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

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In this study, we evaluate the performance of strategy "Sell TATAGLOBAL when near 200 SMA and below 200 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
1-26140.3935132237.144066.2214216.01-3590.97-25343.361.130.67-0.025-746.87
241166.1535171848.577109.2330817.42-4427.27-18279.921.611.520.0281176.18
385444.7935181751.4310183.5244190.11-5756.38-27436.231.771.870.0422441.28
452003.9335191654.2910001.9836106.26-8627.11-29202.091.161.380.0251485.83
578505.083521146010581.9330925.85-10265.39-24558.531.031.550.0362243
645457.9635191654.2912059.7827636.89-11479.87-29818.671.051.250.0181298.8
719293.5535201557.1410556.829489.05-12789.49-29952.990.831.10.008551.24
8-3572.7235161945.7112621.0923649.64-10816.33-46911.311.170.98-0.0014-102.08
912252.7835201557.1411160.2624934.28-14063.49-44831.80.791.060.0046350.08
1016009.6635191654.2911806.7727420.03-13019.94-36024.460.911.080.0061457.42
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
200trail-12.8865216.6951153629.4111059.3928675.38-2796.5-3978.323.951.650.0341278.76
200trail31.9256163.9652173532.699103.0411881.23-2816.79-3978.323.231.570.0381080.08
atrtrail34.3867674.1940152537.513902.8430642.66-5634.74-15998.812.471.480.031691.85
200nil32.0445892.7852163630.779558.6911881.23-2973.51-3978.323.211.430.03882.55
atrnil38.0552735.138112728.9522760.9230642.66-7319.82-15998.813.111.270.021387.77
atrnil25.5319595.538132534.2115419.8620428.44-7234.51-15998.812.131.110.0094515.67
200trail21.610098.9952173532.696393.347920.82-2816.79-3978.322.271.10.0089194.21
atrtrail23.9813140.4240152537.510267.2620428.44-5634.74-15998.811.821.090.0075328.51
200nil21.635004.0952173532.696393.347920.82-2962.36-3978.322.161.050.004496.23
atrtrail-14.925746.2340152537.59774.3131600.67-5634.74-15998.811.731.040.0032143.66

In the table above, row 1 shows the best exit criterion. Profit factor is 1.65. 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 29.41%, which is not acceptable. Avoid this strategy. Average return per trade is 0.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, 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:1.65

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018524 May 2018 (-1.3%), 20 Jun 2018 (-1.58%), 28 Jun 2018 (-1.42%), 02 Jul 2018 (-1.44%), 06 Jul 2018 (-1.22%)
2016413 Jan 2016 (7.23%), 04 Nov 2016 (-1.99%), 07 Nov 2016 (-1.05%), 08 Nov 2016 (2.61%)
2015223 Feb 2015 (-0.06%), 17 Mar 2015 (4.0%)
2014921 Jan 2014 (-1.09%), 02 May 2014 (0.91%), 29 May 2014 (-1.09%), 14 Jul 2014 (-1.15%), 11 Aug 2014 (-1.14%), 13 Aug 2014 (-1.58%), 28 Aug 2014 (-1.67%), 16 Oct 2014 (-1.85%), 09 Dec 2014 (-1.13%)
20131321 Feb 2013 (-1.46%), 22 Feb 2013 (6.13%), 01 Aug 2013 (-1.81%), 08 Aug 2013 (-1.89%), 14 Aug 2013 (2.32%), 22 Aug 2013 (3.04%), 23 Sep 2013 (-1.32%), 30 Sep 2013 (-1.61%), 13 Nov 2013 (-1.27%), 14 Nov 2013 (-1.5%), 19 Nov 2013 (-1.07%), 21 Nov 2013 (-1.07%), 17 Dec 2013 (-1.21%)
2011309 Aug 2011 (-1.88%), 11 Aug 2011 (-1.46%), 12 Aug 2011 (12.23%)
2010326 Nov 2010 (-1.27%), 13 Dec 2010 (-1.92%), 22 Dec 2010 (3.13%)
2008207 Feb 2008 (3.32%), 03 Jun 2008 (-1.04%)
2007130 Aug 2007 (-1.94%)
2006117 May 2006 (14.34%)
2004118 May 2004 (-1.39%)
2003207 Jan 2003 (-1.47%), 13 Jan 2003 (-1.71%)
2002105 Jun 2002 (-1.28%)
1998129 Apr 1998 (7.17%)
1996207 May 1996 (1.82%), 23 Jul 1996 (3.97%)
1995124 Nov 1995 (10.73%)



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