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

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In this study, we evaluate the performance of strategy "Buy TATAPOWER when near 200 SMA and above 200 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
1-2853.1181404149.382713.299382.72-2716.7-16009.4210.97-0.0019-35.22
241062.7781423951.854212.5513331.32-3483.7-13253.011.211.30.021506.95
317878.6481354643.216322.2720280.61-4421.75-18915.661.431.090.0062220.72
4-24405.4781404149.385846.1925009.53-6298.85-26183.840.930.91-0.0072-301.3
5-8916.7481394248.156890.0624552.04-6610.22-31547.971.040.97-0.0024-110.08
6-43877.7481423951.856195.5121097.05-7797.16-34562.140.790.86-0.012-541.7
7-88879.8881364544.447161.5523990.36-7704.35-36130.110.930.74-0.023-1097.28
8-21058381315038.277491.1424352.02-8856.17-40100.080.850.52-0.051-2599.8
9-24061881315038.277381.8724593.13-9389.11-40700.580.790.49-0.055-2970.59
10-20073581354643.217443.1425798.67-10027.07-41934.950.740.56-0.044-2478.22
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
200trail32.16-5894.7129329724.817728.8911992.35-2610.51-3936.922.960.98-0.002-45.7
200nil21.92-11230.49134439132.095856.17994.9-2890.58-3936.922.030.96-0.0041-83.81
200trail21.87-12780136429430.885839.27994.9-2744.96-3936.922.130.95-0.0047-93.97
200nil32.4-14779.16123299423.588836.9911992.35-2883.53-3936.923.060.95-0.0048-120.16
atrnil38.12-30180.4885206523.5320723.8234714.62-6840.88-16664.523.030.93-0.0059-355.06
atrnil26.18-45725.490286231.1113544.6823143.08-6854.46-16664.521.980.89-0.01-508.06
atrtrail35.19-50581.73103327131.079975.4328020.14-5208.39-13439.171.920.86-0.012-491.08
atrtrail24.68-56501.22103327131.079790.4420563.95-5208.39-13439.171.880.85-0.014-548.56
atrtrail-15.67-100502103327131.078415.4318196.56-5208.39-13439.171.620.73-0.027-975.75
200trail-12.93-86767.51282710121.096308.4218886.08-2545.49-3936.922.480.66-0.032-677.87

In the table above, row 1 shows the best exit criterion. Profit factor is 0.98. 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 24.81%, which is not acceptable. Avoid this strategy. Average return per trade is -0.023%, 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:0.977

