Study: Sell TATASTEEL when there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell TATASTEEL when there is Dead Cross (50 DMA < 200 DMA)" 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
111700.5220128604283.5612352.03-4962.77-13108.180.861.290.021585.03
2-13707.8420119556274.8713004.03-9192.37-17758.860.680.83-0.016-685.39
320221.2220119558381.9117085.97-7997.75-15681.121.051.280.0221011.06
441321.22209114514828.0426942.71-8375.56-20324.131.771.450.0312066.06
536268.062010105011431.6524329.69-7804.84-15593.521.461.460.0321813.4
634138.76208124013072.0927531.26-5869.83-17086.982.231.480.031706.94
744328.5209114512257.5525849.29-5999.04-24498.22.041.670.0392216.42
829323.84209114511984.5822393.25-7139.76-23365.931.681.370.0251466.19
932473.76201195510250.4222740.81-8920.09-25527.531.151.40.0271623.69
1080424.872010105014524.6828748.76-6482.19-14616.572.242.240.0664021.24
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=10, Profit Factor:2.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018106 Apr 2018 (-3.24%)
2014108 Dec 2014 (10.58%)
2013104 Mar 2013 (-4.36%)
2012114 Jun 2012 (-5.43%)
2011116 May 2011 (-0.26%)
2010118 Jun 2010 (-0.25%)
2008226 Mar 2008 (-3.22%), 15 Jul 2008 (9.79%)
2006116 Nov 2006 (2.99%)
2005229 Jun 2005 (-2.59%), 28 Nov 2005 (-5.31%)
2004131 May 2004 (7.86%)
2001117 Jul 2001 (5.29%)
2000107 Mar 2000 (-7.31%)
1999113 May 1999 (9.68%)
1998125 Jun 1998 (1.41%)
1997222 May 1997 (2.76%), 22 Oct 1997 (7.88%)
1996126 Aug 1996 (-0.45%)
1995128 Dec 1995 (14.37%)

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-14.54-222.1824101441.6710457.732298.12-7485.66-13209.261.41-0.00017-9.26
atrtrail33.92-16337.6624101441.678846.1522056.08-7485.66-13209.261.180.84-0.014-680.74
atrnil26.46-30179.82471729.1717062.9923851.48-8801.22-17133.081.940.8-0.02-1257.49
atrnil37.54-39871.322451920.8325420.4735550.21-8788.09-17133.082.890.76-0.023-1661.3
atrtrail23.71-31549.1424101441.677325.0114704.05-7485.66-13209.260.980.7-0.032-1314.55

In the table above, row 1 shows the best exit criterion. Profit factor is 1. 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 41.67%, which is not acceptable. Avoid this strategy. Average return per trade is -0.0046%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATASTEEL Performance, Profit Factor:0.998

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018106 Apr 2018 (-3.52%)
2014108 Dec 2014 (10.59%)
2013204 Mar 2013 (-3.17%), 05 Mar 2013 (-3.12%)
2012114 Jun 2012 (-2.9%)
2011116 May 2011 (0.2%)
2010218 Jun 2010 (-3.72%), 21 Jun 2010 (3.44%)
2008226 Mar 2008 (-6.58%), 15 Jul 2008 (1.51%)
2006116 Nov 2006 (1.46%)
2005229 Jun 2005 (-0.92%), 28 Nov 2005 (-3.43%)
2004131 May 2004 (-6.6%)
2001117 Jul 2001 (4.7%)
2000107 Mar 2000 (-1.17%)
1999313 May 1999 (-5.21%), 14 May 1999 (-5.03%), 21 May 1999 (-3.35%)
1998125 Jun 1998 (0.73%)
1997222 May 1997 (3.46%), 22 Oct 1997 (10.04%)
1996126 Aug 1996 (-3.69%)
1995128 Dec 1995 (16.15%)



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