Study: Sell TATAPOWER when below 200 SMA and near 50 SMA and below 50 SMA and ADX is Trending

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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 and ADX is Trending" 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
1-67772.4328101835.712675.825911.88-5251.7-14051.160.510.28-0.095-2420.44
2-42858.9228111739.295556.8213761.99-6116.7-27567.770.910.59-0.038-1530.68
3-33218.4528111739.296788.7319213.08-6346.74-28331.421.070.69-0.027-1186.37
4-74302.328121642.865953.0815022.99-9108.71-21000.380.650.49-0.058-2653.65
5-10599128121642.868556.0222687.79-13041.43-32564.640.660.49-0.057-3785.38
6-87325.1828131546.438887.1117624.09-13523.84-45981.830.660.57-0.045-3118.76
7-91959.84281414508571.3418599.9-15139.9-43885.390.570.57-0.047-3284.28
8-63173.5828151353.577688.4123300.97-13730.75-40531.10.560.65-0.035-2256.2
9-88334.6628131546.438780.0334440.47-13498.34-35779.180.650.56-0.044-3154.81
10-76596.4528131546.439768.3722381.2-13572.35-25856.040.720.62-0.04-2735.59
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
50trail21.69-3379.5536112530.566581.157811.26-3030.89-3960.172.170.96-0.0043-93.88
50nil21.72-5438.5336112530.566581.157811.26-3113.25-3960.172.110.93-0.0068-151.07
50trail31.94-16029.73682822.228307.8911716.89-2946.17-3960.172.820.81-0.018-445.27
50nil32.28-19221.73672919.4410157.7611716.89-3114.69-3960.173.260.79-0.02-533.94
50trail-12.42-30878.83682822.226451.7613482.88-2946.17-3960.172.190.63-0.04-857.74
atrnil24.06-73895.973392427.2712294.1315336.47-7689.3-15682.31.60.6-0.049-2239.27
atrnil36.42-96492.623362718.1817921.7623004.71-7556.41-15682.32.370.53-0.059-2924.02
atrtrail23.15-81717.733392427.279037.9415336.47-6794.13-15682.31.330.5-0.063-2476.29
atrtrail33.58-83529.883392427.278836.5923004.71-6794.13-15682.31.30.49-0.062-2531.21
atrtrail-13.73-97660.493392427.277266.5313829.62-6794.13-15682.31.070.4-0.083-2959.41

In the table above, row 1 shows the best exit criterion. Profit factor is 0.96. 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 30.56%, which is not acceptable. Avoid this strategy. Average return per trade is -0.047%, 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:0.955

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019406 Mar 2019 (-1.29%), 29 May 2019 (-1.42%), 03 Jun 2019 (3.01%), 11 Sep 2019 (-1.68%)
2018203 Apr 2018 (-1.34%), 30 Jul 2018 (3.71%)
2017118 Aug 2017 (3.81%)
2016207 Jan 2016 (-1.28%), 13 Jan 2016 (3.91%)
2015420 May 2015 (3.67%), 28 Sep 2015 (2.5%), 30 Sep 2015 (-1.5%), 24 Dec 2015 (-1.8%)
2013214 Mar 2013 (-1.85%), 01 Jul 2013 (3.3%)
2012114 Sep 2012 (-1.56%)
2011107 Dec 2011 (3.53%)
2007118 Apr 2007 (3.57%)
2002301 Mar 2002 (-1.16%), 11 Oct 2002 (-1.86%), 13 Nov 2002 (-1.73%)
2000321 Jan 2000 (-1.61%), 04 Feb 2000 (-1.69%), 21 Feb 2000 (-1.2%)
1999428 May 1999 (-1.39%), 15 Dec 1999 (-1.89%), 20 Dec 1999 (2.62%), 24 Dec 1999 (-0.93%)
1998329 Jan 1998 (-1.48%), 05 Oct 1998 (-1.17%), 26 Oct 1998 (2.58%)
1997326 Feb 1997 (-1.54%), 11 Mar 1997 (-1.6%), 19 Dec 1997 (-1.98%)
1996216 Dec 1996 (-1.8%), 19 Dec 1996 (-1.13%)



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