Study: Sell TATAGLOBAL when near 200 SMA and below 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell TATAGLOBAL when near 200 SMA and below 200 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: 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
1-4129.961771041.183067.366047.63-2560.15-8723.641.20.84-0.014-242.94
2-25157.98178947.064243.9112709.68-6567.7-170610.650.57-0.041-1479.88
3-30216.811771041.187402.3920280.24-8203.35-20178.50.90.63-0.036-1777.46
4-53990.52178947.065367.0213569.32-10769.63-22018.350.50.44-0.066-3175.91
5-35146.931761135.298356.3219247.79-7753.17-22485.111.080.59-0.04-2067.47
6-17828.25178947.068117.8720427.73-9196.81-26852.930.880.78-0.018-1048.72
7-12802.87179852.946965.2514823.01-9436.27-23360.50.740.83-0.015-753.11
8-24119.711771041.189819.5716666.67-9285.67-23595.691.060.74-0.025-1418.81
93747.77178947.0611633.7821032.91-9924.72-24609.691.171.040.0035220.46
1018991.49178947.0612979.3721889.22-9427.05-19362.631.381.220.0181117.15
Although, strategy looks good but profit factor on day 4 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
atrnil26.2141042.721981142.1115334.3719358.15-7421.11-9010.242.071.50.0382160.14
atrnil313.58536.281851327.7821674.8429037.23-7679.84-9010.242.821.090.0072474.24
atrtrail34.94590.62181338.111252.6423201.8-6571.58-9010.241.711.050.0045218.6
atrtrail24.522900.542181338.111041.3819358.15-6571.58-9010.241.681.030.003138.12
200nil32.071654.972772025.939191.111818.58-3134.14-3978.322.931.030.002361.3
200trail32.07-1949.842772025.938372.9511818.58-3028.02-3978.322.770.97-0.0028-72.22
atrtrail-15.33-21065.152181338.18045.6715576.56-6571.58-9010.241.220.75-0.027-1003.1
200trail-12.63-16594.572772025.936185.0114460.91-2994.48-3978.322.070.72-0.028-614.61
200trail21.67-17668.662772025.936127.47879.06-3028.02-3978.322.020.71-0.032-654.39
200nil21.67-19790.932772025.936127.47879.06-3134.14-3978.321.960.68-0.036-733

In the table above, row 1 shows the best exit criterion. Profit factor is 1.5. 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 42.11%, which is not acceptable. Avoid this strategy. Average return per trade is 1.08%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.038, 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:1.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018124 May 2018 (-3.58%)
2017131 Jan 2017 (-2.26%)
2016213 Jan 2016 (7.29%), 04 Nov 2016 (7.81%)
2014114 Jul 2014 (-4.1%)
2013201 Aug 2013 (8.96%), 19 Nov 2013 (-3.95%)
2010213 Dec 2010 (-3.94%), 22 Dec 2010 (6.78%)
2009113 Apr 2009 (-4.16%)
2007129 Aug 2007 (-3.95%)
2006125 Aug 2006 (9.68%)
2003113 Jan 2003 (-3.5%)
2002226 Nov 2002 (-2.83%), 18 Dec 2002 (8.44%)
2001205 Dec 2001 (-4.03%), 07 Dec 2001 (-4.51%)
1996216 Feb 1996 (7.3%), 23 Jul 1996 (5.07%)



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