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

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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 and RSI is above 50" 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
118420.05361818504009.2913844.44-2985.95-10434.091.341.340.022511.67
214685.44361818505402.1115630.82-4586.25-16965.351.181.180.013407.93
314205.9636162044.44788419223.12-5596.9-22301.871.411.130.0097394.61
4-15505.4836162044.447837.0517774.19-7044.92-20607.251.110.89-0.0095-430.71
5-10600.0836162044.448861.0819673.87-7618.87-25938.841.160.93-0.0058-294.45
6-17742.9636171947.228220.9818058.27-8289.45-34284.880.990.89-0.0093-492.86
7-11866.236201655.567477.5221712.93-10088.54-39616.470.740.93-0.0057-329.62
811846.6336191752.787839.819340.47-8065.27-27297.160.971.090.0066329.07
98711.0736201655.567789.6624461.59-9192.63-27093.770.851.060.0046241.97
106904.3836191752.788303.0922801.96-8873.78-30209.920.941.050.0034191.79

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.34. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, which is low, don't trade solely on the basis of this study.

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
atrtrail25.5610833839211853.859656.2427891.5-5246.83-10003.931.842.150.0622777.9
atrtrail36.3199796.0839211853.859249.4823192.29-5246.83-10003.931.762.060.0582558.87
atrnil310.5610617134132138.2419210.3141837.25-6836.33-12475.032.811.740.0463122.68
atrnil2793066.0136171947.2213075.4127891.5-6800.84-12475.031.921.720.0492585.17
atrtrail-17.4966420.339201951.288050.319675.01-4978.19-10003.931.621.70.0431703.08
50nil32.6654079.4447182938.37913.111470.22-3046.77-3962.942.61.610.0431150.63
50trail-13.7945085.448163233.337951.4519247.15-2566.81-3962.943.11.550.032939.28
50trail32.3144771.1949173234.697465.2411470.22-2566.81-3962.942.911.550.037913.7
50trail21.9628944.44502129425289.727762.49-2832.41-3962.941.871.350.029578.89
nilnil-1118420.05361818504009.2913844.44-2985.95-10434.091.341.340.022511.67
50nil22.0425555.9549212842.865323.147762.49-3079.64-3962.941.731.30.025521.55

In the table above, row 1 shows the best exit criterion. Profit factor is 2.15. 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 53.85%, which is not acceptable. Avoid this strategy. Average return per trade is 1.39%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.062, 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:2.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017517 May 2017 (-2.08%), 22 Jun 2017 (-2.28%), 05 Jul 2017 (4.14%), 17 Aug 2017 (-2.34%), 12 Sep 2017 (4.38%)
2016221 Dec 2016 (-2.91%), 29 Dec 2016 (5.47%)
2013115 Mar 2013 (-2.49%)
2012319 Apr 2012 (-3.55%), 30 Aug 2012 (-3.05%), 26 Nov 2012 (5.16%)
2010404 Mar 2010 (0.53%), 18 Mar 2010 (0.34%), 12 May 2010 (-2.51%), 29 Dec 2010 (4.83%)
2009309 Oct 2009 (5.89%), 23 Nov 2009 (0.3%), 24 Dec 2009 (4.21%)
2008227 Feb 2008 (-4.4%), 11 Apr 2008 (13.95%)
2007102 Jan 2007 (7.73%)
2006211 May 2006 (-3.42%), 30 Oct 2006 (0.55%)
2005411 May 2005 (-1.53%), 16 Nov 2005 (-3.11%), 24 Nov 2005 (0.33%), 02 Dec 2005 (-1.5%)
2004131 Mar 2004 (9.36%)
2003309 Apr 2003 (-1.57%), 29 Apr 2003 (4.36%), 08 May 2003 (4.87%)
2002103 Jan 2002 (1.57%)
2000417 Aug 2000 (8.83%), 30 Aug 2000 (-0.23%), 06 Nov 2000 (-5.0%), 14 Nov 2000 (9.4%)
1997328 Apr 1997 (-2.07%), 16 May 1997 (-3.2%), 10 Jun 1997 (5.18%)



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