Study: Buy TATAPOWER when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy TATAPOWER when below 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
136918.09119586148.744845.3523831.78-4001.84-300001.211.150.01310.24
2114421119615851.26593844626.17-4272.36-16666.671.391.460.027961.52
3112497119615851.267197.2841043.61-5629.96-23766.741.281.340.022945.35
467888.03119586148.747985.3136039.6-6479.67-30656.451.231.170.012570.49
520327.8119546545.389305.8440615.26-7418.27-31807.551.251.040.0031170.82
685590.17119645553.788687.6533450.16-8553.08-48379.551.021.180.012719.25
735293.39119596049.589050.1436604.36-8311.08-42031.411.091.070.005296.58
8130648119625752.110324.4334887.01-8938.02-36217.841.161.260.0171097.88
949766.63119586148.7410612.632485.88-9274.82-29140.151.141.090.0065418.21
1043367.09119556446.2211931.3632598.43-9575.9-28955.71.251.070.0055364.43
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
atrnil38.783913421925713529.6925976.7385728.23-8069.12-25317.923.221.360.0242038.24
atrtrail-15.292323352278114635.6813858.11100987-6097.07-25317.922.271.260.0141023.5
atrnil25.862251861967112536.2217275.457152.15-8010.94-25317.922.161.220.0181148.91
atrtrail34.521184012278114635.6812451.5285728.23-6097.07-25317.922.041.130.0088521.59
atrtrail24.0294858.032278114635.6812160.8757152.15-6097.07-25317.921.991.110.0078417.88

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 29.69%, which is not acceptable. Avoid this strategy. Average return per trade is 1.02%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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
20191402 Jan 2019 (-3.43%), 28 Jan 2019 (-3.1%), 30 Jan 2019 (-3.54%), 11 Feb 2019 (11.54%), 22 Apr 2019 (-3.2%), 02 May 2019 (-2.98%), 07 May 2019 (-3.14%), 13 May 2019 (9.36%), 19 Jun 2019 (9.65%), 24 Jul 2019 (-3.57%), 25 Jul 2019 (-3.8%), 30 Jul 2019 (-4.07%), 13 Aug 2019 (-4.27%), 21 Aug 2019 (15.37%)
20181106 Feb 2018 (-3.78%), 07 Mar 2018 (9.3%), 10 May 2018 (-2.92%), 21 May 2018 (-2.69%), 24 May 2018 (8.17%), 18 Jun 2018 (-2.87%), 27 Jun 2018 (-2.91%), 12 Jul 2018 (-2.81%), 16 Aug 2018 (8.49%), 28 Sep 2018 (-4.87%), 05 Oct 2018 (15.58%)
2017508 Jun 2017 (-2.13%), 15 Jun 2017 (6.51%), 04 Aug 2017 (-2.0%), 08 Aug 2017 (-2.08%), 10 Aug 2017 (6.33%)
2016315 Jan 2016 (-3.53%), 02 Feb 2016 (-3.55%), 03 Feb 2016 (11.02%)
20151111 Mar 2015 (-3.79%), 25 Mar 2015 (-3.2%), 27 Mar 2015 (-3.33%), 07 May 2015 (9.39%), 04 Jun 2015 (-3.34%), 29 Jul 2015 (-2.92%), 24 Aug 2015 (-3.49%), 25 Aug 2015 (-4.42%), 18 Nov 2015 (-3.02%), 08 Dec 2015 (-2.49%), 09 Dec 2015 (7.82%)
20141007 Jan 2014 (-4.08%), 22 Jan 2014 (-3.12%), 27 Jan 2014 (9.76%), 30 Apr 2014 (10.62%), 28 Aug 2014 (-3.65%), 16 Sep 2014 (-3.53%), 01 Oct 2014 (10.44%), 12 Dec 2014 (-3.3%), 16 Dec 2014 (-3.62%), 17 Dec 2014 (11.44%)
20131231 Jan 2013 (-2.61%), 05 Feb 2013 (-2.73%), 13 Feb 2013 (8.33%), 13 May 2013 (-1.91%), 22 May 2013 (-2.0%), 23 May 2013 (-2.19%), 11 Jun 2013 (-2.73%), 12 Jun 2013 (-2.97%), 13 Jun 2013 (9.39%), 05 Aug 2013 (-3.44%), 06 Aug 2013 (16.05%), 13 Nov 2013 (9.95%)
