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

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In this study, we evaluate the performance of strategy "Buy TATAGLOBAL when near 200 SMA and above 200 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
132910.0464362856.252872.7410397.78-2518.17-11044.681.141.470.029514.22
281984.4164362856.254710.6223579.75-3128.5-9330.371.511.940.0471281.01
351755.0264382659.384817.4522921.47-5050.31-19681.250.951.390.024808.67
459938.664412364.065391.1122770.17-7004.21-21436.580.771.370.023936.54
576139.5164343053.128469.7930952.88-7061.12-25654.611.21.360.0221189.68
611355864333151.5610369.9545863.87-7375.84-35177.281.411.50.0281774.34
712018564372757.819449.5345783.87-8498.06-29754.691.111.520.0291877.89
882367.5164352954.6910384.4443713.85-9692.68-35812.891.071.290.0191286.99
916309164352954.6911599.4846053.58-8375.53-32376.61.381.670.0362548.3
1020925764362856.2513243.2752420.09-9553.6-34521.81.391.780.0413269.64
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
atrnil26.8517183065303546.1514399.7322898.67-7433.19-15499.491.941.660.0472643.54
atrnil310.0514210259194032.222977.0734348-7361.56-15499.493.121.480.0332408.51
atrtrail24.4976057.3479324740.519748.0820871.18-5018.75-15888.661.941.320.023962.75
200trail21.8755920.07107416638.325717.497952.61-2704.5-3989.62.111.310.025522.62
200nil21.9252990.49106426439.625754.997952.61-2948.74-3989.61.951.280.023499.91
200trail32.3438202.17101307129.77379.3811928.92-2579.99-3989.62.861.210.016378.24
atrtrail35.128702.9179324740.518268.2531306.77-5018.75-15888.661.651.120.0084363.33
200nil32.5621043.6798277127.558642.4211928.92-2990.17-3989.62.891.10.0082214.73
atrtrail-15.548573.9379324740.517639.2236071.64-5018.75-15888.661.521.040.0026108.53
200trail-13.05-29033.71002872285516.9424083.83-2548.72-3989.62.160.84-0.013-290.34

In the table above, row 1 shows the best exit criterion. Profit factor is 1.66. 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 46.15%, which is not acceptable. Avoid this strategy. Average return per trade is 1.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.047, 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:1.66

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018325 May 2018 (6.96%), 25 Jun 2018 (6.29%), 11 Jul 2018 (-3.23%)
2017319 Jan 2017 (-2.27%), 30 Jan 2017 (-2.2%), 01 Feb 2017 (4.53%)
2016216 Jun 2016 (-2.53%), 27 Jun 2016 (5.49%)
2015412 Jan 2015 (4.83%), 13 Feb 2015 (-2.76%), 02 Mar 2015 (-2.61%), 17 Apr 2015 (-2.67%)
2014816 Jan 2014 (-2.75%), 30 Apr 2014 (-2.72%), 30 May 2014 (6.34%), 25 Jul 2014 (6.71%), 20 Oct 2014 (5.93%), 13 Nov 2014 (4.83%), 25 Nov 2014 (5.02%), 10 Dec 2014 (-2.59%)
2013714 Feb 2013 (7.0%), 29 Apr 2013 (5.9%), 17 May 2013 (-3.07%), 03 Jun 2013 (-3.23%), 08 Jul 2013 (6.76%), 05 Sep 2013 (7.76%), 20 Nov 2013 (7.61%)
2012203 Jan 2012 (-3.31%), 13 Jan 2012 (-3.05%)
2011125 Jul 2011 (7.47%)
2010229 Nov 2010 (-4.86%), 14 Dec 2010 (-3.74%)
2008506 Feb 2008 (-7.36%), 28 Feb 2008 (-5.62%), 03 Mar 2008 (-5.52%), 12 Mar 2008 (-5.72%), 26 Mar 2008 (11.45%)
2007227 Aug 2007 (8.16%), 30 Nov 2007 (9.27%)
2006325 Apr 2006 (-3.35%), 31 Jul 2006 (8.79%), 24 Aug 2006 (-4.93%)
2003110 Jan 2003 (-3.52%)
2002515 Feb 2002 (6.95%), 25 Apr 2002 (5.2%), 06 Jun 2002 (-2.91%), 03 Dec 2002 (-2.84%), 16 Dec 2002 (-4.28%)
2001409 Jan 2001 (8.43%), 29 Jan 2001 (10.44%), 23 May 2001 (7.82%), 01 Jun 2001 (-4.19%)
2000227 Jan 2000 (-5.31%), 24 Feb 2000 (-7.75%)
1999201 Jul 1999 (9.14%), 27 Jul 1999 (8.94%)
1998213 Apr 1998 (5.6%), 27 Apr 1998 (-2.86%)
1997325 Mar 1997 (-3.6%), 08 May 1997 (7.42%), 19 Nov 1997 (8.97%)
1996412 Feb 1996 (-3.46%), 12 Apr 1996 (-4.01%), 03 Jul 1996 (-2.42%), 17 Jul 1996 (-2.84%)



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