Study: Buy TATAPOWER when RSI is below 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy TATAPOWER when RSI is below 50 and there is Bullish Crossover in MACD" 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
128593.278364246.153909.3917386.98-2670.11-13283.441.461.250.016366.58
239774.778384048.725044.4622553.4-3797.87-11779.731.331.260.017509.93
330811.4978384048.726326.4635668.16-5239.85-21366.91.211.150.0098395.02
452161.6578384048.727163.6937257.82-5501.46-22986.491.31.240.015668.74
548402.0178403851.287630.0734698.61-6757.91-19109.871.131.190.013620.54
641231.2578413752.568603.9134376.55-8419.7-26898.871.021.130.0097528.61
732131.0578423653.858784.2630205.92-9355.78-44021.660.941.10.0069411.94
873453.8878403851.2810732.0542921.01-9363.9-50119.521.151.210.014941.72
918476077433455.8411711.0253702.73-9376.89-42245.961.251.580.0342399.47
1018339677433455.8411748.3757162.11-9464.23-49875.61.241.570.0332381.77
Although, strategy looks good but profit factor on day 7 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
atrnil27.2217168686355140.716286.8738358.46-7810.87-21408.372.091.430.0311996.35
atrnil310.4214446585265930.5923617.2854313.57-7959.06-21408.372.971.310.0221699.58
atrtrail24.623910.2586305634.8811175.1236209.04-5559.7-12154.012.011.080.0059278.03
atrtrail35.0610890.1286295733.7211198.7754313.57-5506.57-12154.012.031.030.0024126.63
atrtrail-15.65-5050.386295733.7210649.157951.1-5506.57-12154.011.930.98-0.0011-58.72

In the table above, row 1 shows the best exit criterion. Profit factor is 1.43. 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 40.7%, which is not acceptable. Avoid this strategy. Average return per trade is 1%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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:1.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019517 Jan 2019 (-2.69%), 21 Feb 2019 (-3.8%), 21 May 2019 (7.01%), 26 Aug 2019 (-5.03%), 04 Nov 2019 (-3.23%)
2018616 Feb 2018 (-3.31%), 20 Mar 2018 (-2.56%), 25 Jun 2018 (-2.59%), 09 Jul 2018 (-2.63%), 18 Jul 2018 (-2.92%), 26 Jul 2018 (-3.12%)
2017316 May 2017 (-2.06%), 18 Aug 2017 (-2.35%), 04 Sep 2017 (4.64%)
2016316 Feb 2016 (8.39%), 01 Aug 2016 (4.74%), 28 Nov 2016 (6.63%)
2015701 Jan 2015 (-2.78%), 12 Jan 2015 (5.44%), 07 Apr 2015 (-3.02%), 19 May 2015 (-2.98%), 17 Jun 2015 (-3.44%), 14 Aug 2015 (-2.7%), 10 Sep 2015 (8.24%)
2014406 Feb 2014 (6.31%), 21 Aug 2014 (-3.53%), 02 Sep 2014 (-3.56%), 09 Oct 2014 (-3.1%)
2013416 Apr 2013 (-2.86%), 27 Jun 2013 (6.42%), 26 Aug 2013 (-5.06%), 11 Sep 2013 (9.81%)
2012204 Apr 2012 (-4.3%), 29 May 2012 (-4.18%)
2011408 Mar 2011 (-3.35%), 31 May 2011 (5.16%), 07 Sep 2011 (-3.93%), 27 Dec 2011 (9.95%)
2010414 May 2010 (-2.68%), 11 Jun 2010 (6.03%), 07 Sep 2010 (4.43%), 08 Dec 2010 (5.55%)
2009220 Mar 2009 (10.45%), 26 Nov 2009 (6.02%)
2008627 Mar 2008 (-7.88%), 18 Jul 2008 (15.26%), 01 Sep 2008 (9.11%), 24 Sep 2008 (-4.97%), 04 Nov 2008 (-10.7%), 28 Nov 2008 (19.18%)
2007121 Mar 2007 (10.0%)
2006120 Jun 2006 (14.69%)
2005413 Apr 2005 (-3.2%), 15 Apr 2005 (-3.47%), 20 Apr 2005 (-3.57%), 09 Nov 2005 (8.89%)
2004115 Jun 2004 (-7.58%)
2003103 Apr 2003 (4.07%)
2002505 Apr 2002 (-3.09%), 07 Aug 2002 (-3.34%), 08 Oct 2002 (4.53%), 05 Nov 2002 (-2.06%), 07 Nov 2002 (-2.14%)
2001212 Apr 2001 (18.1%), 24 Sep 2001 (-5.43%)
2000331 Mar 2000 (-6.9%), 09 May 2000 (-6.75%), 18 Oct 2000 (-4.91%)
1999525 Feb 1999 (-4.31%), 18 Mar 1999 (-4.64%), 08 Oct 1999 (-4.16%), 21 Oct 1999 (8.15%), 25 Nov 1999 (7.36%)
1998220 Feb 1998 (5.18%), 29 Jul 1998 (-3.06%)
1997225 Sep 1997 (5.99%), 28 Nov 1997 (7.65%)
1996509 Aug 1996 (-4.54%), 26 Aug 1996 (-3.88%), 15 Oct 1996 (9.89%), 13 Nov 1996 (-4.08%), 11 Dec 1996 (8.08%)
1995429 Mar 1995 (-3.21%), 12 May 1995 (-3.53%), 15 May 1995 (7.52%), 18 Sep 1995 (6.14%)



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