2008 (14.11%)
2003109 Jun 2003 (-3.74%)
2001728 May 2001 (17.68%), 12 Nov 2001 (-5.12%), 15 Nov 2001 (-4.72%), 19 Nov 2001 (-4.9%), 20 Nov 2001 (-5.69%), 22 Nov 2001 (-5.72%), 23 Nov 2001 (-5.72%)
2000320 Jun 2000 (16.7%), 08 Dec 2000 (-3.85%), 12 Dec 2000 (11.64%)
1996131 Dec 1996 (-3.83%)

View performance of other stocks for this trading system.

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