Study: Buy TATASTEEL when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50

home > technical-strategy > tatasteel > 14

In this study, we evaluate the performance of strategy "Buy TATASTEEL when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy TATASTEEL 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
1-1020.661569404844.288677.55-3342.93-5582.661.450.97-0.003-68.04
212594.21569408384.9723341.76-4190.63-7726.1521.330.021839.61
328322.5215694011226.1724508.85-4337.17-9136.352.591.730.0421888.17
434546.5115694014013.5427037.54-5503.86-11913.092.551.70.0422303.1
561495.68158753.3313633.6329838.55-6796.2-15104.982.012.290.0644099.71
663566.0515966012830.5530850.03-8651.48-14402.041.482.220.0674237.74
736205.16158753.3311946.5228788.17-8481-15826.971.411.610.042413.68
828686.11157846.6712870.530850.03-7675.92-14351.151.681.470.0311912.41
923154.05157846.6715058.0133767.75-10281.5-18283.611.461.280.021543.6
1054908.14157846.6718968.3233028.59-9733.76-20906.981.951.710.0443660.54
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
TATASTEEL Performance, X=5, Profit Factor:2.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019118 Apr 2019 (0.4%)
2018121 Sep 2018 (-7.02%)
2016101 Mar 2016 (14.92%)
2013128 Oct 2013 (8.5%)
2012313 Feb 2012 (1.3%), 21 Jun 2012 (-0.26%), 18 Dec 2012 (3.77%)
2005114 Dec 2005 (-0.74%)
2004102 Dec 2004 (-3.53%)
2002114 Jan 2002 (11.19%)
1998207 Apr 1998 (-0.79%), 05 May 1998 (-7.55%)
1997214 Feb 1997 (-3.89%), 12 Jun 1997 (10.61%)
1996110 Apr 1996 (3.86%)

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
atrtrail-16.631217311981142.1122393.5464683.94-5219.79-7075.154.293.120.0696406.87
200trail-13.959561.89206143016522.5932558.46-2826.69-3953.235.852.510.062978.09
atrtrail34.2654569.161981142.1113998.3627194.87-5219.79-7075.152.681.950.0542872.06
atrtrail22.7543433.97209114511362.4218129.91-5347.98-7075.152.121.740.052171.7
atrnil23.147836.33209114512939.7618129.91-6238.32-8161.042.071.70.0492391.82
200trail32.0517442.372171433.338140.8911053.65-2824.56-3953.232.881.440.032830.59
atrnil35.2633567.351961331.5819221.4127194.87-6289.31-8286.153.061.410.0291766.7
200nil32.0514903.052171433.338140.8911053.65-3005.94-3953.232.711.350.027709.67
200trail21.81-1553.042171433.335427.267369.1-2824.56-3953.231.920.96-0.0037-73.95
200nil21.81-4092.362171433.335427.267369.1-3005.94-3953.231.810.9-0.0097-194.87

In the table above, row 1 shows the best exit criterion. Profit factor is 3.12. Strategy is very good and impressively bullish. Percentage of profitable trades is 42.11%, which is not acceptable. Avoid this strategy. Average return per trade is 3.2%, which is very good. Sharpe Ratio is 0.069, 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.
TATASTEEL Performance, Profit Factor:3.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019118 Apr 2019 (-2.59%)
2018121 Sep 2018 (-3.31%)
2016101 Mar 2016 (19.52%)
2013128 Oct 2013 (32.34%)
2012413 Feb 2012 (-1.75%), 21 Jun 2012 (-2.59%), 28 Jun 2012 (2.73%), 18 Dec 2012 (4.55%)
2005214 Dec 2005 (-2.69%), 21 Dec 2005 (-1.1%)
2004202 Dec 2004 (-2.27%), 14 Dec 2004 (16.77%)
2002114 Jan 2002 (1.19%)
1998307 Apr 1998 (-3.18%), 16 Apr 1998 (-2.62%), 05 May 1998 (-3.54%)
1997214 Feb 1997 (-3.07%), 12 Jun 1997 (7.37%)
1996110 Apr 1996 (5.1%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play