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

home > technical-strategy > tatasteel > 55

In this study, we evaluate the performance of strategy "Buy TATASTEEL when ADX is Trending 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
139526.571082805839.3319167.47-3594.04-4294.231.626.50.133952.66
226474.681082806174.8718102.61-11462.12-19880.720.542.150.0572647.47
343414.5210737011137.9217313-11516.97-24493.040.972.260.0714341.45
466387.6810737014746.3523170.22-12278.93-16302.191.22.80.16638.77
541063.5710737012139.2128021.75-14636.97-24890.660.831.940.0554106.36
651889.1110737015698.7643580.09-19334.08-36023.860.811.890.0525188.91
752887.3110737016835.8251024.68-21654.48-38568.590.781.810.0475288.73
836861.9710555022636.8548766.21-15264.46-25606.361.481.480.0333686.2
931813.710555018173.233793.39-11810.46-30457.261.541.540.0353181.37
1015286.1110464020890.1738561.27-11379.09-27355.861.841.220.0171528.61

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 6.5. Strategy is very good and impressively bullish. Percentage of profitable trades is 80%, which is excellent. Average return per trade is 1.98%, which is not very high, but percentage of profitable trades compensates for it.
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:6.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016117 Mar 2016 (2.13%)
2013101 Feb 2013 (-1.45%)
2010108 Oct 2010 (2.15%)
2009108 Jun 2009 (5.22%)
2007116 May 2007 (1.55%)
2006122 Feb 2006 (1.74%)
2004131 Dec 2004 (0.56%)
2002121 Feb 2002 (9.58%)
1999219 May 1999 (-2.15%), 10 Jun 1999 (0.42%)

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-1139526.571082805839.3319167.47-3594.04-4294.231.626.50.133952.66
atrtrail3447809.0910646013142.5423700.86-7761.53-11739.861.692.540.084780.91
atrtrail-14.734470.3310646010919.4123111.67-7761.53-11739.861.412.110.0653447.03
atrtrail23.5525666.69116554.5510785.5615800.57-7809.34-11739.861.381.660.0472333.34
atrnil35.631688.2910464021168.623700.86-8831.02-13950.232.41.60.0433168.83
atrnil24.36-4537.08114736.3614112.415800.57-8712.38-13950.231.620.93-0.0074-412.46

In the table above, row 1 shows the best exit criterion. Profit factor is 6.5. Strategy is very good and impressively bullish. Percentage of profitable trades is 80%, which is excellent. Average return per trade is 1.98%, which is not very high, but percentage of profitable trades compensates for it.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play