Study: Sell TATAPOWER when ADX is Trending and there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell TATAPOWER when ADX is Trending and there is Dead Cross (50 DMA < 200 DMA)" 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
1-2827.92148657.143333.946810.9-4916.57-10451.050.680.9-0.0084-201.99
213568.111410471.433793.897253.89-6092.69-13118.360.621.560.036969.15
315201.65149564.296630.5712670.11-8894.7-19366.070.751.340.0251085.83
49150.41149564.297210.5822355.77-11148.95-19531.60.651.160.011653.6
5-9937.4514775010334.9819711.54-11754.62-29713.990.880.88-0.01-709.82
6-49042.3514775010428.2225129.53-17434.27-31775.320.60.6-0.043-3503.02
7-81603.89146842.866440.6211139.9-15030.95-25777.780.430.32-0.099-5828.85
8-54429.32146842.867954.1919170.98-12769.31-22716.050.620.47-0.065-3887.81
9-55610.091477509694.820725.39-17639.1-30320.990.550.55-0.053-3972.15
10-43739.971477509306.5924740.93-15555.15-27061.730.60.6-0.045-3124.28
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
atrtrail34.382813.98167943.759525.7425499.52-7096.25-13351.981.341.040.0033175.87
atrtrail24.06437.83167943.759186.2916999.68-7096.25-13351.981.291.010.0005827.36
atrnil37.62-20397.37164122522430.2425499.52-9176.53-16787.642.440.81-0.018-1274.84
atrtrail-14.56-17198.47167943.756666.8216952.02-7096.25-13351.980.940.73-0.027-1074.9
atrnil25.19-50304.36164122514953.4916999.68-9176.53-16787.641.630.54-0.059-3144.02

In the table above, row 1 shows the best exit criterion. Profit factor is 1.04. 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 43.75%, which is not acceptable. Avoid this strategy. Average return per trade is 0.088%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0033, 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:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019214 Feb 2019 (-3.79%), 15 Feb 2019 (1.56%)
2018103 Apr 2018 (-1.0%)
2012118 May 2012 (-4.27%)
2011128 Jan 2011 (3.11%)
2008115 Jul 2008 (-6.68%)
2007220 Apr 2007 (-3.93%), 23 Apr 2007 (-4.24%)
2004128 Jun 2004 (-4.23%)
2002105 Aug 2002 (2.72%)
2001121 Sep 2001 (0.2%)
1999127 Feb 1999 (12.52%)
1998108 Jun 1998 (0.49%)
1997122 Sep 1997 (-2.49%)
1996130 Sep 1996 (12.75%)
1995124 Nov 1995 (-1.3%)



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