Study: Sell TATAGLOBAL when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell TATAGLOBAL when below 200 SMA and near 50 SMA and below 50 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
11217.1463303347.623392.0212279.5-3046.77-24370.961.111.010.000819.32
214406.7963372658.734494.9523584.45-5842.56-29762.760.771.090.0064228.68
35368.6563382560.325461.5325521.19-8086.78-33572.970.681.030.001885.22
4-54784.2963342953.975580.4128820.16-8431.66-36819.070.660.78-0.017-869.59
5-56482.3363323150.797312.7925521.19-9370.7-44827.590.780.81-0.015-896.54
6-91370.4863293446.03969023871.71-10952.37-56566.150.880.75-0.021-1450.33
7-78873.5363273642.8610065.3829432.11-9739.96-42898.831.030.78-0.019-1251.96
8-13451163283544.4410510.8730561.28-12251.87-55206.90.860.69-0.028-2135.09
9-14911263283544.4410930.1533525.51-13004.46-44482.760.840.67-0.032-2366.85
10-17331163323150.7910116.3337993.66-16033.34-44827.590.630.65-0.035-2750.97
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
atrtrail35.2774248.4577284936.3610986.9526888.78-4762.98-11896.992.311.320.021964.27
atrtrail-15.9137895.6977284936.369688.6344715.92-4762.98-11896.992.031.160.011492.15
atrnil37.8233832.167184926.8720566.4128353.55-6864.56-14159.7231.10.0082504.96
atrtrail24.8216166.4977284936.368912.5917925.85-4762.98-11896.991.871.070.0056209.95
50trail-12.81-11961.4991187319.7810529.2624200.27-2760.11-3951.723.810.94-0.0042-131.44
atrnil26.27-22426.1367214631.3413883.6718902.37-6825.72-14159.722.030.93-0.0069-334.72
50trail32.01-41535.1391197220.888297.4411708.32-2766.48-3951.7230.79-0.02-456.43
50nil32.11-48217.66901872209243.9511708.32-2980.68-3951.723.10.78-0.022-535.75
50trail21.77-58452.5494247025.535783.257805.55-2817.87-3951.722.050.7-0.033-621.84
50nil21.83-62446.9493246925.816024.697805.55-3000.57-3951.722.010.7-0.034-671.47

In the table above, row 1 shows the best exit criterion. Profit factor is 1.32. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 36.36%, which is not acceptable. Avoid this strategy. Average return per trade is 0.48%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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.
TATAGLOBAL Performance, Profit Factor:1.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019302 Jan 2019 (-0.84%), 07 Jan 2019 (-1.16%), 20 Mar 2019 (-1.96%)
2018606 Jul 2018 (-3.38%), 12 Jul 2018 (9.82%), 25 Sep 2018 (10.29%), 17 Oct 2018 (1.98%), 30 Oct 2018 (4.22%), 21 Dec 2018 (-3.06%)
2017103 Jan 2017 (-2.21%)
2016313 Jan 2016 (10.94%), 26 May 2016 (-1.14%), 06 Jun 2016 (-2.08%)
20151408 Jan 2015 (-2.46%), 16 Jan 2015 (-2.34%), 05 Feb 2015 (0.49%), 25 Feb 2015 (-2.08%), 13 Mar 2015 (3.19%), 20 Apr 2015 (8.58%), 26 May 2015 (7.14%), 07 Jul 2015 (0.27%), 15 Jul 2015 (-2.42%), 21 Jul 2015 (-2.62%), 27 Jul 2015 (-2.16%), 11 Nov 2015 (-2.99%), 18 Nov 2015 (-3.08%), 09 Dec 2015 (-2.71%)
2014411 Mar 2014 (0.48%), 21 Mar 2014 (-0.87%), 13 May 2014 (-1.05%), 29 May 2014 (-2.17%)
2013316 Apr 2013 (-3.16%), 12 Jun 2013 (-1.86%), 12 Aug 2013 (-1.02%)
2011615 Mar 2011 (-1.14%), 04 May 2011 (-1.7%), 13 May 2011 (9.89%), 11 Nov 2011 (8.69%), 16 Dec 2011 (-1.66%), 21 Dec 2011 (-3.77%)
2009127 Mar 2009 (-4.71%)
2008525 Mar 2008 (-5.95%), 25 Jul 2008 (11.72%), 13 Aug 2008 (0.83%), 04 Sep 2008 (3.81%), 12 Dec 2008 (-2.46%)
2007205 Jan 2007 (-1.15%), 02 Feb 2007 (7.3%)
2006423 Jun 2006 (1.47%), 31 Oct 2006 (7.41%), 24 Nov 2006 (0.17%), 28 Dec 2006 (-2.61%)
2002510 Jan 2002 (-3.22%), 17 Jan 2002 (2.42%), 20 Feb 2002 (-3.59%), 22 Oct 2002 (-0.45%), 15 Nov 2002 (-2.28%)
2001317 May 2001 (-4.34%), 19 Jun 2001 (11.05%), 24 Dec 2001 (-2.74%)
2000430 May 2000 (0.85%), 07 Jul 2000 (10.28%), 15 Nov 2000 (-1.69%), 21 Nov 2000 (-2.87%)
1998504 Aug 1998 (3.44%), 16 Sep 1998 (-1.4%), 26 Oct 1998 (-3.88%), 03 Dec 1998 (-2.77%), 17 Dec 1998 (-2.5%)
1997207 Jan 1997 (-3.63%), 21 Apr 1997 (3.29%)
1996502 Feb 1996 (-3.03%), 21 Mar 1996 (-1.4%), 27 Mar 1996 (-1.76%), 30 Apr 1996 (-1.21%), 07 May 1996 (0.37%)
1995124 Nov 1995 (13.44%)



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