Study: Buy TATASTEEL when RSI is above 50 and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy TATASTEEL when RSI is above 50 and there is Golden 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: 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
152539.071611568.756695.3319167.47-4221.92-6644.941.593.490.13283.69
246031.511610662.58364.1718102.61-6268.36-19880.721.332.220.0612876.97
367634.571611568.7510693.7831096.56-9999.41-24493.041.072.350.0664227.16
41119201611568.7515454.6537152.21-11616.29-16302.191.332.930.16994.98
596593.781611568.7514898.7540534.64-13458.49-24890.661.112.440.0766037.11
669963.221611568.7515088.2533115.11-19201.51-36023.860.791.730.0494372.7
761979.261611568.7515589.7338005.72-21901.55-38568.590.711.570.0393873.7
863245.08169756.2520119.7745279.93-16833.26-33826.021.21.540.0363952.82
965395.8169756.2519234.543073.15-15387.82-30457.261.251.610.0384087.24
1031858.3316885018214.4133769.78-14232.12-32518.181.281.280.0211991.15

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.49. Strategy is very good and impressively bullish. Percentage of profitable trades is 68.75%, which is good. Average return per trade is 1.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.1, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
TATASTEEL Performance, X=1, Profit Factor:3.49

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016117 Mar 2016 (2.13%)
2013108 Nov 2013 (1.42%)
2012104 Apr 2012 (-3.32%)
2010108 Oct 2010 (2.15%)
2009108 Jun 2009 (5.22%)
2008112 Jun 2008 (-1.74%)
2007116 May 2007 (1.55%)
2006122 Feb 2006 (1.74%)
2004131 Dec 2004 (0.56%)
2002121 Feb 2002 (9.58%)
2000128 Dec 2000 (5.17%)
1999310 Feb 1999 (-1.06%), 19 May 1999 (-2.15%), 09 Jun 1999 (-2.29%)
1998102 Jun 1998 (5.52%)
1997127 Jun 1997 (1.77%)

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-1152539.071611568.756695.3319167.47-4221.92-6644.941.593.490.13283.69
atrtrail-16.821070791711664.7113749.1632902.83-7360.32-12352.581.873.420.0956298.76
atrtrail35.241031831711664.7113394.9823700.86-7360.32-12352.581.823.340.16069.58
atrtrail24.0673190.321811761.1111395.7117779.08-7451.78-12352.581.532.40.0814066.13
atrnil36.8257216.831771041.1820764.9823700.86-8813.81-13950.232.361.650.0463365.7
atrnil24.8927433.261881044.4414335.2917779.08-8724.91-13950.231.641.310.0261524.07

In the table above, row 3 shows the best exit criterion. Profit factor is 3.34. Strategy is very good and impressively bullish. Percentage of profitable trades is 64.71%, which is good. Average return per trade is 3.03%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATASTEEL Performance, Profit Factor:3.34

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016117 Mar 2016 (3.83%)
2013108 Nov 2013 (10.21%)
2012204 Apr 2012 (-3.39%), 09 Apr 2012 (-0.71%)
2010108 Oct 2010 (1.22%)
2009108 Jun 2009 (2.92%)
2008112 Jun 2008 (-4.62%)
2007116 May 2007 (10.39%)
2006122 Feb 2006 (9.23%)
2004131 Dec 2004 (-2.03%)
2002121 Feb 2002 (11.85%)
2000128 Dec 2000 (10.72%)
1999310 Feb 1999 (2.7%), 19 May 1999 (-5.15%), 09 Jun 1999 (-6.18%)
1998102 Jun 1998 (1.2%)
1997127 Jun 1997 (9.42%)



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