Study: Sell TATASTEEL when RSI is below 50 and there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell TATASTEEL when RSI is below 50 and there is Bearish Crossover in MACD 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
18793.9437201754.053789.4614785.37-3940.9-10917.750.961.130.0095237.67
2-5709537142337.844497.5312781.78-5220.02-200000.860.52-0.047-1543.11
3-68785.3137122532.436315.4714864.86-5782.84-30173.911.090.52-0.046-1859.06
4-11245337132435.144868.0212752.31-7322.39-40347.830.660.36-0.068-3039.27
5-1383223792824.327777.2113695.53-7439.9-32956.521.050.34-0.084-3738.44
6-14969837132435.148283.2517740.67-10724.19-35478.260.770.42-0.069-4045.9
7-12879337181948.657398.9323544.52-13788.11-35043.480.540.51-0.052-3480.9
8-113132361818509395.5217251.71-15680.65-54086.960.60.6-0.038-3142.56
9-13593436171947.229570.8321287.98-15717.82-44608.70.610.54-0.048-3775.95
10-13595236171947.228373.2220676.48-14647.22-33186.150.570.51-0.053-3776.46

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.13. 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 54.05%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0095, 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-118793.9437201754.053789.4614785.37-3940.9-10917.750.961.130.0095237.67
atrtrail34.57-72460.9842132930.959940.6630733.58-6954.81-13338.341.430.64-0.035-1725.26
atrtrail-15.1-79457.1142132930.959402.526596.97-6954.81-13338.341.350.61-0.04-1891.84
atrnil26.29-12091642103223.8116405.1922108.09-8905.25-16539.711.840.58-0.052-2878.95
atrnil37.49-1294064173417.0724663.3633162.13-8883.8-16539.712.780.57-0.049-3156.24
atrtrail24.07-92503.8342132930.958398.920489.05-6954.81-13338.341.210.54-0.052-2202.47

In the table above, row 1 shows the best exit criterion. Profit factor is 1.13. 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 54.05%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0095, 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:1.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019104 Oct 2019 (2.49%)
2018109 Mar 2018 (-2.66%)
2017108 Mar 2017 (0.63%)
2016126 Oct 2016 (0.36%)
2015726 Feb 2015 (-1.58%), 27 Mar 2015 (-2.32%), 12 May 2015 (-1.67%), 09 Jul 2015 (-0.14%), 24 Jul 2015 (5.4%), 13 Aug 2015 (-1.71%), 24 Sep 2015 (2.74%)
2014130 Apr 2014 (2.65%)
2013221 Mar 2013 (1.83%), 09 Jul 2013 (2.08%)
2011123 Sep 2011 (-0.61%)
2010108 Jun 2010 (-2.58%)
2007127 Jul 2007 (1.25%)
2006101 Dec 2006 (-0.09%)
2005124 Nov 2005 (0.04%)
2004214 Jun 2004 (-5.46%), 11 Aug 2004 (0.27%)
2003228 Mar 2003 (0.11%), 17 Apr 2003 (-1.1%)
2002125 Jan 2002 (-1.95%)
2001312 Apr 2001 (-4.83%), 29 Aug 2001 (0.12%), 17 Sep 2001 (-2.31%)
2000221 Jul 2000 (7.39%), 11 Oct 2000 (1.14%)
1999127 May 1999 (1.55%)
1998212 Jan 1998 (-0.44%), 26 Nov 1998 (2.48%)
1997231 Jan 1997 (3.26%), 11 Mar 1997 (-2.17%)
1996211 Mar 1996 (1.38%), 24 Jul 1996 (0.7%)
1995124 Oct 1995 (-1.88%)



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