Study: Sell TATAPOWER when below 200 SMA and near 50 SMA and below 50 SMA

home > technical-strategy > tatapower > 17

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. 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
1-56603.7472343847.223228.787811.53-4378.48-16634.980.740.66-0.032-786.16
2-74545.88723636504395.7313937.87-6466.45-27567.770.680.68-0.028-1035.36
3-11847072304241.675749.9419213.08-6927.81-28331.420.830.59-0.038-1645.42
4-15691672314143.066374.4916960.54-8646.96-28606.970.740.56-0.046-2179.39
5-20480371333846.487996.8834722.22-12334.21-46890.550.650.56-0.044-2884.55
6-19390471314043.668230.7928771.99-11226.47-45981.830.730.57-0.042-2731.05
7-21459771304142.258750.3229623.79-11636.76-43885.390.750.55-0.047-3022.5
8-18304271314043.668924.6330672.77-11492.64-40531.10.780.6-0.039-2578.06
9-13460871323945.079971.9935688.93-11633.63-37642.590.860.7-0.027-1895.89
10-17322971343747.899519.1133796.04-13429.16-42775.670.710.65-0.034-2439.85
Although, strategy looks good but profit factor on day 7 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
50trail21.9-39191.92101287327.726222.877986.79-2923.73-3960.172.130.82-0.019-388.04
atrnil37.48-80419.3571165522.5420631.0839356.09-7463.94-15682.32.760.8-0.019-1132.67
50nil22.07-44138.4399277227.276459.137986.79-3035.21-3977.132.130.8-0.021-445.84
50trail32.26-55324.3101227921.78757511980.19-2809.8-3960.172.70.75-0.024-547.77
atrnil25.67-10713376225428.9513562.7126237.39-7509.48-15682.31.810.74-0.029-1409.64
atrtrail34.51-10217884255929.769993.2429023.72-5966.25-15682.31.670.71-0.028-1216.4
50nil32.77-71044.493177618.289500.2111980.19-3059.84-3977.133.10.69-0.031-763.92
50trail-12.75-70296.64101227921.786894.4430851.49-2809.8-3960.172.450.68-0.028-696.01
atrtrail-14.96-11624884255929.769430.4229934.34-5966.25-15682.31.580.67-0.032-1383.91
atrtrail24.01-13738685256029.418862.826237.39-5982.61-15682.31.480.62-0.041-1616.31

In the table above, row 1 shows the best exit criterion. Profit factor is 0.82. 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 27.72%, which is not acceptable. Avoid this strategy. Average return per trade is -0.19%, 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:0.816

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191206 Mar 2019 (-1.29%), 29 May 2019 (-1.42%), 03 Jun 2019 (3.01%), 25 Jun 2019 (-1.51%), 10 Jul 2019 (-1.4%), 18 Jul 2019 (-1.75%), 11 Sep 2019 (-1.68%), 22 Oct 2019 (-1.23%), 24 Oct 2019 (2.84%), 31 Oct 2019 (-1.39%), 01 Nov 2019 (-1.16%), 08 Nov 2019 (-1.86%)
2018403 Apr 2018 (-1.34%), 09 May 2018 (3.01%), 30 Jul 2018 (3.71%), 26 Dec 2018 (-1.07%)
2017318 Aug 2017 (3.81%), 11 Sep 2017 (-1.13%), 22 Sep 2017 (-1.73%)
2016207 Jan 2016 (-1.28%), 13 Jan 2016 (3.91%)
20151225 Feb 2015 (-1.42%), 20 May 2015 (3.67%), 01 Jun 2015 (3.58%), 22 Jun 2015 (-1.27%), 30 Jun 2015 (-1.34%), 07 Jul 2015 (2.74%), 14 Jul 2015 (-1.86%), 28 Sep 2015 (2.5%), 30 Sep 2015 (-1.5%), 18 Nov 2015 (-1.89%), 20 Nov 2015 (-1.18%), 24 Dec 2015 (-1.8%)
2014426 Feb 2014 (-1.42%), 06 Mar 2014 (-1.38%), 29 Apr 2014 (2.99%), 21 Oct 2014 (-1.24%)
2013714 Mar 2013 (-1.85%), 16 Apr 2013 (3.67%), 01 Jul 2013 (3.3%), 30 Jul 2013 (-1.66%), 12 Nov 2013 (-1.19%), 20 Nov 2013 (0.84%), 02 Dec 2013 (-1.89%)
2012805 Jan 2012 (3.65%), 09 Jan 2012 (-1.72%), 26 Jun 2012 (-1.42%), 17 Aug 2012 (-1.83%), 24 Aug 2012 (-1.07%), 28 Aug 2012 (-1.56%), 14 Sep 2012 (-1.56%), 09 Nov 2012 (3.55%)
2011619 Jan 2011 (3.99%), 22 Mar 2011 (-1.85%), 04 Aug 2011 (2.24%), 26 Oct 2011 (-1.09%), 31 Oct 2011 (-1.36%), 07 Dec 2011 (3.53%)
2010119 Aug 2010 (3.93%)
2009217 Feb 2009 (-1.39%), 19 Feb 2009 (2.2%)
2008231 Jul 2008 (2.74%), 29 Aug 2008 (-0.63%)
2007118 Apr 2007 (3.57%)
2006317 Jul 2006 (-1.18%), 19 Jul 2006 (-1.09%), 24 Jul 2006 (-1.41%)
2004219 Jul 2004 (-1.95%), 20 Aug 2004 (-1.26%)
2002407 Feb 2002 (-1.02%), 01 Mar 2002 (-1.16%), 11 Oct 2002 (-1.86%), 13 Nov 2002 (-1.73%)
2001231 Oct 2001 (-1.75%), 31 Dec 2001 (-1.67%)
2000321 Jan 2000 (-1.61%), 04 Feb 2000 (-1.69%), 21 Feb 2000 (-1.2%)
1999907 Apr 1999 (-1.2%), 28 May 1999 (-1.39%), 30 Jul 1999 (3.34%), 16 Aug 1999 (-1.64%), 08 Dec 1999 (-1.25%), 15 Dec 1999 (-1.89%), 20 Dec 1999 (2.62%), 24 Dec 1999 (-0.93%), 30 Dec 1999 (-1.82%)
1998829 Jan 1998 (-1.48%), 28 Aug 1998 (-1.34%), 05 Oct 1998 (-1.17%), 26 Oct 1998 (2.58%), 12 Nov 1998 (-1.15%), 17 Nov 1998 (-1.95%), 21 Nov 1998 (2.02%), 24 Nov 1998 (3.58%)
1997426 Feb 1997 (-1.54%), 11 Mar 1997 (-1.6%), 23 Apr 1997 (-1.26%), 19 Dec 1997 (-1.98%)
1996216 Dec 1996 (-1.8%), 19 Dec 1996 (-1.13%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play