Study: Sell TATASTEEL when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50 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 RSI is below 50 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
14983.7375271.433473.49766.13-6191.63-6958.740.561.40.027711.96
2-1580.0673442.862742.713119.58-2452.05-4920.121.120.84-0.016-225.72
3-19217.873442.863820.755513.85-7670.01-10898.760.50.37-0.092-2745.4
4-53711.7472528.574689.765661.54-12618.25-22648.750.370.15-0.16-7673.11
5-65477.5172528.577134.899937.46-15949.46-28352.070.450.18-0.14-9353.93
6-82623.6372528.578818.879834.66-20052.27-33018.870.440.18-0.15-11803.38
7-89003.872528.5711292.6513329.91-22317.82-33844.340.510.2-0.15-12714.83
8-93966.8573442.868290.2513038.64-29709.4-38561.320.280.21-0.14-13423.84
9-10630073442.868859.5511513.75-33219.68-45990.570.270.2-0.14-15185.73
10-80000.4673442.8610505.9214892.31-27879.55-35966.980.380.28-0.11-11428.64

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.4. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 71.43%, which is good. Average return per trade is 0.36%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid 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
nilnil-114983.7375271.433473.49766.13-6191.63-6958.740.561.40.027711.96
50nil32.71804.8972528.578291.158578.71-3155.48-3696.132.631.050.0045114.98
50nil22.14-4722.5472528.575527.445719.14-3155.48-3696.131.750.7-0.035-674.65
atrnil24.29-12569.0472528.5712639.4115388.22-7569.57-9650.831.670.67-0.039-1795.58
atrtrail33.86-14125.7672528.578305.314835.88-6147.27-9650.831.350.54-0.054-2017.97
50trail32-7064.2271614.298003.68003.6-2511.3-3443.43.190.53-0.054-1009.17
atrtrail-14.29-18597.7172528.576069.3210363.93-6147.27-9650.830.990.39-0.087-2656.82
atrtrail23.43-19071.0672528.575832.659890.59-6147.27-9650.830.950.38-0.091-2724.44
50trail22-9732.0971614.295335.735335.73-2511.3-3443.42.120.35-0.099-1390.3
atrnil36.86-30706.0771614.2914835.8814835.88-7590.33-9650.831.950.33-0.11-4386.58
50trail-12.14-1026771614.294800.824800.82-2511.3-3443.41.910.32-0.11-1466.71

In the table above, row 1 shows the best exit criterion. Profit factor is 1.4. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 71.43%, which is good. Average return per trade is 0.36%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATASTEEL Performance, X=1, Profit Factor:1.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018110 Oct 2018 (4.88%)
2013130 Jan 2013 (0.33%)
2012130 Oct 2012 (0.22%)
2010127 Aug 2010 (-3.48%)
2001128 Dec 2001 (-2.71%)
1998126 Nov 1998 (2.48%)
1997124 Feb 1997 (0.77%)



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