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

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In this study, we evaluate the performance of strategy "Buy TATASTEEL when near 200 SMA and above 200 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
18201.9243192444.194554.9216059.11-3264.23-14121.41.41.10.0075190.74
2-1277.8643192444.195460.6723341.76-4376.28-11864.191.250.99-0.00093-29.72
36215.1643182541.867466.9424508.85-5127.59-14093.681.461.050.0036144.54
447429.7143182541.8610905.6327037.54-5954.86-26856.421.831.320.0211103.02
574489.4243222151.1611053.4436256.16-8032.68-22037.481.381.440.0281732.31
610890643232053.4911255.9738620.69-7499.05-20656.621.51.730.0422532.71
757927.0143241955.819973.9957142.86-9549.93-36945.191.041.320.0191347.14
8-5302.5743222151.169599.2241083.74-10308.83-51824.710.930.98-0.0017-123.32
9-32961.843182541.8612385.7535566.5-10236.21-34577.991.210.87-0.011-766.55
1011835.843192444.1914076.5636551.72-10650.78-26492.451.321.050.0036275.25
Although, strategy looks good but profit factor on day 2 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
200trail-13.3211101065204530.7711602.3637014.78-2689.72-3953.234.311.920.0411707.84
atrtrail-15.4712313058203834.4815630.9564683.94-4986.55-14100.753.131.650.0312122.93
200trail32.1152492.3566234334.857387.5611053.65-2730.73-3953.232.711.450.032795.34
atrtrail34.5577790.5358203834.4813363.9743726.79-4986.55-14100.752.681.410.0251341.22
atrtrail23.860672.659213835.5911979.629151.2-5023.66-14100.752.381.320.0231028.35
200nil32.353735763204331.758322.2911537.33-3002.06-3979.082.771.290.022592.97
200trail21.8228464.5467254237.315707.897958.16-2719.83-3953.232.11.250.021424.84
atrnil24.8446529.4655203536.3614437.5229151.2-6920.6-14483.272.091.190.016845.99
200nil21.8821273.3866254137.885753.927958.16-2989.63-3953.231.921.170.015322.32
atrnil37.94-29866.6749113822.4522018.743726.79-7159.8-14483.273.080.89-0.0095-609.52

In the table above, row 1 shows the best exit criterion. Profit factor is 1.92. 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 30.77%, which is not acceptable. Avoid this strategy. Average return per trade is 0.85%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.041, 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:1.92

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019118 Apr 2019 (-1.98%)
2018321 Feb 2018 (3.98%), 07 Mar 2018 (-1.22%), 21 Sep 2018 (-1.51%)
2016101 Mar 2016 (10.53%)
2014508 Oct 2014 (-0.78%), 14 Oct 2014 (-1.69%), 21 Oct 2014 (-0.49%), 21 Nov 2014 (0.63%), 25 Nov 2014 (-1.52%)
2013216 Jan 2013 (-1.37%), 28 Oct 2013 (7.15%)
2012513 Feb 2012 (-0.63%), 21 Jun 2012 (-1.04%), 28 Jun 2012 (3.49%), 12 Jul 2012 (-1.16%), 18 Dec 2012 (4.87%)
2011415 Mar 2011 (-0.47%), 17 Mar 2011 (5.9%), 19 Apr 2011 (1.79%), 28 Apr 2011 (-1.48%)
2008121 Jan 2008 (-1.44%)
2006226 Oct 2006 (-1.37%), 06 Nov 2006 (-1.62%)
2005428 Apr 2005 (1.58%), 17 Oct 2005 (-1.57%), 14 Dec 2005 (-1.43%), 21 Dec 2005 (-0.96%)
2004405 May 2004 (0.19%), 02 Dec 2004 (-1.8%), 06 Dec 2004 (-1.85%), 14 Dec 2004 (16.28%)
2003517 Mar 2003 (4.76%), 27 Mar 2003 (-1.56%), 01 Apr 2003 (3.14%), 05 May 2003 (-1.55%), 13 May 2003 (1.72%)
2002614 Jan 2002 (-1.22%), 01 Feb 2002 (-1.85%), 07 Feb 2002 (6.37%), 25 Oct 2002 (-1.94%), 28 Oct 2002 (-1.12%), 30 Oct 2002 (4.77%)
2001330 Mar 2001 (-1.63%), 11 Apr 2001 (-1.54%), 19 Jun 2001 (-1.4%)
2000101 Feb 2000 (-1.26%)
1999328 Jan 1999 (-1.59%), 02 Feb 1999 (2.98%), 28 May 1999 (18.51%)
1998307 Apr 1998 (-1.85%), 16 Apr 1998 (-1.56%), 05 May 1998 (-1.09%)
1997714 Feb 1997 (-1.09%), 12 Mar 1997 (-1.06%), 28 Apr 1997 (-1.06%), 19 May 1997 (-1.27%), 12 Jun 1997 (7.25%), 05 Sep 1997 (-1.03%), 10 Sep 1997 (-1.28%)
1996510 Apr 1996 (-1.79%), 09 May 1996 (-1.72%), 10 May 1996 (10.16%), 10 Jul 1996 (-0.53%), 12 Jul 1996 (-1.16%)



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