Study: Buy TATAPOWER when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy TATAPOWER when near 200 SMA and above 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: 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
1-8383.936201655.562683.18463.77-3877.87-16009.420.690.86-0.011-232.89
27931.3236171947.224639.513331.32-3733.69-13253.011.241.110.0088220.31
3-2914.5736162044.446178.5520280.61-5088.57-18915.661.210.97-0.0021-80.96
4-31204.3636201655.565747.9316076.01-9135.18-26183.840.630.79-0.018-866.79
5-9744.7836191752.787519.424413.9-8977.25-31547.970.840.94-0.0048-270.69
6-13319.8336211558.336809.4921097.05-10421.27-34562.140.650.91-0.0067-370
7-13368.5936171947.229037.523990.36-8789.79-36130.111.030.92-0.0064-371.35
8-91086.836162044.447816.3824352.02-10807.44-40100.080.720.58-0.043-2530.19
9-10611636142238.898653.324593.13-10330.1-40700.580.840.53-0.049-2947.67
10-32749.19361818508043.8125798.67-9863.21-41934.950.820.82-0.015-909.7
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
200trail31.9658287.6352183434.628367.9511992.35-2715.75-3936.923.081.630.0411120.92
200nil32.158113.9852173532.699262.1211992.35-2838.34-3936.923.261.580.0391117.58
200trail21.6329539.5157223538.65911.167994.9-2871.6-3936.922.061.290.024518.24
200nil21.6527495.8957223538.65911.167994.9-2929.99-3936.922.021.270.022482.38
atrnil26.7240779.2539152438.4614828.9623143.08-7568.97-16664.521.961.220.0191045.62
200trail-13.1719847.9652163630.777067.1318886.08-2589.61-3936.922.731.210.014381.69
atrnil39.1538046.8839112828.2122562.6834714.62-7505.09-16664.523.011.180.014975.56
atrtrail35.5511018.6944162836.3610708.3428020.14-5725.52-13439.171.871.070.0053250.42
atrtrail24.7710786.1144162836.3610693.819462-5725.52-13439.171.871.070.0055245.14
atrtrail-16-18017.1444162836.368893.618196.56-5725.52-13439.171.550.89-0.01-409.48

In the table above, row 1 shows the best exit criterion. Profit factor is 1.63. 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 34.62%, which is not acceptable. Avoid this strategy. Average return per trade is 0.56%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.041, 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:1.63

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019212 Mar 2019 (-1.15%), 13 Mar 2019 (-1.78%)
2018802 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%), 14 Nov 2018 (-1.44%), 21 Dec 2018 (-1.03%)
2017230 Jun 2017 (5.95%), 10 Nov 2017 (5.58%)
2016116 Nov 2016 (-1.19%)
2014216 Apr 2014 (0.82%), 13 Aug 2014 (5.16%)
2013311 Mar 2013 (-1.16%), 15 Mar 2013 (-1.56%), 24 Dec 2013 (4.23%)
2012301 Feb 2012 (3.58%), 11 Jul 2012 (-1.53%), 22 Nov 2012 (3.21%)
2011211 Apr 2011 (-1.56%), 26 Apr 2011 (-1.97%)
2010317 Feb 2010 (-1.65%), 25 Feb 2010 (-1.37%), 02 Mar 2010 (4.55%)
2009220 Apr 2009 (-1.94%), 22 Apr 2009 (-1.45%)
2005318 Apr 2005 (5.06%), 26 Oct 2005 (-1.53%), 01 Nov 2005 (5.14%)
2004225 May 2004 (3.17%), 11 Oct 2004 (-1.21%)
2003314 Jan 2003 (3.52%), 23 Jan 2003 (4.19%), 27 Jan 2003 (-1.15%)
2002226 Dec 2002 (-1.23%), 30 Dec 2002 (-0.96%)
2001103 Dec 2001 (4.23%)
2000205 Jan 2000 (6.0%), 08 Feb 2000 (-1.38%)
1999221 May 1999 (-1.02%), 29 Jul 1999 (-1.38%)
1998130 Mar 1998 (-1.24%)
1997203 Mar 1997 (-1.28%), 21 Mar 1997 (-1.46%)
1996426 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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