Study: Buy TATASTEEL when above 200 SMA and near 50 SMA and above 50 SMA and ADX is Trending

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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 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: 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
1-4043.36117463.641595.253986.87-3802.52-7648.140.420.73-0.023-367.58
2-11123.99115645.453197.115985.49-4518.26-131460.710.59-0.042-1011.27
3-16756.36115645.454189.8610704.28-6284.28-11171.550.670.56-0.05-1523.31
4-7892.58115645.455557.3611010.44-5946.56-11435.550.930.78-0.023-717.51
5-5421.12115645.456837.2610734.69-6601.24-13781.311.040.86-0.013-492.83
6-5948.64114736.369754.3814705.88-6423.74-13659.131.520.87-0.013-540.79
7-3287.11115645.459408.0815606.24-8387.91-13265.031.120.93-0.0062-298.83
8-4128.95115645.4510066.6419047.62-9077.03-13805.741.110.92-0.007-375.36
9-32086.19115645.459899.3914945.98-13597.19-21014.050.730.61-0.047-2916.93
10-41074.6114736.3615201.321268.51-14554.26-29768.611.040.6-0.045-3734.05
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-1435438.151441028.5714634.2529187.55-2309.89-3966.566.342.530.0582531.3
50trail32.1421479.98145935.718899.5111788.72-2557.51-3966.563.481.930.0561534.28
50nil32.1418644.05145935.718899.5111788.72-2872.61-3966.563.11.720.0471331.72
50trail21.796647.46145935.715933.017859.14-2557.51-3966.562.321.290.023474.82
50nil21.793811.53145935.715933.017859.14-2872.61-3966.562.071.150.013272.25
atrtrail251216.27124833.3312828.7119358-6262.32-11566.472.051.020.0021101.36
atrtrail-16.17105.72124833.3312551.0728342.1-6262.32-11566.47210.000178.81
atrtrail35.83-7555.61124833.3310635.7420680.78-6262.32-11566.471.70.85-0.014-629.63
atrnil312.9-15160.7710282024858.8929037-8109.82-12581.033.070.77-0.023-1516.08
atrnil212.3-31733.3710282016572.619358-8109.82-12581.032.040.51-0.063-3173.34

In the table above, row 1 shows the best exit criterion. Profit factor is 2.53. 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 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is 1.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.058, 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:2.53

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2014107 Jan 2014 (-1.98%)
2009106 Nov 2009 (5.08%)
2008215 Feb 2008 (-1.01%), 18 Feb 2008 (-1.45%)
2007327 Jun 2007 (14.59%), 02 Aug 2007 (-0.94%), 07 Aug 2007 (-0.04%)
2006331 Jul 2006 (-1.2%), 01 Aug 2006 (5.62%), 25 Sep 2006 (3.97%)
2005101 Apr 2005 (-1.28%)
2003121 Feb 2003 (-1.13%)
1997212 Mar 1997 (-1.35%), 23 Apr 1997 (-1.17%)



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