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

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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 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: 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
1-1105.151710758.82430811827.96-6312.17-20914.770.680.97-0.0018-65.01
2-10695.26178947.064491.9913196.48-5181.24-27523.680.870.77-0.016-629.13
3-37766.421771041.184709.818211.14-7073.51-23372.960.670.47-0.059-2221.55
4-61870.51178947.065180.611496.1-11479.48-22648.750.450.4-0.074-3639.44
5-70905.591771041.189097.0214741.32-13458.47-28352.070.680.47-0.061-4170.92
6-79472.09178947.0610652.9424025.51-18299.51-33018.870.580.52-0.056-4674.83
7-79526.59178947.0612049.7623245.92-19547.18-33844.340.620.55-0.055-4678.03
8-116449179852.9410608.3424167.26-26490.48-38561.320.40.45-0.07-6849.93
9-153094178947.0610372.4623175.05-26230.39-45990.570.40.35-0.089-9005.52
10-149328178947.0610068.0620340.18-25541.37-37595.950.390.35-0.091-8783.99

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.97. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 58.82%, which is not acceptable. Avoid this strategy. Average return per trade is -0.033%, we advise you not to use this strategy.

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
atrtrail35783.761771041.189590.318986.63-6634.83-11322.521.451.010.00146.1
50nil32362.7520515258972.7510493.61-2966.73-3917.483.021.010.000718.14
nilnil-11-1105.151710758.82430811827.96-6312.17-20914.770.680.97-0.0018-65.01
50trail31.75-7506.3720416209071.2710493.61-2736.96-3917.483.310.83-0.016-375.32
atrtrail24.53-12684.191771041.187666.312657.75-6634.83-11322.521.160.81-0.019-746.13
atrtrail-15.59-14485.271771041.187409.0117544.79-6634.83-11322.521.120.78-0.022-852.07
50nil21.7-14591.8420515255981.846995.74-2966.73-3917.482.020.67-0.038-729.59
50trail-12.15-14441.1120416207337.589198.03-2736.96-3917.482.680.67-0.035-722.06
atrnil38-46193.391741323.5317063.5918986.63-8803.67-17134.091.940.6-0.049-2717.26
atrnil25.71-45862.511751229.4112178.2315388.22-8896.14-17134.091.370.57-0.055-2697.79
50trail21.65-19601.3920416206047.516995.74-2736.96-3917.482.210.55-0.055-980.07

In the table above, row 1 shows the best exit criterion. Profit factor is 1.01. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 41.18%, which is not acceptable. Avoid this strategy. Average return per trade is 0.023%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.001, 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:1.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018219 Apr 2018 (4.23%), 10 Oct 2018 (0.89%)
2013330 Jan 2013 (7.42%), 07 May 2013 (8.34%), 21 Aug 2013 (-5.66%)
2012230 Oct 2012 (-2.4%), 07 Dec 2012 (-0.86%)
2010127 Aug 2010 (-3.32%)
2008116 Dec 2008 (-2.03%)
2004109 Jul 2004 (-4.9%)
2001219 Oct 2001 (0.92%), 28 Dec 2001 (-4.83%)
2000120 Oct 2000 (2.27%)
1998302 Jan 1998 (9.49%), 05 Nov 1998 (-4.36%), 26 Nov 1998 (-1.9%)
1997124 Feb 1997 (-2.93%)



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