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

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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 and RSI is below 50" 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
154154.0736241266.673477.7212279.5-2442.6-6721.741.422.850.0791504.28
239154.6736231363.894258.0323584.45-4521.54-11379.310.941.670.0361087.63
339145.7836221461.116166.7825521.19-6894.52-28275.860.891.410.0231087.38
4-843.0436171947.227840.5328820.16-7059.58-34689.661.110.99-0.00045-23.42
53983.6936162044.4410383.4425521.19-8107.57-44827.591.281.020.0018110.66
6-15117.636162044.4411632.4723871.71-10061.85-48275.861.160.92-0.006-419.93
7-33196.8136152141.6711444.2425979.38-9755.26-42793.11.170.84-0.014-922.13
8-47704.513618185010872.2430561.28-13522.49-55206.90.80.8-0.016-1325.13
9-45931.353618185011364.1925841.92-13915.93-44482.760.820.82-0.017-1275.87
10-79942.0436171947.2211858.1225841.92-14817.37-44827.590.80.72-0.028-2220.61

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.85. 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 66.67%, which is good. Average return per trade is 0.75%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.079, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
TATAGLOBAL Performance, X=1, Profit Factor:2.85

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019202 Jan 2019 (2.12%), 20 Mar 2019 (1.19%)
2018206 Jul 2018 (-3.36%), 27 Sep 2018 (-0.21%)
2016213 Jan 2016 (1.14%), 26 May 2016 (1.1%)
2015705 Feb 2015 (1.52%), 25 Feb 2015 (0.62%), 13 Mar 2015 (0.06%), 20 Apr 2015 (1.99%), 27 Jul 2015 (0.07%), 11 Nov 2015 (-0.08%), 09 Dec 2015 (-2.38%)
2014326 Mar 2014 (0.67%), 13 May 2014 (-0.61%), 29 May 2014 (-0.13%)
2013212 Jun 2013 (1.77%), 12 Aug 2013 (-0.72%)
2011304 May 2011 (1.58%), 11 Nov 2011 (0.68%), 16 Dec 2011 (2.2%)
2008125 Mar 2008 (-2.02%)
2007102 Feb 2007 (0.15%)
2006214 Jul 2006 (2.87%), 29 Nov 2006 (2.47%)
2002220 Feb 2002 (-0.5%), 22 Oct 2002 (0.03%)
2001219 Jun 2001 (6.14%), 24 Dec 2001 (2.6%)
1998311 Aug 1998 (2.48%), 03 Dec 1998 (-0.28%), 17 Dec 1998 (-1.59%)
1997121 Apr 1997 (2.22%)
1996221 Mar 1996 (1.07%), 30 Apr 1996 (-2.76%)
1995124 Nov 1995 (5.0%)

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
nilnil-1154154.0736241266.673477.7212279.5-2442.6-6721.741.422.850.0791504.28
atrtrail34.3775149.6243152834.8813155.5826888.78-4363.72-11896.993.011.620.0351747.67
50trail-13.4148021.5446113523.9112665.9424146.62-2608.68-3876.064.861.530.0291043.95
atrnil25.2352343.7139152438.4613865.7818384.97-6485.13-11896.992.141.340.0271342.15
atrtrail-15.0932374.2943152834.8810303.8923043.61-4363.72-11896.992.361.260.018752.89
atrtrail23.9128286.4643152834.8810031.3717925.85-4363.72-11896.992.31.230.017657.82
50nil32.4320648.5746133328.269213.7411708.32-3003.94-3876.063.071.210.016448.88
atrnil37.1531301.4639112828.2119836.6726888.78-6675.07-11896.992.971.170.013802.6
50trail21.9610176.148163233.336008.067805.55-2686.03-3876.062.241.120.01212
50nil2210317.7848173135.426101.397805.55-3013.09-3876.062.021.110.0098214.95
50trail32.335816.7246113523.918829.1411708.32-2608.68-3876.063.381.060.0051126.45

In the table above, row 1 shows the best exit criterion. Profit factor is 2.85. 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 66.67%, which is good. Average return per trade is 0.75%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.079, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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