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

home > technical-strategy > tatasteel > 18

In this study, we evaluate the performance of strategy "Sell TATASTEEL when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50" 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
115517.0624131154.173678.168245.8-2936.27-6958.741.251.480.032646.54
256599.722415962.56593.4916544.12-4700.29-10798.751.42.340.0672358.32
350913.152415962.58119.3321067.92-7875.2-16442.131.031.720.0452121.38
420851.782412125010926.4120319.53-9188.76-22648.751.191.190.014868.82
529937.192412125012178.3522845.12-9683.59-28352.071.261.260.0181247.38
6-18190.624141058.339274.2630899.27-14803.02-33018.870.630.88-0.01-757.94
7-61742.49241212509997.5230968.98-15142.73-33844.340.660.66-0.032-2572.6
8-10485424111345.839602.931160.68-16191.25-38561.320.590.5-0.052-4368.93
9-1138442412125010619.7434454.51-20106.76-45990.570.530.53-0.05-4743.51
10-84205.9324111345.8313764.6136528.41-18124.36-35966.980.760.64-0.037-3508.58
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=2, Profit Factor:2.34

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019208 May 2019 (6.86%), 04 Jul 2019 (5.5%)
2018218 May 2018 (2.47%), 03 Oct 2018 (2.0%)
2015321 May 2015 (2.99%), 16 Nov 2015 (2.06%), 10 Dec 2015 (-5.15%)
2013124 Jan 2013 (-0.28%)
2012319 Mar 2012 (-5.4%), 19 Jul 2012 (3.61%), 30 Oct 2012 (-1.12%)
2011313 Jul 2011 (0.36%), 01 Aug 2011 (1.82%), 09 Nov 2011 (7.84%)
2010127 Aug 2010 (-2.46%)
2007122 Jan 2007 (-2.0%)
2006116 Jan 2006 (1.43%)
2005114 Jul 2005 (-3.41%)
2001128 Dec 2001 (-1.3%)
1998221 May 1998 (2.04%), 26 Nov 1998 (1.56%)
1997224 Feb 1997 (-0.03%), 04 Jun 1997 (0.63%)
1996115 Mar 1996 (8.27%)

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-13.9410275333112233.3314360.1335263.33-2509.49-3445.895.722.860.0663113.72
50trail32.3349751.3933112233.339541.8311925.49-2509.49-3445.893.81.90.0531507.62
50nil32.5552505.5833122136.369461.5711925.49-2906.35-3855.973.261.860.0531591.08
atrtrail34.1464572.9629121741.3812488.1222394.12-5016.74-9892.382.491.760.0452226.65
atrtrail-1560170.0329121741.3812121.2125344.49-5016.74-9892.382.421.710.0422074.83
atrtrail23.7251766.3429121741.3811420.918764.5-5016.74-9892.382.281.610.041785.05
atrnil24.7546472.5528121642.8613372.5618764.5-7124.88-9892.381.881.410.0321659.73
atrnil37.6341337.922791833.3318806.5925767.24-7106.74-9650.832.651.320.0251531.03
50trail22.0614764.6733112233.336361.227950.33-2509.49-3445.892.531.270.021447.41
50nil22.1514659.333122136.366307.717950.33-2906.35-3855.972.171.240.02444.22

In the table above, row 1 shows the best exit criterion. Profit factor is 2.86. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 1.56%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.066, 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:2.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019208 May 2019 (8.92%), 04 Jul 2019 (4.87%)
2018318 May 2018 (5.4%), 03 Oct 2018 (-1.05%), 10 Oct 2018 (2.4%)
2015321 May 2015 (12.21%), 16 Nov 2015 (-1.69%), 10 Dec 2015 (-1.53%)
2013324 Jan 2013 (-1.26%), 28 Jan 2013 (-1.23%), 30 Jan 2013 (-1.21%)
2012419 Mar 2012 (-1.06%), 22 Mar 2012 (-1.17%), 19 Jul 2012 (4.73%), 30 Oct 2012 (-1.29%)
2011313 Jul 2011 (-1.35%), 01 Aug 2011 (17.63%), 09 Nov 2011 (11.7%)
2010127 Aug 2010 (-1.46%)
2007222 Jan 2007 (-1.19%), 05 Feb 2007 (4.82%)
2006216 Jan 2006 (-1.72%), 23 Jan 2006 (-1.04%)
2005114 Jul 2005 (-1.4%)
2002101 Jan 2002 (-1.02%)
2001128 Dec 2001 (-1.72%)
1998221 May 1998 (4.16%), 26 Nov 1998 (-0.36%)
1997324 Feb 1997 (-1.5%), 04 Jun 1997 (-1.44%), 06 Jun 1997 (-0.5%)
1996215 Mar 1996 (2.13%), 25 Mar 1996 (-1.41%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play