Study: Buy TATAPOWER when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA

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In this study, we evaluate the performance of strategy "Buy TATAPOWER when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy TATAPOWER 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
13107.9443212248.843266.969382.72-2977.19-16009.421.11.050.003472.28
214592.8343222151.163858.2210493.83-3347.05-10526.321.151.210.016339.37
3-699.7343182541.865774.9520280.61-4185.95-17186.581.380.99-0.0005-16.27
4-46278.0343212248.845087.2211826.09-6959.53-26183.840.730.7-0.027-1076.23
5-40397.7243212248.845229.1314437.69-6827.7-31547.970.770.73-0.022-939.48
6-41197.0643212248.844606.2811854.1-6269.5-19894.060.730.7-0.028-958.07
7-52601.9343182541.865941.914848.61-6382.24-25779.870.930.67-0.031-1223.3
8-10167443152834.886028.7111398.18-6860.88-24249.560.880.47-0.061-2364.51
9-14974143133030.235758.8518844.98-7486.86-20821.730.770.33-0.086-3482.34
10-60329.6843172639.535764.9715045.59-6089.78-13480.060.950.62-0.04-1403.02
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
atrnil26.47-1506.8545143131.1113879.9623143.08-6316.98-12047.522.20.99-0.00069-33.49
atrnil38.2-12314.9745103522.2221050.3334714.62-6366.24-12047.523.310.94-0.0046-273.67
200trail32.49-29136.0255124321.827399.4611992.35-2742.55-3936.922.70.75-0.024-529.75
atrtrail24.88-44826.8949143528.579252.7520563.95-4981.87-12047.521.860.74-0.025-914.83
atrtrail35.2-52946.0249143528.578672.8219030.45-4981.87-12047.521.740.7-0.031-1080.53
200trail22.19-37676.7259154425.425681.787994.9-2793.26-3936.922.030.69-0.034-638.59
200nil32.65-45021.0354104418.528708.211992.35-3002.34-3936.922.90.66-0.036-833.72
200nil22.31-46466.9258144424.146020.097994.9-2971.55-3936.922.030.64-0.041-801.15
atrtrail-15.67-69663.8949143528.577478.6817828.62-4981.87-12047.521.50.6-0.044-1421.71
200trail-13.18-61892.44551144205104.5111722.48-2682.77-3936.921.90.48-0.064-1125.32

In the table above, row 1 shows the best exit criterion. Profit factor is 0.99. 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 31.11%, which is not acceptable. Avoid this strategy. Average return per trade is -0.017%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAPOWER Performance, Profit Factor:0.992

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019212 Mar 2019 (-3.3%), 11 Apr 2019 (-3.34%)
2018209 Apr 2018 (5.1%), 14 Nov 2018 (-4.33%)
2017312 Sep 2017 (4.38%), 25 Sep 2017 (-2.64%), 10 Oct 2017 (4.78%)
2016108 Apr 2016 (7.34%)
2014424 Feb 2014 (-3.32%), 11 Mar 2014 (-3.35%), 25 Mar 2014 (6.16%), 26 Nov 2014 (-3.0%)
2013215 Mar 2013 (-2.49%), 24 Dec 2013 (-3.66%)
2012601 Feb 2012 (-3.51%), 11 Jul 2012 (-3.1%), 01 Aug 2012 (-3.29%), 10 Aug 2012 (-3.05%), 21 Aug 2012 (-3.24%), 30 Aug 2012 (-3.05%)
2011401 Apr 2011 (-2.78%), 26 Apr 2011 (-2.4%), 30 Jun 2011 (-2.48%), 22 Jul 2011 (-2.38%)
2010428 Jun 2010 (-2.63%), 15 Jul 2010 (-2.03%), 04 Aug 2010 (-1.62%), 24 Sep 2010 (3.84%)
2009120 Apr 2009 (10.47%)
2006131 Jul 2006 (10.28%)
2004211 Oct 2004 (-2.88%), 04 Nov 2004 (6.34%)
2003114 Jan 2003 (4.79%)
2002217 May 2002 (-2.8%), 26 Dec 2002 (-2.53%)
2000205 Jan 2000 (8.32%), 08 Feb 2000 (11.57%)
1999121 May 1999 (-6.02%)
1998230 Mar 1998 (7.41%), 14 Dec 1998 (-3.29%)
1997303 Mar 1997 (-4.28%), 21 Mar 1997 (-4.07%), 29 Apr 1997 (-3.63%)
1996109 Jan 1996 (6.36%)
1995121 Dec 1995 (-3.44%)



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