Study: Sell TATAGLOBAL when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell TATAGLOBAL when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell TATAGLOBAL 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
1-15528.5160253541.673659.0714216.01-3057.29-25343.361.20.85-0.01-258.81
2-12133.92602733455761.8430817.42-5081.92-18279.921.130.93-0.0052-202.23
3-32910.3260253541.678106.5744190.11-6730.7-27436.231.20.86-0.01-548.51
4-11262460253541.678048.7736106.26-8966.95-33002.320.90.64-0.033-1877.07
5-67985.2160283246.678496.530925.85-9558.97-48045.640.890.78-0.018-1133.09
6-71274.75603030508857.5627636.89-11233.38-46482.150.790.79-0.018-1187.91
7-13593060283246.678813.8329489.05-11959.92-43355.170.740.64-0.034-2265.5
8-1540526024364010517.8123649.64-11291.08-47158.250.930.62-0.035-2567.53
9-10229460283246.6710902.9324934.28-12736.74-45975.070.860.75-0.022-1704.9
10-13586660263443.3311649.1227420.03-12904.22-55058.570.90.69-0.029-2264.44
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
atrnil37.78-2518.464154923.4422982.5630642.66-7086.87-15998.813.240.99-0.00061-39.35
200trail31.81-1813.0397237423.718916.2411881.23-2795.76-3978.323.190.99-0.00073-18.69
200nil31.89-3948.7895227323.169499.4511881.23-2916.94-3978.323.260.98-0.0016-41.57
atrtrail34.32-21684.3773225130.1412129.5430642.66-5657.53-15998.812.140.92-0.0061-297.05
200trail-12.48-22760.5896217521.888835.3128675.38-2777.36-3978.323.180.89-0.008-237.09
atrnil25.2-53470.0166184827.2715569.520428.44-6952.52-15998.812.240.84-0.016-810.15
atrtrail23.95-47362.273225130.1410962.3720428.44-5657.53-15998.811.940.84-0.015-648.8
200trail21.58-54440.1497247324.746263.137920.82-2804.87-3978.322.230.73-0.028-561.24
200nil21.61-57126.6995247125.266263.137920.82-2921.72-3978.322.140.72-0.03-601.33
atrtrail-14.63-91603.8173225130.148951.3831600.67-5657.53-15998.811.580.68-0.032-1254.85

In the table above, row 1 shows the best exit criterion. Profit factor is 0.99. 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 23.44%, which is not acceptable. Avoid this strategy. Average return per trade is -0.02%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAGLOBAL Performance, Profit Factor:0.993

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018524 May 2018 (-3.58%), 20 Jun 2018 (-3.32%), 28 Jun 2018 (-3.04%), 02 Jul 2018 (-3.07%), 06 Jul 2018 (-3.38%)
2017131 Jan 2017 (-2.26%)
2016513 Jan 2016 (10.94%), 08 Jun 2016 (-2.25%), 09 Jun 2016 (-2.26%), 24 Jun 2016 (-2.86%), 04 Nov 2016 (-3.9%)
2015409 Jan 2015 (-2.46%), 18 Feb 2015 (-2.66%), 23 Feb 2015 (-2.82%), 10 Mar 2015 (9.07%)
2014921 Jan 2014 (-2.67%), 28 Mar 2014 (-2.11%), 02 May 2014 (-2.7%), 29 May 2014 (-3.13%), 14 Jul 2014 (-4.1%), 11 Aug 2014 (-2.74%), 28 Aug 2014 (-2.47%), 16 Oct 2014 (-3.21%), 09 Dec 2014 (7.92%)
20131021 Feb 2013 (10.72%), 21 May 2013 (-3.1%), 31 May 2013 (-3.29%), 10 Jun 2013 (9.55%), 11 Jul 2013 (-3.31%), 01 Aug 2013 (-4.48%), 23 Sep 2013 (-3.42%), 30 Sep 2013 (-3.19%), 13 Nov 2013 (-4.07%), 17 Dec 2013 (-2.48%)
2012206 Jan 2012 (-3.32%), 19 Jan 2012 (-3.98%)
2011209 Aug 2011 (-4.92%), 11 Aug 2011 (15.32%)
2010126 Nov 2010 (14.97%)
2009113 Apr 2009 (-4.16%)
2008207 Feb 2008 (-7.22%), 03 Jun 2008 (15.14%)
2007129 Aug 2007 (-3.95%)
2006417 May 2006 (11.93%), 01 Aug 2006 (-4.39%), 23 Aug 2006 (-3.84%), 25 Aug 2006 (14.52%)
2004118 May 2004 (-8.0%)
2002412 Feb 2002 (-3.74%), 05 Jun 2002 (-2.96%), 26 Nov 2002 (-2.83%), 18 Dec 2002 (-4.22%)
2001424 May 2001 (-3.99%), 07 Jun 2001 (-4.04%), 05 Dec 2001 (-4.03%), 07 Dec 2001 (-4.51%)
1998129 Apr 1998 (8.65%)
1997209 Apr 1997 (11.65%), 09 May 1997 (-3.92%)
1996416 Feb 1996 (10.95%), 15 Apr 1996 (-3.86%), 07 May 1996 (-3.45%), 23 Jul 1996 (7.61%)
1995124 Nov 1995 (13.44%)



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