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019816 Jan 2019 (-1.66%), 17 Jan 2019 (-1.03%), 18 Jan 2019 (-1.05%), 22 Jan 2019 (-1.6%), 12 Mar 2019 (-1.15%), 13 Mar 2019 (-1.78%), 11 Apr 2019 (-1.09%), 12 Apr 2019 (-1.85%)
20181202 Feb 2018 (-1.13%), 05 Feb 2018 (-1.37%), 07 Feb 2018 (-1.02%), 09 Feb 2018 (4.31%), 22 Feb 2018 (-0.18%), 09 Apr 2018 (-1.1%), 20 Apr 2018 (0.38%), 03 May 2018 (-1.92%), 04 May 2018 (-1.09%), 14 Nov 2018 (-1.44%), 21 Dec 2018 (-1.03%), 27 Dec 2018 (-1.26%)
2017706 Jun 2017 (-1.1%), 30 Jun 2017 (5.95%), 12 Sep 2017 (3.42%), 25 Sep 2017 (-1.57%), 10 Oct 2017 (-1.07%), 12 Oct 2017 (3.54%), 10 Nov 2017 (5.58%)
2016208 Apr 2016 (4.34%), 16 Nov 2016 (-1.19%)
20141224 Feb 2014 (-1.82%), 11 Mar 2014 (-0.52%), 25 Mar 2014 (4.75%), 16 Apr 2014 (0.82%), 13 Aug 2014 (5.16%), 27 Aug 2014 (-1.34%), 02 Sep 2014 (-0.89%), 04 Sep 2014 (-1.66%), 12 Sep 2014 (-1.52%), 15 Sep 2014 (-1.07%), 25 Nov 2014 (1.09%), 01 Dec 2014 (-1.22%)
2013311 Mar 2013 (-1.16%), 15 Mar 2013 (-1.56%), 24 Dec 2013 (4.23%)
20121401 Feb 2012 (3.58%), 06 Mar 2012 (-1.27%), 13 Mar 2012 (-0.54%), 20 Apr 2012 (-1.16%), 24 Apr 2012 (-1.33%), 11 Jul 2012 (-1.53%), 20 Jul 2012 (-1.05%), 01 Aug 2012 (-1.49%), 10 Aug 2012 (-0.46%), 21 Aug 2012 (-1.52%), 23 Aug 2012 (-1.21%), 30 Aug 2012 (-1.66%), 08 Nov 2012 (-1.42%), 22 Nov 2012 (3.21%)
2011718 Jan 2011 (-1.67%), 20 Jan 2011 (-1.64%), 01 Apr 2011 (-1.51%), 26 Apr 2011 (-1.97%), 30 Jun 2011 (-0.71%), 22 Jul 2011 (-1.51%), 01 Aug 2011 (-1.35%)
20101417 Feb 2010 (-1.65%), 25 Feb 2010 (-1.37%), 02 Mar 2010 (4.55%), 19 Apr 2010 (-1.37%), 20 Apr 2010 (3.61%), 10 May 2010 (-1.79%), 11 May 2010 (-0.22%), 14 May 2010 (-1.4%), 28 Jun 2010 (-1.42%), 15 Jul 2010 (-1.94%), 04 Aug 2010 (-1.21%), 24 Sep 2010 (5.42%), 18 Nov 2010 (-1.03%), 28 Dec 2010 (2.4%)
2009220 Apr 2009 (-1.94%), 22 Apr 2009 (-1.45%)
2006231 Jul 2006 (-1.01%), 12 Sep 2006 (4.45%)
2005318 Apr 2005 (5.06%), 26 Oct 2005 (-1.53%), 01 Nov 2005 (5.14%)
2004325 May 2004 (3.17%), 11 Oct 2004 (-1.21%), 04 Nov 2004 (-1.07%)
2003314 Jan 2003 (3.52%), 23 Jan 2003 (4.19%), 27 Jan 2003 (-1.15%)
2002903 Jan 2002 (-0.59%), 08 Jan 2002 (-1.17%), 06 Mar 2002 (3.58%), 07 Mar 2002 (-1.17%), 17 May 2002 (-1.58%), 28 May 2002 (-1.8%), 11 Jul 2002 (-1.72%), 26 Dec 2002 (-1.23%), 30 Dec 2002 (-0.96%)
2001228 Aug 2001 (-1.49%), 03 Dec 2001 (4.23%)
2000605 Jan 2000 (6.0%), 08 Feb 2000 (-1.38%), 25 Sep 2000 (-1.48%), 01 Nov 2000 (3.57%), 08 Nov 2000 (-1.0%), 10 Nov 2000 (-1.6%)
1999321 May 1999 (-1.02%), 29 Jul 1999 (-1.38%), 07 Oct 1999 (3.05%)
1998230 Mar 1998 (-1.24%), 14 Dec 1998 (-1.77%)
1997803 Mar 1997 (-1.28%), 21 Mar 1997 (-1.46%), 29 Apr 1997 (4.74%), 08 May 1997 (-1.68%), 06 Jun 1997 (-1.33%), 15 Jul 1997 (-0.66%), 19 Aug 1997 (-0.03%), 22 Aug 1997 (-1.11%)
1996509 Jan 1996 (-1.55%), 26 Aug 1996 (1.38%), 03 Sep 1996 (-1.7%), 04 Sep 1996 (5.26%), 09 Sep 1996 (-1.89%)
1995221 Dec 1995 (-1.76%), 27 Dec 1995 (-1.38%)



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