Study: Sell TATAGLOBAL when RSI is above 50 and there is Bearish Crossover in MACD

home > technical-strategy > tataglobal > 63

In this study, we evaluate the performance of strategy "Sell TATAGLOBAL when RSI is above 50 and there is Bearish Crossover in MACD" 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
188176.1793553859.143462.6312340.05-2691.28-10080.081.291.860.047948.13
267547.1993484551.615906.5936107.94-4799.31-23920.831.231.310.019726.31
376422.6293514254.846519.4638844.55-6096.91-23630.781.071.30.019821.75
440379.6193464749.467237.9530955.3-6224.81-24691.361.161.140.0097434.19
510097293484551.618266.4326468.01-6573.69-18518.731.261.340.0231085.73
6147795924646509929.7131291.1-6716.77-18582.321.481.480.0311606.47
711069992484452.179085.3333301.98-7395.38-29499.471.231.340.0221203.25
848070.4492454748.919908.9135183.44-8464.48-32481.361.171.120.0091522.5
987171.1992474551.0910294.1731429.56-8814.55-34291.81.171.220.016947.51
106667.2892425045.6511220.3726716.84-9291.76-55058.571.211.010.001172.47

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.86. 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 59.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, 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.

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
nilnil-1188176.1793553859.143462.6312340.05-2691.28-10080.081.291.860.047948.13
atrtrail23.89-9337.33113407335.49254.9121168.42-5199.09-11849.161.780.98-0.002-82.63
atrtrail34.34-34381.16113397434.518962.0230036.31-5187.84-11849.161.730.91-0.0072-304.26
atrnil25.7-83872.48113338029.214524.2722623.69-7039.67-13171.752.060.85-0.015-742.23
atrtrail-14.81-72969.28113387533.638228.0732749.53-5141.81-11849.161.60.81-0.016-645.75
atrnil38.63-128202113239020.3521998.5233935.53-7046.32-13171.753.120.8-0.019-1134.53

In the table above, row 1 shows the best exit criterion. Profit factor is 1.86. 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 59.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, 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, X=1, Profit Factor:1.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019522 Apr 2019 (-0.12%), 14 Jun 2019 (0.55%), 05 Jul 2019 (1.14%), 21 Aug 2019 (1.05%), 09 Oct 2019 (1.22%)
2018110 May 2018 (-0.79%)
2017616 Feb 2017 (-0.04%), 10 Apr 2017 (-1.62%), 05 May 2017 (-0.2%), 26 Jul 2017 (2.21%), 21 Sep 2017 (5.21%), 05 Dec 2017 (1.79%)
2016608 Jan 2016 (1.77%), 07 Apr 2016 (0.84%), 28 Apr 2016 (0.21%), 27 Jun 2016 (-1.51%), 14 Jul 2016 (-0.0%), 11 Aug 2016 (0.25%)
2015229 Oct 2015 (1.8%), 10 Dec 2015 (1.55%)
2014410 Jan 2014 (1.96%), 28 Apr 2014 (1.01%), 19 Jun 2014 (0.34%), 04 Jul 2014 (0.48%)
2013215 May 2013 (2.75%), 06 Nov 2013 (1.96%)
2012719 Jan 2012 (1.33%), 22 Feb 2012 (-2.39%), 12 Jul 2012 (1.04%), 22 Aug 2012 (0.61%), 13 Sep 2012 (0.19%), 23 Oct 2012 (1.34%), 21 Nov 2012 (0.56%)
2011319 Apr 2011 (-0.34%), 22 Jul 2011 (-2.53%), 08 Aug 2011 (3.34%)
2010619 Jan 2010 (1.28%), 05 May 2010 (0.16%), 25 May 2010 (2.52%), 07 Jul 2010 (-0.04%), 17 Sep 2010 (-1.55%), 19 Oct 2010 (0.31%)
2009406 May 2009 (-1.18%), 16 Jun 2009 (2.79%), 19 Aug 2009 (0.46%), 18 Dec 2009 (-0.37%)
2008314 Mar 2008 (5.52%), 24 Apr 2008 (-0.7%), 12 May 2008 (-2.13%)
2007305 Jun 2007 (4.71%), 26 Sep 2007 (-1.37%), 15 Oct 2007 (-1.91%)
2006118 Aug 2006 (-0.11%)
2005424 Feb 2005 (1.09%), 14 Jun 2005 (-0.11%), 14 Jul 2005 (-1.24%), 22 Dec 2005 (-0.51%)
2004519 Jan 2004 (6.17%), 24 Feb 2004 (2.49%), 28 Jul 2004 (-2.95%), 27 Sep 2004 (2.59%), 30 Dec 2004 (-2.04%)
2003611 Mar 2003 (1.14%), 10 Apr 2003 (0.52%), 28 Apr 2003 (0.84%), 05 Jun 2003 (-0.18%), 17 Sep 2003 (5.45%), 21 Oct 2003 (-0.29%)
2002313 Mar 2002 (0.48%), 04 Jul 2002 (0.39%), 16 Dec 2002 (1.93%)
2001324 Jan 2001 (2.13%), 07 Jun 2001 (-1.2%), 29 Nov 2001 (0.2%)
2000119 Dec 2000 (-5.04%)
1999518 Jan 1999 (4.08%), 24 Feb 1999 (2.08%), 22 Mar 1999 (-2.47%), 09 Sep 1999 (-1.49%), 05 Oct 1999 (-4.51%)
1998409 Jan 1998 (4.16%), 06 Mar 1998 (-1.69%), 15 Apr 1998 (1.52%), 20 Nov 1998 (0.69%)
1997524 Jan 1997 (-3.36%), 20 Mar 1997 (-0.04%), 30 Jun 1997 (-2.46%), 19 Aug 1997 (-1.89%), 16 Sep 1997 (0.81%)
1996329 Feb 1996 (-0.46%), 26 Apr 1996 (0.38%), 01 Jul 1996 (1.85%)
1995126 Oct 1995 (-0.31%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play