Study: Sell TATAPOWER when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50 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 RSI is below 50 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
1-53561.841046401291.362337.23-9787.88-14051.160.130.088-0.17-5356.18
2-69273.05102820789.8956.94-8856.58-27567.770.0890.022-0.17-6927.3
3-57586.591037302476.33860.52-9287.93-28331.420.270.11-0.13-5758.66
4-59080.111055502350.542893.71-14166.56-21000.380.170.17-0.12-5908.01
5-97188.831055503496.994822.91-22934.76-32564.640.150.15-0.14-9718.88
6-75145.011055507693.5313865.86-22722.53-45981.830.340.34-0.086-7514.5
7-65112.141055508476.0414167.29-21498.47-43885.390.390.39-0.076-6511.21
8-42557.711064606457.4811240.96-20325.65-40531.10.320.48-0.055-4255.77
9-36039.121055507687.713865.86-14895.52-35779.180.520.52-0.05-3603.91
10-37789.971064607871.0815674.45-21254.11-36090.230.370.56-0.047-3779
Although, strategy looks good but profit factor on day 2 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
50trail31.92-14611.081321115.387751.3511716.89-2737.62-3380.952.830.51-0.055-1123.93
50trail21.77-14691.061321115.387711.367811.26-2737.62-3380.952.820.51-0.06-1130.08
50nil21.85-16750.041321115.387711.367811.26-2924.8-3380.952.640.48-0.068-1288.46
atrnil35.85-65576.781321115.3816950.9118289.1-9043.51-15682.31.870.34-0.1-5044.37
50nil32.69-24261.59131127.6911716.8911716.89-2998.21-3805.733.910.33-0.096-1866.28
50trail-12.08-21410.161321115.384351.814917.81-2737.62-3380.951.590.29-0.13-1646.94
atrnil24.69-76877.381321115.3811300.612192.74-9043.51-15682.31.250.23-0.15-5913.64
atrtrail22.92-75586.171321115.386839.5812192.74-8115.03-15682.30.840.15-0.17-5814.32
atrtrail33.08-82130.811321115.383567.265648.09-8115.03-15682.30.440.08-0.22-6317.75
atrtrail-13.08-82130.811321115.383567.265648.09-8115.03-15682.30.440.08-0.22-6317.75

In the table above, row 1 shows the best exit criterion. Profit factor is 0.51. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAPOWER Performance, Profit Factor:0.515

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017118 Aug 2017 (1.89%)
2016207 Jan 2016 (-1.28%), 13 Jan 2016 (5.86%)
2002101 Mar 2002 (-1.16%)
2000321 Jan 2000 (-1.61%), 04 Feb 2000 (-1.69%), 21 Feb 2000 (-1.2%)
1999228 May 1999 (-1.39%), 24 Dec 1999 (-0.93%)
1998229 Jan 1998 (-1.48%), 05 Oct 1998 (-1.17%)
1997226 Feb 1997 (-1.54%), 11 Mar 1997 (-1.6%)



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