Study: Buy TATAGLOBAL when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy TATAGLOBAL when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. sell 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
1-268.1884394546.433718.3911695.22-3228.57-13870.551.151-0.00015-3.19
24568.4584394546.435400.2417215.52-4578.69-27621.091.181.020.001654.39
382913.784453953.576865.5827677.98-5795.83-17831.121.181.370.023987.07
497579.8884444052.388262.9939173.35-6649.8-22734.681.241.370.0231161.67
514386784444052.389653.5938452.45-7022.28-27491.221.371.510.0311712.7
612310784473755.959218.5939851.94-8382.89-26167.971.11.40.0251465.56
713340184463854.769725.3642011.1-8262.26-35049.411.181.420.0271588.1
880589.5483424150.610991.0544890.73-9293.52-38945.881.181.210.014970.96
925983.8583394446.9912090.5742504.63-10126.1-35322.711.191.060.0044313.06
1079681.983394446.9913136.3741867.7-9832.65-34674.591.341.180.013960.02
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
50trail-13.26122283117368130.779345.948129.37-2644.06-3844.513.531.570.0251045.16
atrtrail-16.0310911194365838.312492.952178.9-5872.99-15872.762.131.320.0191160.76
50trail21.8862223.38122477538.525718.27959.17-2753.76-3844.512.081.30.024510.03
50nil2255921.42117457238.465926.647980.1-2927.47-3962.432.021.270.022477.96
50trail32.2355000.63120408033.336721.3611393-2673.17-3844.512.511.260.019458.34
atrnil38.0182175.2478235529.4921574.1443030.69-7527.82-15872.762.871.20.0151053.53
atrtrail35.2354870.9894365838.310986.2343030.69-5872.99-15872.761.871.160.011583.73
50nil32.6635298.5109317828.448605.5211763.54-2967.6-3990.052.91.150.012323.84
atrtrail24.731569694375739.369510.2928687.12-5897.98-15872.761.611.050.0038166.98
atrnil26.33-2357.7381295235.813647.4828687.12-7656.43-15872.761.780.99-0.00055-29.11

In the table above, row 1 shows the best exit criterion. Profit factor is 1.57. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 30.77%, which is not acceptable. Avoid this strategy. Average return per trade is 0.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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:1.57

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019419 Jul 2019 (0.49%), 21 Aug 2019 (-1.59%), 05 Sep 2019 (-1.45%), 09 Sep 2019 (-1.24%)
2018409 Apr 2018 (-1.77%), 12 Apr 2018 (5.58%), 15 Jun 2018 (-1.14%), 29 Jun 2018 (-1.03%)
2017312 Jun 2017 (2.64%), 06 Jul 2017 (12.14%), 09 Aug 2017 (-1.46%)
2016314 Sep 2016 (0.08%), 20 Sep 2016 (4.45%), 30 Sep 2016 (7.16%)
20141113 Jan 2014 (-1.53%), 14 Jan 2014 (-1.17%), 03 Jun 2014 (12.04%), 08 Jul 2014 (-1.3%), 17 Jul 2014 (-1.63%), 18 Jul 2014 (-1.62%), 26 Sep 2014 (-0.5%), 31 Oct 2014 (-0.78%), 07 Nov 2014 (-1.83%), 17 Nov 2014 (-1.1%), 27 Nov 2014 (-1.83%)
2013504 Jan 2013 (-1.54%), 05 Sep 2013 (0.95%), 17 Sep 2013 (-0.4%), 20 Sep 2013 (-1.72%), 23 Dec 2013 (1.11%)
2012623 Mar 2012 (-1.83%), 13 Apr 2012 (1.92%), 23 Apr 2012 (-1.03%), 30 Apr 2012 (-0.92%), 17 Sep 2012 (15.99%), 20 Dec 2012 (-1.12%)
2010505 Mar 2010 (-1.41%), 30 Jul 2010 (0.58%), 04 Aug 2010 (-1.74%), 26 Aug 2010 (6.16%), 09 Nov 2010 (-1.08%)
2009730 Jun 2009 (0.08%), 09 Jul 2009 (-1.17%), 14 Jul 2009 (8.04%), 30 Sep 2009 (-1.12%), 09 Nov 2009 (0.38%), 27 Nov 2009 (0.24%), 03 Dec 2009 (5.24%)
2008229 Jan 2008 (-1.59%), 27 Feb 2008 (-1.52%)
2007406 Jul 2007 (-1.33%), 11 Jul 2007 (0.5%), 25 Oct 2007 (1.42%), 02 Nov 2007 (-1.11%)
2006502 Feb 2006 (-1.48%), 17 Feb 2006 (-1.75%), 21 Feb 2006 (-1.81%), 24 Feb 2006 (-1.36%), 28 Feb 2006 (-1.44%)
2005920 Jan 2005 (17.49%), 22 Mar 2005 (-1.39%), 28 Mar 2005 (-1.23%), 31 Mar 2005 (0.14%), 26 Apr 2005 (-1.24%), 03 May 2005 (2.07%), 17 May 2005 (-1.73%), 13 Oct 2005 (-1.29%), 11 Nov 2005 (5.5%)
20041021 Jan 2004 (-1.89%), 09 Mar 2004 (-1.69%), 21 May 2004 (-1.44%), 25 Jun 2004 (-1.11%), 20 Aug 2004 (11.37%), 28 Sep 2004 (1.1%), 12 Oct 2004 (-1.46%), 15 Oct 2004 (-1.35%), 01 Nov 2004 (-1.3%), 10 Nov 2004 (-0.85%)
2003921 Jan 2003 (0.4%), 24 Jan 2003 (-1.02%), 09 Jul 2003 (-1.12%), 05 Aug 2003 (-1.67%), 07 Aug 2003 (1.8%), 14 Aug 2003 (-1.35%), 19 Sep 2003 (-1.46%), 28 Oct 2003 (-1.82%), 11 Nov 2003 (2.28%)
2002404 Apr 2002 (-1.45%), 14 May 2002 (-1.02%), 10 Jun 2002 (7.86%), 15 Jul 2002 (-1.14%)
2001121 Feb 2001 (-1.9%)
2000121 Jan 2000 (-1.44%)
19991106 Apr 1999 (-0.89%), 11 May 1999 (-1.05%), 10 Jun 1999 (-1.66%), 15 Jul 1999 (1.85%), 22 Jul 1999 (-1.29%), 03 Aug 1999 (-1.1%), 06 Aug 1999 (-0.61%), 16 Aug 1999 (24.06%), 28 Oct 1999 (-1.66%), 22 Dec 1999 (-0.82%), 24 Dec 1999 (-1.12%)
1998527 Jan 1998 (-1.92%), 04 Feb 1998 (1.48%), 11 Mar 1998 (2.92%), 07 Apr 1998 (0.7%), 16 Apr 1998 (-1.26%)
1997118 Sep 1997 (-1.01%)
1996702 May 1996 (-1.18%), 03 Jul 1996 (-1.18%), 04 Jul 1996 (-0.77%), 10 Jul 1996 (-0.87%), 12 Jul 1996 (-1.22%), 15 Jul 1996 (-1.45%), 18 Jul 1996 (-1.22%)



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