Study: Buy TATASTEEL when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy TATASTEEL when RSI is above 50 and there is Bullish 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: 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
139291.1252282453.853544.211745.69-2497.77-8490.151.421.660.038755.6
22998.3522626504432.0313414.38-4316.71-17473.961.031.030.001957.66
38764.1852242846.156873.6315207.09-5578.68-17595.311.231.060.0045168.54
436269.1652302257.697456.8124138.57-8519.78-20383.90.881.190.014697.48
587058.0852312159.629696.4930495.69-10168.24-26171.880.951.410.0281674.19
613172752341865.389945.2741379.31-11467.32-22918.570.871.640.042533.22
721217352331963.4612714.1635046.99-10915.51-23222.81.162.020.0594080.25
820788052322061.5413160.8951188.5-10663.42-25998.581.231.970.0513997.69
925961352351767.3113892.0857543.1-13329.98-26253.231.042.150.0574992.56
1023968352322061.5415755.1863254.31-13224.16-33178.291.191.910.0494609.28
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
TATASTEEL Performance, X=9, Profit Factor:2.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018129 Oct 2018 (1.59%)
2017623 Feb 2017 (-3.36%), 09 Jun 2017 (1.57%), 29 Jun 2017 (4.49%), 07 Aug 2017 (3.58%), 04 Sep 2017 (5.01%), 09 Oct 2017 (2.12%)
2016231 Mar 2016 (4.11%), 20 Apr 2016 (-2.39%)
2014207 Feb 2014 (-4.6%), 14 May 2014 (5.58%)
2013112 Aug 2013 (17.16%)
2012213 Feb 2012 (-8.82%), 30 Nov 2012 (0.63%)
2011102 Dec 2011 (-12.92%)
2010218 Feb 2010 (7.0%), 01 Sep 2010 (12.22%)
2009207 May 2009 (26.21%), 08 Oct 2009 (1.39%)
2008104 Feb 2008 (1.99%)
2007314 May 2007 (5.26%), 29 Aug 2007 (7.39%), 25 Oct 2007 (-12.79%)
2006522 Feb 2006 (13.8%), 23 Mar 2006 (11.75%), 02 Aug 2006 (4.19%), 26 Sep 2006 (0.95%), 05 Dec 2006 (-5.05%)
2005228 Jan 2005 (4.61%), 02 Mar 2005 (3.31%)
2004202 Apr 2004 (-2.0%), 28 Jun 2004 (1.04%)
2003721 Jan 2003 (-2.14%), 05 May 2003 (2.58%), 24 Jun 2003 (9.76%), 28 Jul 2003 (14.81%), 30 Sep 2003 (20.43%), 03 Nov 2003 (-7.0%), 04 Dec 2003 (4.56%)
2002225 Feb 2002 (-8.48%), 24 Dec 2002 (1.14%)
2001218 Apr 2001 (4.31%), 11 Dec 2001 (-13.13%)
2000119 Oct 2000 (2.68%)
1999203 May 1999 (28.77%), 05 Jul 1999 (-0.91%)
1997427 Jan 1997 (-8.25%), 01 Mar 1997 (-8.84%), 21 Apr 1997 (-2.48%), 06 Aug 1997 (-10.15%)
1995204 Apr 1995 (0.07%), 18 May 1995 (7.02%)

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
atrtrail-17.2337418156302653.5717877.2289683.1-6236-14331.982.873.310.076681.8
atrtrail35.5521248758302851.7212587.0841769.07-5897.33-14331.982.132.290.063663.57
atrtrail24.4615756859302950.8510902.8227846.05-5845.39-14331.981.871.930.0542670.65
atrnil26.4410930057243342.1114780.9627846.05-7437.67-14560.171.991.450.0341917.54
atrnil38.0995005.5855183732.7321207.0141769.07-7749.2-14560.172.741.330.0241727.37

In the table above, row 1 shows the best exit criterion. Profit factor is 3.31. Strategy is very good and impressively bullish. Percentage of profitable trades is 53.57%, which is not acceptable. Avoid this strategy. Average return per trade is 3.34%, which is very good. Sharpe Ratio is 0.07, 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:3.31

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018129 Oct 2018 (-3.55%)
2017623 Feb 2017 (0.46%), 09 Jun 2017 (0.67%), 29 Jun 2017 (4.9%), 07 Aug 2017 (0.48%), 04 Sep 2017 (4.36%), 09 Oct 2017 (-2.21%)
2016231 Mar 2016 (-3.18%), 20 Apr 2016 (-3.4%)
2014207 Feb 2014 (-2.01%), 14 May 2014 (-1.27%)
2013112 Aug 2013 (0.7%)
2012213 Feb 2012 (-1.75%), 30 Nov 2012 (1.32%)
2011102 Dec 2011 (-4.23%)
2010218 Feb 2010 (5.52%), 01 Sep 2010 (23.1%)
2009307 May 2009 (-7.17%), 18 May 2009 (44.84%), 08 Oct 2009 (4.17%)
2008104 Feb 2008 (-5.28%)
2007314 May 2007 (7.53%), 29 Aug 2007 (24.53%), 25 Oct 2007 (-5.4%)
2006522 Feb 2006 (11.56%), 23 Mar 2006 (15.17%), 02 Aug 2006 (0.01%), 26 Sep 2006 (1.81%), 05 Dec 2006 (-2.68%)
2005228 Jan 2005 (12.29%), 14 Mar 2005 (-1.03%)
2004202 Apr 2004 (-3.33%), 28 Jun 2004 (0.13%)
2003821 Jan 2003 (-0.9%), 05 May 2003 (-2.68%), 24 Jun 2003 (20.66%), 28 Jul 2003 (23.24%), 30 Sep 2003 (21.19%), 03 Nov 2003 (-4.05%), 04 Dec 2003 (-3.44%), 12 Dec 2003 (12.12%)
2002225 Feb 2002 (-3.97%), 24 Dec 2002 (2.23%)
2001218 Apr 2001 (4.43%), 11 Dec 2001 (-3.55%)
2000119 Oct 2000 (0.82%)
1999203 May 1999 (14.86%), 05 Jul 1999 (3.41%)
1997627 Jan 1997 (-1.81%), 01 Mar 1997 (-3.51%), 03 Mar 1997 (-2.3%), 21 Apr 1997 (0.7%), 06 Aug 1997 (-3.0%), 07 Aug 1997 (-3.29%)
1995204 Apr 1995 (0.97%), 18 May 1995 (-2.09%)



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