Study: Sell TATASTEEL when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell TATASTEEL when below 200 SMA and near 50 SMA and below 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. 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
115920.3854292553.74046.0711827.96-4056.63-20914.7711.160.011294.82
267428.0254302455.566270.7616544.12-5028.95-27523.681.251.560.0331248.67
350928.5554282651.856793.8721067.92-5357.68-23372.961.271.370.024943.12
454757.6654282651.858666.1725128.21-7226.74-22648.751.21.290.021014.03
552906.1754262848.1511112.4623794.87-8429.2-28352.071.321.220.016979.74
631637.0654282651.8510795.930899.27-10409.54-33018.871.041.120.0085585.87
7-43626.1454262848.1511677.0130968.98-12401.01-33844.340.940.87-0.011-807.89
8-11873954262848.1511252.531160.68-14689.41-38561.320.770.71-0.028-2198.86
9-17138654262848.1511446.8534454.51-16750.14-45990.570.680.63-0.037-3173.82
10-17352454262848.1512807.7536528.41-18090.21-37740.460.710.66-0.035-3213.41
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
50trail-13.110426377235429.8710644.9935263.33-2603.18-3917.484.091.740.0371354.06
50trail32.0469945.3677235429.879152.9211925.49-2603.18-3917.483.521.50.033908.38
50nil32.1765453.776235330.269518.3111925.49-2895.61-3917.483.291.430.03861.23
atrtrail34.5269849.976526394010766.9723246.07-5386.96-11322.5221.330.0231074.61
atrtrail23.9452713.466526394010107.8826519.49-5386.96-11322.521.881.250.019810.98
atrtrail-15.0851700.466526394010068.9225344.49-5386.96-11322.521.871.250.018795.39
50trail21.779568.1878245430.776280.267950.33-2614.04-3917.482.41.070.0059122.67
50nil21.815338.8777255232.476257.817950.33-2905.89-3917.482.151.040.003269.34
atrnil25.28-23468.1260204033.3313639.9526519.49-7406.68-17134.091.840.92-0.0077-391.14
atrnil37.59-43679.6354144025.9318682.8225767.24-7630.98-17134.092.450.86-0.014-808.88

In the table above, row 1 shows the best exit criterion. Profit factor is 1.74. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 29.87%, which is not acceptable. Avoid this strategy. Average return per trade is 0.68%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, 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:1.74

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019412 Feb 2019 (1.16%), 08 May 2019 (8.92%), 04 Jul 2019 (4.87%), 17 Oct 2019 (-1.11%)
20181019 Apr 2018 (3.94%), 09 May 2018 (-1.44%), 18 May 2018 (5.4%), 30 Jul 2018 (-1.65%), 01 Aug 2018 (-1.15%), 06 Aug 2018 (-1.5%), 03 Oct 2018 (-1.05%), 10 Oct 2018 (2.4%), 07 Nov 2018 (-0.84%), 12 Nov 2018 (-1.11%)
2016116 Feb 2016 (-1.3%)
2015613 Apr 2015 (-0.46%), 20 Apr 2015 (-1.0%), 21 May 2015 (12.21%), 16 Nov 2015 (-1.69%), 27 Nov 2015 (-1.56%), 10 Dec 2015 (-1.53%)
2013624 Jan 2013 (-1.26%), 28 Jan 2013 (-1.23%), 30 Jan 2013 (-1.21%), 07 May 2013 (4.6%), 24 May 2013 (-1.66%), 21 Aug 2013 (-1.51%)
20121119 Mar 2012 (-1.06%), 22 Mar 2012 (-1.17%), 28 Mar 2012 (-0.98%), 09 Apr 2012 (0.09%), 20 Jun 2012 (-1.12%), 27 Jun 2012 (-1.67%), 19 Jul 2012 (4.73%), 31 Jul 2012 (1.96%), 20 Sep 2012 (-1.32%), 30 Oct 2012 (-1.29%), 07 Dec 2012 (-1.21%)
2011313 Jul 2011 (-1.35%), 01 Aug 2011 (17.63%), 09 Nov 2011 (11.7%)
2010127 Aug 2010 (-1.46%)
2008216 Dec 2008 (-1.29%), 17 Dec 2008 (-1.96%)
2007502 Jan 2007 (2.76%), 22 Jan 2007 (-1.19%), 05 Feb 2007 (4.82%), 23 Feb 2007 (-1.91%), 30 Mar 2007 (2.67%)
2006316 Jan 2006 (-1.72%), 23 Jan 2006 (-1.04%), 27 Dec 2006 (-1.36%)
2005306 Jul 2005 (-1.22%), 14 Jul 2005 (-1.4%), 12 Dec 2005 (-1.83%)
2004209 Jul 2004 (-1.23%), 06 Oct 2004 (-1.39%)
2002101 Jan 2002 (-1.02%)
2001319 Oct 2001 (-1.46%), 02 Nov 2001 (-1.04%), 28 Dec 2001 (-1.72%)
2000220 Apr 2000 (3.44%), 20 Oct 2000 (3.74%)
1998602 Jan 1998 (-1.56%), 06 Jan 1998 (-1.63%), 21 May 1998 (4.16%), 25 Sep 1998 (8.89%), 05 Nov 1998 (-1.47%), 26 Nov 1998 (-0.36%)
1997424 Feb 1997 (-1.5%), 20 May 1997 (4.44%), 04 Jun 1997 (-1.44%), 06 Jun 1997 (-0.5%)
1996415 Mar 1996 (2.13%), 25 Mar 1996 (-1.41%), 01 Nov 1996 (5.76%), 20 Dec 1996 (-0.72%)



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