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

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In this study, we evaluate the performance of strategy "Sell TATAPOWER when near 200 SMA and below 200 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
120897.6742251759.523504.4815995.26-3924.38-13714.630.891.310.02497.56
219552.0342222052.385183.222156.4-4723.92-15740.241.11.210.014465.52
340913.4142222052.387510.230450.24-6215.55-16034.41.211.330.021974.13
426168.41422121508550.2123918.92-7304.1-19722.221.171.170.013623.06
520140.4442222052.388817.9624644.55-8692.74-25016.291.011.120.0086479.53
6-4598.6742222052.388031.8823104.27-9065.01-26034.060.890.97-0.002-109.49
7-78751.142172540.488964.0622559.52-9245.6-26399.030.970.66-0.034-1875.03
8-12388242202247.626723.9936261.57-11743.73-26642.340.570.52-0.05-2949.58
9-90136.1342202247.627077.5130273.42-10531.19-27858.880.670.61-0.038-2146.1
10-13178542182442.866653.1520812.97-10480.9-31751.820.630.48-0.057-3137.73
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
200trail-12.31-34975.0364105415.6210692.7725699.14-2627.83-3997.494.070.75-0.019-546.48
200nil31.92-38512.1863125119.058958.3411375.35-2862.99-3997.493.130.74-0.026-611.3
200trail31.83-39971.2164125218.758111.0411375.35-2640.46-3997.493.070.71-0.029-624.55
200trail21.62-44029.0965155023.085874.197986.97-2642.84-3997.492.220.67-0.037-677.37
200nil21.69-54234.4364145021.886253.767986.97-2835.74-3997.492.210.62-0.045-847.41
atrtrail23.78-77016.9649143528.577818.3626400.13-5327.83-10811.721.470.59-0.04-1571.77
atrtrail34.06-96237.3749143528.576445.4722676.6-5327.83-10811.721.210.48-0.057-1964.03
atrnil25.25-1688064884016.6715838.5426400.13-7387.85-11836.652.140.43-0.077-3516.78
atrtrail-14.12-10699449143528.575677.1622676.6-5327.83-10811.721.070.43-0.068-2183.55
atrnil37.44-242765454418.8917225.218675.55-7601.6-13200.072.270.22-0.15-5394.77

In the table above, row 1 shows the best exit criterion. Profit factor is 0.75. 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 15.62%, which is not acceptable. Avoid this strategy. Average return per trade is -0.27%, 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:0.754

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019514 Mar 2019 (-1.22%), 18 Mar 2019 (-1.1%), 19 Mar 2019 (-1.1%), 22 Mar 2019 (-1.14%), 05 Jul 2019 (3.08%)
2018528 Feb 2018 (-1.41%), 01 Mar 2018 (3.67%), 03 Apr 2018 (-1.4%), 06 Apr 2018 (-1.45%), 16 Nov 2018 (-1.85%)
2017612 Jun 2017 (0.28%), 04 Aug 2017 (2.96%), 14 Aug 2017 (-2.0%), 18 Aug 2017 (-1.11%), 13 Nov 2017 (-1.07%), 14 Nov 2017 (-1.59%)
2016117 Nov 2016 (-0.35%)
2015102 Feb 2015 (10.36%)
2013114 Mar 2013 (-1.39%)
2012313 Feb 2012 (-1.94%), 10 Oct 2012 (-1.23%), 21 Nov 2012 (-1.41%)
2011313 Apr 2011 (-1.03%), 18 Apr 2011 (-1.52%), 28 Apr 2011 (-1.16%)
2010415 Feb 2010 (-1.85%), 18 Feb 2010 (-0.98%), 24 Feb 2010 (-1.39%), 01 Dec 2010 (-1.62%)
2009206 Apr 2009 (-1.82%), 28 Apr 2009 (-1.32%)
2007302 Mar 2007 (1.78%), 11 Apr 2007 (-1.61%), 18 Apr 2007 (-0.91%)
2006301 Jun 2006 (12.85%), 30 Jun 2006 (-1.68%), 03 Jul 2006 (-0.51%)
2005131 Oct 2005 (-1.35%)
2004201 Oct 2004 (-1.3%), 05 Oct 2004 (-1.03%)
2003303 Jan 2003 (-0.31%), 09 Jan 2003 (-1.02%), 13 Jan 2003 (-1.25%)
2002201 Mar 2002 (-1.39%), 23 Dec 2002 (-1.56%)
2001409 Nov 2001 (-1.35%), 28 Nov 2001 (-1.0%), 29 Nov 2001 (-1.37%), 19 Dec 2001 (4.73%)
2000403 Jan 2000 (-2.0%), 18 Jan 2000 (-1.44%), 27 Jan 2000 (-1.03%), 18 Feb 2000 (-1.64%)
1999125 May 1999 (10.31%)
1998223 Mar 1998 (-1.2%), 24 Mar 1998 (-1.48%)
1997315 Jan 1997 (-1.2%), 04 Mar 1997 (-1.21%), 06 Mar 1997 (3.45%)
1995522 Nov 1995 (-1.0%), 23 Nov 1995 (-1.0%), 20 Dec 1995 (-1.76%), 26 Dec 1995 (-1.74%), 28 Dec 1995 (-1.21%)



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