Study: Buy TATAGLOBAL when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy TATAGLOBAL when 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
1-61182.57502228442473.612436.79-4128.63-15995.780.60.47-0.049-1223.65
2-46846.55502624523395.99315.87-5630.83-25780.310.60.65-0.03-936.93
3-40050.93502327465071.9120542.87-5803.89-16446.580.870.74-0.023-801.02
47215.23502525507433.6739173.35-7145.06-27759.641.041.040.0029144.3
5-33757.1502525507945.2135163.48-9295.49-49304.80.850.85-0.011-675.14
618258.36502921588733.6239851.94-11191.27-35956.960.781.080.0057365.17
727746.47502624529331.2442011.1-8952.75-24157.11.041.130.0092554.93
892651.165028225610259.6834238.12-8846.35-26602.451.161.480.031853.02
9140727503317669566.6742504.63-10292.56-20437.960.931.80.0452814.53
101654335032186410751.8439666.87-9923.64-24231.21.081.930.0523308.67
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
atrnil38.515534370234732.8622805.4840334.11-7854.96-13552.232.91.420.032219.19
atrnil25.2611651174304440.5415487.0326889.41-7911.36-13552.231.961.330.0271574.47
atrtrail-16.2571478.1480275333.7514470.9344537.9-6023.34-13552.232.41.220.015893.48
atrtrail3565248.928028523513710.0540334.11-6127.55-13552.232.241.20.015815.61
atrtrail23.9660774.2780305037.512286.7426889.41-6156.56-13552.2321.20.016759.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.42. 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 32.86%, which is not acceptable. Avoid this strategy. Average return per trade is 1.11%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.03, 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:1.42

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019119 Jul 2019 (9.1%)
2018531 Jan 2018 (-3.17%), 02 Feb 2018 (-4.01%), 19 Mar 2018 (-3.63%), 23 Mar 2018 (10.34%), 14 May 2018 (-3.74%)
2017518 May 2017 (-2.36%), 23 May 2017 (-2.61%), 24 May 2017 (8.32%), 09 Aug 2017 (-3.09%), 10 Aug 2017 (10.37%)
2016212 Sep 2016 (7.26%), 02 Nov 2016 (-3.58%)
2014208 Jul 2014 (-3.62%), 09 Jul 2014 (-3.76%)
2013517 Jan 2013 (-2.79%), 22 Jan 2013 (-2.86%), 24 Jan 2013 (9.5%), 05 Feb 2013 (-3.88%), 12 Nov 2013 (-3.4%)
2012319 Mar 2012 (14.73%), 14 May 2012 (14.15%), 27 Dec 2012 (-2.83%)
2010427 Jan 2010 (-3.64%), 28 Jan 2010 (-3.86%), 16 Aug 2010 (9.27%), 18 Nov 2010 (-3.87%)
2009301 Oct 2009 (-2.81%), 06 Oct 2009 (9.01%), 26 Oct 2009 (-3.33%)
2008215 Jan 2008 (-5.74%), 27 May 2008 (-4.68%)
2007218 Jun 2007 (-4.94%), 23 Jul 2007 (-3.84%)
2006302 Feb 2006 (8.73%), 16 Mar 2006 (-3.46%), 13 Apr 2006 (-3.47%)
2005715 Mar 2005 (-3.0%), 23 Mar 2005 (9.28%), 10 Oct 2005 (-2.53%), 14 Oct 2005 (-2.73%), 17 Oct 2005 (-3.0%), 19 Oct 2005 (-3.39%), 27 Oct 2005 (12.92%)
2004616 Mar 2004 (-5.55%), 22 Mar 2004 (15.7%), 13 May 2004 (-5.83%), 14 May 2004 (-6.78%), 20 Aug 2004 (9.19%), 25 Oct 2004 (7.75%)
2003326 Jun 2003 (-3.7%), 15 Jul 2003 (-3.26%), 22 Jul 2003 (12.61%)
2002426 Mar 2002 (-3.62%), 25 Apr 2002 (7.79%), 15 Jul 2002 (-4.64%), 24 Jul 2002 (-4.03%)
2000125 Jan 2000 (-5.4%)
1999706 Apr 1999 (-5.06%), 13 Apr 1999 (-4.87%), 15 Apr 1999 (-5.54%), 26 Apr 1999 (20.17%), 29 Jun 1999 (14.3%), 29 Oct 1999 (-5.28%), 01 Nov 1999 (17.82%)
1998128 Jan 1998 (10.5%)
1997401 Sep 1997 (-4.74%), 01 Oct 1997 (-3.97%), 28 Oct 1997 (-4.71%), 19 Nov 1997 (13.45%)



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