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

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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 and RSI is above 50" 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
140234.7342231954.764108.6911695.22-2856.06-7424.591.441.740.046957.97
255392.0942192345.246258.2617215.52-2761.52-7852.352.271.870.0471318.86
369497.1242231954.766477.624640.37-4183.56-8304.241.551.870.0451654.69
480962.8742222052.388315.9227354.99-5099.37-17229.271.631.790.0431927.69
572787.6942192345.2410930.2538452.45-5864.65-27491.221.861.540.0311733.04
632097.342222052.388680.1636444.18-7943.31-26167.971.091.20.014764.22
736555.99422121509693.6230844.47-7952.86-27788.281.221.220.015870.38
828379.4642202247.6210713.5644890.73-8449.63-27761.271.271.150.011675.7
9-25354.942172540.4812512.5440578.85-9522.72-35322.711.310.89-0.0087-603.69
10-23467.7342172540.4812819.0440933.25-9655.65-34674.591.330.9-0.0081-558.76

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 1.87. 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 54.76%, which is not acceptable. Avoid this strategy. Average return per trade is 0.83%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, which is low, don't trade solely on the basis of this study.

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
50trail21.8681239.5556272948.215946.657959.17-2735.17-3664.392.172.020.0661450.71
50nil21.9677891.0654262848.156140.747980.1-2920.29-3818.632.11.950.0631442.43
nilnil-1369497.1242231954.766477.624640.37-4183.56-8304.241.551.870.0451654.69
50trail32.3853984.5856213537.56894.311208.79-2594.17-3664.392.661.590.038964.01
50trail-13.5645232.6855193634.557175.9924275.19-2530.87-3664.392.841.50.028822.41
50nil32.7128997.8652163630.778660.111208.79-3043.44-3990.052.851.260.021557.65
atrnil26.4932670.9741172441.4612889.717899.44-7768.91-15872.761.661.180.015796.85
atrnil38.6332309.7341122929.2720520.3826849.17-7377.06-15872.762.781.150.012788.04
atrtrail24.656701.0246192741.38468.0317143-5710.8-15872.761.481.040.0036145.67
atrtrail35.22-20810.6146182839.137709.4319716.32-5699.3-15872.761.350.87-0.011-452.4
atrtrail-15.5-36474.8346182839.136839.1924011.52-5699.3-15872.761.20.77-0.021-792.93

In the table above, row 1 shows the best exit criterion. Profit factor is 2.02. 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 48.21%, which is not acceptable. Avoid this strategy. Average return per trade is 0.73%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.066, 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:2.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019121 Aug 2019 (-1.59%)
2018409 Apr 2018 (-1.77%), 12 Apr 2018 (2.03%), 15 Jun 2018 (-1.14%), 29 Jun 2018 (-1.03%)
2017212 Jun 2017 (2.81%), 06 Jul 2017 (3.27%)
2016122 Sep 2016 (3.6%)
2014431 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 (3.48%), 17 Sep 2013 (2.41%), 20 Sep 2013 (-1.72%), 23 Dec 2013 (3.74%)
2012413 Apr 2012 (2.18%), 23 Apr 2012 (-1.03%), 30 Apr 2012 (2.11%), 03 May 2012 (-1.58%)
2010305 Mar 2010 (-1.41%), 26 Aug 2010 (3.49%), 09 Nov 2010 (3.89%)
2009414 Jul 2009 (2.45%), 09 Nov 2009 (2.79%), 27 Nov 2009 (0.24%), 03 Dec 2009 (3.27%)
2008229 Jan 2008 (-1.59%), 27 Feb 2008 (-1.52%)
2007206 Jul 2007 (-1.33%), 11 Jul 2007 (3.77%)
2006128 Feb 2006 (-1.44%)
2005405 Apr 2005 (-1.18%), 26 Apr 2005 (-1.24%), 03 May 2005 (2.72%), 11 Nov 2005 (3.67%)
2004509 Mar 2004 (-1.69%), 21 May 2004 (3.98%), 25 Jun 2004 (3.97%), 01 Nov 2004 (-1.3%), 10 Nov 2004 (-0.85%)
2003421 Jan 2003 (3.77%), 05 Aug 2003 (-1.67%), 07 Aug 2003 (3.09%), 14 Aug 2003 (-1.35%)
2002214 May 2002 (-1.02%), 10 Jun 2002 (2.61%)
1999711 May 1999 (-1.05%), 15 Jul 1999 (2.82%), 22 Jul 1999 (-1.29%), 03 Aug 1999 (2.34%), 06 Aug 1999 (3.02%), 22 Dec 1999 (2.76%), 24 Dec 1999 (-1.12%)
1998117 Apr 1998 (-1.66%)



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