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

home > technical-strategy > tataglobal > 23

In this study, we evaluate the performance of strategy "Buy TATAGLOBAL when above 200 SMA and near 50 SMA and above 50 SMA and ADX is Trending" 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
1-49044.32481633.333011.485719.92-4571.01-13870.550.660.33-0.088-2043.51
2-51633.5424101441.675960.4112139.42-7945.55-27621.090.750.54-0.049-2151.4
3-32963.5224101441.677442.9120542.87-7670.9-17831.120.970.69-0.029-1373.48
4-40045.3424101441.678767.8939173.35-9123.16-22734.680.960.69-0.027-1668.56
5-9708.632491537.511200.0135163.48-7367.25-20488.641.520.91-0.0071-404.53
6-14829.9224111345.8310183.3839851.94-9757.47-25234.291.040.88-0.0096-617.91
7699.6424111345.8311237.3642011.1-9454.72-19802.221.191.010.0004529.15
8-47156.0324111345.8310620.1134238.12-12613.64-25005.710.840.71-0.029-1964.83
9-39463.8824101441.6714080.2742504.63-12876.18-24069.711.090.78-0.02-1644.33
10-39831.092491537.516379.2539666.87-12482.96-23757.781.310.79-0.02-1659.63
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-12.75933.552891932.146023.9834977.2-2804.33-3798.212.151.020.0009233.34
50trail21.42-2745.8831112035.484971.887530.66-2871.83-3798.211.730.95-0.0046-88.58
50nil21.53-5356.9130102033.335335.527530.66-2935.6-3798.211.820.91-0.0091-178.56
atrnil35.24-30333.39255202024678.3443030.69-7686.25-15872.763.210.8-0.018-1213.34
50trail31.79-11101.0629101934.484218.129810.39-2804.33-3798.211.50.79-0.019-382.8
50nil32.22-15545.52762122.227575.658534.06-2904.73-3798.212.610.75-0.027-575.76
atrtrail34.19-39313.62671926.9213480.9743030.69-7035.81-15872.761.920.71-0.026-1512.06
atrtrail-15.15-46160.922671926.9212502.7934836.77-7035.81-15872.761.780.65-0.032-1775.42
atrnil24.04-56210.04256192415405.0728687.12-7823.18-15872.761.970.62-0.043-2248.4
atrtrail23.65-51291.422671926.9211769.8628687.12-7035.81-15872.761.670.62-0.04-1972.75

In the table above, row 1 shows the best exit criterion. Profit factor is 1.02. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 32.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.017%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.00092, 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:1.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019119 Jul 2019 (0.49%)
2017212 Jun 2017 (2.64%), 09 Aug 2017 (-1.46%)
2016114 Sep 2016 (0.08%)
2014208 Jul 2014 (-1.3%), 17 Jul 2014 (-1.63%)
2010104 Aug 2010 (-1.74%)
2009309 Nov 2009 (0.38%), 27 Nov 2009 (0.24%), 03 Dec 2009 (5.24%)
2008129 Jan 2008 (-1.59%)
2005620 Jan 2005 (17.49%), 22 Mar 2005 (-1.39%), 28 Mar 2005 (-1.23%), 31 Mar 2005 (0.14%), 26 Apr 2005 (-1.24%), 13 Oct 2005 (-1.29%)
2004121 Jan 2004 (-1.89%)
2003421 Jan 2003 (0.4%), 24 Jan 2003 (-1.02%), 09 Jul 2003 (-1.12%), 28 Oct 2003 (-1.82%)
2002115 Jul 2002 (-1.14%)
2001121 Feb 2001 (-1.9%)
1999306 Apr 1999 (-0.89%), 22 Jul 1999 (-1.29%), 28 Oct 1999 (-1.66%)
1996122 Jul 1996 (-1.04%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play