Study: Sell TATAPOWER when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell TATAPOWER when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA" 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
123045.3728181064.293224.468145.24-3499.48-9963.250.921.660.04823.05
238085.492823582.143402.7113993.01-8035.38-20068.940.421.950.0471360.2
341176.82819967.865089.4116343.49-6169.1-21907.320.821.740.0411470.6
447002.6928181064.295778.0312544.38-5700.18-23822.291.011.820.0441678.67
510823128217757414.1421249.61-6780.8-16928.381.093.280.0953865.4
688569.0528217756715.9417777.32-7495.09-22596.710.92.690.0773163.18
747979.6228171160.717562.7522559.52-7326.11-23286.11.031.60.0341713.56
839684.2128151353.579487.4736261.57-7894.45-23748.771.21.390.0231417.29
953701.3528151353.5710620.2830273.42-8123.29-24835.611.311.510.0311917.91
1041775.5328171160.719458.7422991.69-10820.28-26327.770.871.350.0251491.98

From the table above, we see that best results are achieved by holding positions for 5 trading days. Profit factor is 3.28. Strategy is very good and impressively bearish. Percentage of profitable trades is 75%, which is good. Average return per trade is 1.93%, which is not very high, but percentage of profitable trades compensates for it. Sharpe Ratio is 0.095, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
TATAPOWER Performance, X=5, Profit Factor:3.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019123 Jan 2019 (9.37%)
2018228 Feb 2018 (5.44%), 26 Dec 2018 (1.45%)
2017308 Jun 2017 (2.47%), 04 Aug 2017 (4.61%), 21 Aug 2017 (4.05%)
2016117 Nov 2016 (1.07%)
2014229 Apr 2014 (5.13%), 26 Aug 2014 (-2.45%)
2013131 Jan 2013 (4.1%)
2012302 May 2012 (5.29%), 24 Aug 2012 (-1.22%), 09 Nov 2012 (4.2%)
2011119 Jan 2011 (1.58%)
2010315 Feb 2010 (-1.21%), 04 May 2010 (-0.95%), 19 Nov 2010 (1.67%)
2007102 Mar 2007 (3.64%)
2006101 Jun 2006 (10.62%)
2005131 Oct 2005 (-7.14%)
2002101 Mar 2002 (0.82%)
2001131 Dec 2001 (-2.3%)
2000127 Sep 2000 (6.93%)
1999120 Sep 1999 (2.26%)
1997307 May 1997 (0.26%), 22 May 1997 (0.53%), 09 Jun 1997 (-8.46%)
1995122 Nov 1995 (2.36%)

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
nilnil-1510823128217757414.1421249.61-6780.8-16928.381.093.280.0953865.4
atrtrail35.1975375.436142238.8912106.5824545.37-4278.03-10283.642.831.80.0432093.76
200trail32.5461946.0846172936.968235.0711572.02-2691.38-3997.493.061.790.0491346.65
200nil32.8759453.3145162935.569181.911572.02-3015.76-3997.493.041.680.0451321.18
200trail-13.6342753.4646163034.787724.3925699.14-2694.56-3997.492.871.530.03929.42
atrnil27.8452281.4631121938.7114813.925343.7-6604.49-10283.642.241.420.0311686.5
atrtrail24.6137763.736142238.899420.0325343.7-4278.03-10283.642.21.40.0261048.99
atrtrail-15.7531846.0836142238.898997.3522676.6-4278.03-10283.642.11.340.023884.61
200trail22.1124257.5447182938.35683.767714.68-2691.38-3997.492.111.310.025516.12
200nil22.2224161.9646182839.136039.977714.68-3019.91-3997.4921.290.024525.26
atrnil311.412495.853082226.6720842.4331101.69-7011.07-12671.852.971.080.0066416.53

In the table above, row 1 shows the best exit criterion. Profit factor is 3.28. Strategy is very good and impressively bearish. Percentage of profitable trades is 75%, which is good. Average return per trade is 1.93%, which is not very high, but percentage of profitable trades compensates for it. Sharpe Ratio is 0.095, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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