2012916 Mar 2012 (-4.26%), 22 Mar 2012 (-4.54%), 09 May 2012 (-3.63%), 11 May 2012 (-4.31%), 22 May 2012 (-4.7%), 23 May 2012 (14.38%), 26 Jul 2012 (9.94%), 12 Nov 2012 (-3.01%), 19 Nov 2012 (8.69%)
20111728 Jan 2011 (-2.99%), 31 Jan 2011 (-3.12%), 04 Feb 2011 (-3.35%), 28 Feb 2011 (10.92%), 05 May 2011 (-2.98%), 25 May 2011 (8.46%), 05 Aug 2011 (-2.58%), 08 Aug 2011 (-2.65%), 09 Aug 2011 (-2.78%), 11 Aug 2011 (-3.06%), 12 Aug 2011 (-3.37%), 18 Aug 2011 (-3.5%), 06 Sep 2011 (-4.0%), 14 Sep 2011 (-4.03%), 23 Nov 2011 (-4.02%), 12 Dec 2011 (-4.85%), 20 Dec 2011 (18.16%)
2010915 Feb 2010 (-3.32%), 07 May 2010 (-2.63%), 24 May 2010 (-3.04%), 25 May 2010 (9.73%), 25 Aug 2010 (-1.94%), 27 Aug 2010 (-2.18%), 31 Aug 2010 (6.8%), 23 Nov 2010 (-3.03%), 25 Nov 2010 (9.71%)
2009303 Mar 2009 (-4.79%), 05 Mar 2009 (-5.52%), 12 Mar 2009 (16.76%)
2008804 Jun 2008 (-5.96%), 24 Jun 2008 (-6.27%), 01 Jul 2008 (-6.93%), 16 Jul 2008 (25.68%), 30 Sep 2008 (-6.92%), 17 Oct 2008 (-10.46%), 24 Oct 2008 (-12.66%), 27 Oct 2008 (42.86%)
2007105 Mar 2007 (-5.61%)
2006113 Jun 2006 (24.89%)
2005127 Oct 2005 (16.61%)
2004417 May 2004 (-10.15%), 11 Jun 2004 (23.97%), 25 Oct 2004 (-3.21%), 26 Oct 2004 (10.03%)
20021028 Jan 2002 (13.05%), 22 Mar 2002 (11.54%), 12 Jul 2002 (-3.24%), 15 Jul 2002 (-3.41%), 25 Jul 2002 (-3.32%), 26 Jul 2002 (-3.5%), 29 Jul 2002 (-3.76%), 08 Aug 2002 (-3.86%), 24 Sep 2002 (-2.89%), 01 Oct 2002 (7.73%)
2001730 Aug 2001 (-3.83%), 05 Sep 2001 (-4.1%), 06 Sep 2001 (-4.4%), 07 Sep 2001 (-4.58%), 17 Sep 2001 (16.51%), 19 Dec 2001 (-4.99%), 24 Dec 2001 (-4.95%)
2000913 Mar 2000 (-8.27%), 13 Apr 2000 (-6.38%), 19 Apr 2000 (-6.77%), 20 Apr 2000 (-7.22%), 25 Apr 2000 (-7.68%), 02 May 2000 (23.72%), 26 Sep 2000 (-4.21%), 29 Sep 2000 (-4.45%), 09 Oct 2000 (-4.61%)
19991415 Jan 1999 (-4.26%), 19 Jan 1999 (-4.37%), 01 Feb 1999 (-4.51%), 15 Feb 1999 (-4.34%), 23 Feb 1999 (-4.62%), 05 Mar 1999 (-4.43%), 09 Mar 1999 (14.03%), 26 Apr 1999 (17.76%), 02 Aug 1999 (13.79%), 20 Sep 1999 (-5.18%), 28 Sep 1999 (-4.64%), 18 Oct 1999 (13.16%), 29 Oct 1999 (-4.63%), 01 Nov 1999 (14.66%)
19981227 Jan 1998 (-3.58%), 13 Feb 1998 (8.66%), 23 Apr 1998 (-4.7%), 24 Apr 1998 (-4.92%), 21 May 1998 (-4.4%), 02 Jun 1998 (-5.18%), 08 Jun 1998 (-5.91%), 15 Jun 1998 (17.1%), 05 Oct 1998 (-2.6%), 12 Oct 1998 (-2.71%), 14 Oct 1998 (-2.81%), 20 Oct 1998 (8.22%)
19971024 Feb 1997 (12.26%), 31 Mar 1997 (-4.86%), 01 Apr 1997 (15.28%), 29 Aug 1997 (-3.37%), 01 Sep 1997 (-3.63%), 18 Sep 1997 (9.14%), 28 Oct 1997 (-3.85%), 12 Nov 1997 (-4.08%), 13 Nov 1997 (-4.25%), 24 Nov 1997 (11.91%)
1996919 Aug 1996 (-4.41%), 17 Sep 1996 (-3.84%), 26 Sep 1996 (-4.01%), 30 Sep 1996 (-4.25%), 01 Oct 1996 (-4.48%), 07 Oct 1996 (14.82%), 22 Nov 1996 (-4.11%), 28 Nov 1996 (-4.64%), 04 Dec 1996 (14.13%)
1995222 Nov 1995 (-3.21%), 23 Nov 1995 (10.74%)



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