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

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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
1-60309.8174344045.953228.787811.53-4252.21-16634.980.760.65-0.033-815
2-72635.65743737504367.113937.87-6330.22-27567.770.690.69-0.026-981.56
3-11802374314341.895751.3819213.08-6891.06-28331.420.830.6-0.037-1594.9
4-15262774324243.246520.9916960.54-8602.35-28606.970.760.58-0.042-2062.53
5-18033374353947.38407.1234722.22-12168.77-46890.550.690.62-0.036-2436.93
6-16449574334144.598693.3628771.99-11009.18-45981.830.790.64-0.033-2222.91
7-18277674324243.249253.5629623.79-11402.13-43885.390.810.62-0.037-2469.94
8-14900374334144.599431.4330672.77-11225.37-40531.10.840.68-0.03-2013.56
9-10798174344045.9510346.8135688.93-11494.31-37642.590.90.77-0.02-1459.2
10-15286274363848.659838.2733796.04-13343.14-42775.670.740.7-0.028-2065.7
Although, strategy looks good but profit factor on day 4 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
atrnil37.72-44337.6674185624.3220650.2839356.09-7429.33-15682.32.780.89-0.0095-599.16
atrtrail-15.13-62898.4386266030.2311332.1858876.16-5958.92-15682.31.90.82-0.014-731.38
50trail21.9-45654.31103287527.186222.877986.79-2931.93-3960.172.120.79-0.021-443.25
50nil22.07-50600.82101277426.736459.137986.79-3040.5-3977.132.120.78-0.023-501
atrnil25.63-10059178235529.4913497.7126237.39-7473.42-15682.31.810.76-0.026-1289.63
atrtrail34.5-89602.2686266030.2310305.1129023.72-5958.92-15682.31.730.75-0.023-1041.89
50trail32.25-61786.7103228121.36757511980.19-2820.21-3960.172.690.73-0.026-599.87
50nil32.76-77506.895177817.899500.2111980.19-3064.24-3977.133.10.68-0.033-815.86
50trail-12.74-76759.04103228121.366894.4430851.49-2820.21-3960.172.440.66-0.029-745.23
atrtrail24.01-13084587266129.898986.0726237.39-5975.13-15682.31.50.64-0.038-1503.96

In the table above, row 1 shows the best exit criterion. Profit factor is 0.89. 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 24.32%, which is not acceptable. Avoid this strategy. Average return per trade is -0.3%, 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:0.893

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020110 Feb 2020 (9.05%)
2019806 Mar 2019 (-3.38%), 29 May 2019 (-3.46%), 10 Jul 2019 (-3.4%), 18 Jul 2019 (10.14%), 11 Sep 2019 (-4.39%), 22 Oct 2019 (-3.72%), 24 Oct 2019 (11.75%), 27 Dec 2019 (-2.76%)
2018403 Apr 2018 (-2.55%), 09 May 2018 (8.49%), 30 Jul 2018 (-3.09%), 26 Dec 2018 (11.62%)
2017218 Aug 2017 (-2.35%), 22 Sep 2017 (-2.69%)
2016207 Jan 2016 (-2.64%), 13 Jan 2016 (9.14%)
2015625 Feb 2015 (-3.82%), 20 May 2015 (9.22%), 22 Jun 2015 (9.77%), 28 Sep 2015 (-3.95%), 18 Nov 2015 (-3.02%), 24 Dec 2015 (-2.33%)
2014326 Feb 2014 (-3.52%), 29 Apr 2014 (-3.27%), 21 Oct 2014 (-3.02%)
2013414 Mar 2013 (7.69%), 01 Jul 2013 (-3.18%), 30 Jul 2013 (-3.14%), 12 Nov 2013 (-3.34%)
2012505 Jan 2012 (-4.4%), 26 Jun 2012 (-3.58%), 17 Aug 2012 (-3.31%), 24 Aug 2012 (-3.06%), 09 Nov 2012 (-2.97%)
2011619 Jan 2011 (8.77%), 22 Mar 2011 (-2.92%), 04 Aug 2011 (7.37%), 26 Oct 2011 (-3.24%), 31 Oct 2011 (-3.44%), 07 Dec 2011 (11.5%)
2010119 Aug 2010 (5.6%)
2009117 Feb 2009 (14.51%)
2008131 Jul 2008 (19.68%)
2007118 Apr 2007 (-4.01%)
2006117 Jul 2006 (-5.02%)
2004219 Jul 2004 (-5.25%), 20 Aug 2004 (-3.85%)
2002407 Feb 2002 (-3.9%), 01 Mar 2002 (-4.56%), 11 Oct 2002 (-2.21%), 13 Nov 2002 (-2.06%)
2001231 Oct 2001 (-4.66%), 31 Dec 2001 (-4.76%)
2000321 Jan 2000 (-4.84%), 04 Feb 2000 (-6.14%), 21 Feb 2000 (-5.44%)
1999707 Apr 1999 (15.34%), 28 May 1999 (-7.84%), 30 Jul 1999 (-4.41%), 08 Dec 1999 (-3.96%), 15 Dec 1999 (-4.05%), 20 Dec 1999 (-3.94%), 24 Dec 1999 (-4.03%)
1998529 Jan 1998 (-3.37%), 28 Aug 1998 (-2.3%), 05 Oct 1998 (7.81%), 26 Oct 1998 (8.4%), 12 Nov 1998 (-3.96%)
1997426 Feb 1997 (-4.0%), 11 Mar 1997 (-4.53%), 23 Apr 1997 (-3.98%), 19 Dec 1997 (-3.08%)
1996116 Dec 1996 (-3.93%)



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