Study: Buy TATASTEEL when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy TATASTEEL when above 200 SMA and near 50 SMA and above 50 SMA" 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
1-51931.958243441.383056.9610710.63-3685.26-10068.930.830.59-0.045-895.38
2-58067.9158223637.934554.6912202.21-4396.42-131461.040.63-0.037-1001.17
3-11776958223637.935639.6816258.22-6717.82-18673.640.840.51-0.053-2030.49
4-95022.2158233539.667246.0426226.99-7476.61-27098.660.970.64-0.035-1638.31
5-16781.2358263244.839207.6834560.33-8005.65-21759.651.150.93-0.0054-289.33
624673.925829295010434.4240899.8-9583.6-26721.531.091.090.0068425.41
747763.458322655.1710425.8528913.42-10994.77-34200.650.951.170.013823.51
855233.185829295012112.746414.88-10208.11-30618.421.191.190.013952.3
927669.4858302851.7211866.3742161.53-11725.77-30356.821.011.080.0065477.06
1076818.3158273146.5516155.9648057.26-11593.31-29768.611.391.210.0161324.45
Although, strategy looks good but profit factor on day 3 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-13.0881800.0888216723.8612553.1838428.36-2713.68-3991.54.631.450.023929.55
50trail328966.3388246427.277855.611817.22-2805.75-3991.52.81.050.0041101.89
50nil32.14372.24882266258984.7711817.22-2928.68-3991.53.071.020.001949.68
atrtrail24.14-20071.674235131.0813818.6826291.5-6625.52-13649.862.090.94-0.0052-271.24
50nil21.75-29935.1689266329.215992.837878.15-2948.39-3991.52.030.84-0.017-336.35
atrtrail-15.28-63565.9774225229.7312514.0536482.25-6516.83-13649.861.920.81-0.016-859
50trail21.7-34992.3890256527.785927.767878.15-2818.25-3991.52.10.81-0.02-388.8
atrnil25.92-70389.264184628.1216476.3526291.5-7977.47-14703.12.070.81-0.019-1099.83
atrtrail34.69-80736.7974225229.7311733.5639437.24-6516.83-13649.861.80.76-0.022-1091.04
atrnil38.05-12321859114818.6423438.7439437.24-7938.42-14703.12.950.68-0.033-2088.44

In the table above, row 1 shows the best exit criterion. Profit factor is 1.45. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 23.86%, which is not acceptable. Avoid this strategy. Average return per trade is 0.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017802 Jan 2017 (-1.27%), 04 Jan 2017 (12.89%), 27 Mar 2017 (1.94%), 13 Nov 2017 (-1.9%), 30 Nov 2017 (-1.0%), 08 Dec 2017 (-1.16%), 18 Dec 2017 (-0.93%), 20 Dec 2017 (2.83%)
2016727 May 2016 (-2.0%), 10 Jun 2016 (-1.39%), 20 Jun 2016 (-1.66%), 04 Jul 2016 (-1.08%), 30 Sep 2016 (12.49%), 24 Nov 2016 (6.52%), 19 Dec 2016 (-1.09%)
2014707 Jan 2014 (-1.98%), 25 Mar 2014 (7.62%), 11 Jul 2014 (-1.9%), 12 Aug 2014 (-1.32%), 14 Aug 2014 (-0.91%), 24 Nov 2014 (-1.1%), 28 Nov 2014 (-1.28%)
2012417 Apr 2012 (-0.46%), 25 Apr 2012 (-1.43%), 28 Apr 2012 (-1.56%), 21 Jun 2012 (-1.76%)
2011231 Mar 2011 (0.87%), 27 Apr 2011 (-1.37%)
2010329 Apr 2010 (-1.47%), 28 Oct 2010 (-1.5%), 03 Nov 2010 (3.29%)
2009420 Jul 2009 (-1.2%), 22 Jul 2009 (11.22%), 04 Sep 2009 (19.21%), 06 Nov 2009 (5.08%)
2008415 Feb 2008 (-1.01%), 18 Feb 2008 (-1.45%), 27 Feb 2008 (-1.16%), 18 Jun 2008 (-1.89%)
2007827 Jun 2007 (14.59%), 02 Aug 2007 (-0.94%), 07 Aug 2007 (-0.04%), 13 Aug 2007 (-1.56%), 12 Nov 2007 (3.76%), 26 Nov 2007 (-1.98%), 12 Dec 2007 (-0.06%), 24 Dec 2007 (2.05%)
20061203 Jul 2006 (-1.79%), 10 Jul 2006 (-1.1%), 13 Jul 2006 (-1.08%), 26 Jul 2006 (-1.27%), 27 Jul 2006 (-1.56%), 28 Jul 2006 (-1.44%), 01 Aug 2006 (5.62%), 05 Sep 2006 (0.21%), 25 Sep 2006 (3.97%), 10 Oct 2006 (-1.88%), 12 Oct 2006 (-1.44%), 21 Oct 2006 (-1.41%)
2005201 Apr 2005 (-1.28%), 06 Oct 2005 (-1.6%)
2004530 Jan 2004 (-1.6%), 10 Feb 2004 (6.81%), 25 Feb 2004 (-1.28%), 10 Mar 2004 (-1.37%), 21 Apr 2004 (-1.68%)
2003121 Feb 2003 (-1.13%)
2002606 Mar 2002 (-1.6%), 08 Mar 2002 (-1.72%), 11 Apr 2002 (-1.33%), 07 Oct 2002 (-1.31%), 11 Oct 2002 (0.07%), 21 Oct 2002 (-1.05%)
2001204 May 2001 (-1.0%), 06 Jun 2001 (-1.32%)
2000124 Jan 2000 (-1.94%)
1999709 Aug 1999 (-1.87%), 12 Aug 1999 (-1.37%), 20 Aug 1999 (5.82%), 30 Sep 1999 (-1.1%), 07 Oct 1999 (4.93%), 26 Nov 1999 (-1.37%), 07 Dec 1999 (-1.38%)
1997412 Mar 1997 (-1.35%), 23 Apr 1997 (-1.17%), 30 Apr 1997 (-1.69%), 20 Aug 1997 (-1.41%)
1996128 Jun 1996 (-1.21%)



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