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

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In this study, we evaluate the performance of strategy "Buy TATAPOWER when above 200 SMA and near 50 SMA and above 50 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
1-45630.86753045403599.6713844.44-3413.8-29524.61.050.7-0.024-608.41
2-49769.4375324342.674457.0615630.82-4474.31-20271.6310.74-0.023-663.59
3-10965.375344145.335313.3819223.12-4673.67-22301.871.140.94-0.0045-146.2
4-40991.13753639485829.4917764.82-6432.12-20607.250.910.84-0.014-546.55
520380.5175413454.676128.6319673.87-6790.99-25938.840.91.090.0066271.74
6-1589.59753936527297.0823181.34-7949.33-34284.880.920.99-0.00043-21.19
725790.43754530607076.4427330.16-9754.98-39616.470.731.090.0062343.87
823316.6175413454.678162.3432521.52-9157.04-27297.160.891.070.0056310.89
938949.84753936529317.8739241.9-9012.42-27093.771.031.120.009519.33
104745175373849.3311135.1137621.31-9593.37-30209.921.161.130.0096632.68
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
atrtrail-16.1310791094395541.4910466.2788196.3-5459.54-10502.971.921.360.0181147.98
atrnil39.1511281471215029.5821775.7841837.25-6889.56-12475.033.161.330.0231588.92
atrtrail35.3597832.7194405442.559949.1232712.36-5558-10502.971.791.330.0211040.77
atrnil26.6784659.2179304937.9713994.6427891.5-6840.41-12475.032.051.250.0211071.64
atrtrail24.8568337.7994405442.559211.7527891.5-5558-10502.971.661.230.017727
50nil32.6236022.36112328028.578618.3711812.86-2997.07-3968.212.881.150.012321.63
50trail32.2828079.94118368230.516930.511812.86-2700.22-3968.212.571.130.01237.97
50trail-13.2423653.15116348229.317207.9819488.73-2700.22-3968.212.671.110.0076203.91
50trail21.894210.47121408133.065800.57875.24-2812.46-3968.212.061.020.001734.8
50nil21.93-7154.02120408033.335818.047875.24-2998.45-3968.211.940.97-0.0029-59.62

In the table above, row 1 shows the best exit criterion. Profit factor is 1.36. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 41.49%, which is not acceptable. Avoid this strategy. Average return per trade is 0.57%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAPOWER Performance, Profit Factor:1.36

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018217 Jan 2018 (-3.14%), 31 Dec 2018 (-3.48%)
2017713 Apr 2017 (-1.01%), 17 May 2017 (-2.08%), 22 Jun 2017 (-2.28%), 05 Jul 2017 (-0.07%), 31 Jul 2017 (-0.94%), 17 Aug 2017 (-2.34%), 12 Sep 2017 (2.66%)
2016824 Jun 2016 (0.39%), 08 Jul 2016 (-1.31%), 12 Sep 2016 (0.49%), 27 Sep 2016 (-0.92%), 30 Sep 2016 (4.44%), 28 Oct 2016 (-2.94%), 21 Dec 2016 (-2.91%), 29 Dec 2016 (3.13%)
2014121 Jul 2014 (-3.54%)
2013411 Jan 2013 (-0.99%), 16 Jan 2013 (0.07%), 24 Jan 2013 (-2.49%), 15 Mar 2013 (-2.49%)
2012419 Apr 2012 (-3.55%), 30 Aug 2012 (-3.05%), 26 Nov 2012 (5.52%), 14 Dec 2012 (0.5%)
2011317 Jan 2011 (-2.69%), 18 Jan 2011 (-2.85%), 20 Jan 2011 (-2.93%)
2010804 Mar 2010 (0.53%), 18 Mar 2010 (0.34%), 16 Apr 2010 (-2.49%), 21 Apr 2010 (0.91%), 28 Apr 2010 (-0.5%), 12 May 2010 (-2.51%), 12 Nov 2010 (-1.4%), 29 Dec 2010 (2.11%)
2009616 Jul 2009 (11.04%), 25 Sep 2009 (-0.52%), 09 Oct 2009 (8.9%), 30 Oct 2009 (-3.62%), 13 Nov 2009 (0.98%), 24 Dec 2009 (7.46%)
2008327 Feb 2008 (-4.4%), 11 Apr 2008 (8.38%), 02 Jun 2008 (-4.96%)
2007214 Jun 2007 (6.28%), 24 Aug 2007 (44.1%)
2006826 Apr 2006 (-3.43%), 05 May 2006 (0.28%), 12 May 2006 (-3.35%), 11 Sep 2006 (-3.39%), 17 Oct 2006 (1.06%), 11 Dec 2006 (-3.65%), 14 Dec 2006 (1.67%), 26 Dec 2006 (6.63%)
2005914 Mar 2005 (-2.78%), 11 May 2005 (-1.53%), 20 Jun 2005 (1.5%), 29 Jun 2005 (4.18%), 22 Sep 2005 (7.93%), 16 Nov 2005 (-3.11%), 24 Nov 2005 (0.33%), 02 Dec 2005 (-1.5%), 23 Dec 2005 (13.81%)
2004425 Feb 2004 (-4.89%), 31 Mar 2004 (5.42%), 27 Apr 2004 (-4.15%), 07 May 2004 (-3.84%)
2003707 Mar 2003 (-2.88%), 11 Mar 2003 (-0.62%), 09 Apr 2003 (-1.57%), 29 Apr 2003 (2.15%), 08 May 2003 (9.84%), 18 Sep 2003 (-4.83%), 25 Sep 2003 (19.78%)
2002203 Jan 2002 (1.57%), 09 Jul 2002 (-3.12%)
2000603 Aug 2000 (-4.19%), 17 Aug 2000 (2.85%), 30 Aug 2000 (-0.23%), 13 Sep 2000 (-3.47%), 06 Nov 2000 (-5.0%), 14 Nov 2000 (7.1%)
1999208 Sep 1999 (1.94%), 16 Sep 1999 (-5.25%)
1997628 Apr 1997 (-2.07%), 16 May 1997 (-3.2%), 10 Jun 1997 (5.83%), 02 Jul 1997 (1.06%), 11 Jul 1997 (-2.84%), 08 Aug 1997 (-2.98%)
1996227 May 1996 (0.92%), 15 Jul 1996 (-3.88%)



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