Study: Buy TATASTEEL when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy TATASTEEL when below 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
17046.42128606846.885140.8224133.27-4432.39-15979.191.161.020.001755.05
2-14193.54128587045.318181.4851612.9-6981.71-21662.251.170.97-0.0021-110.89
330154128636549.229029.9345295.7-8288.18-36123.141.091.060.004235.58
448015.57128596946.0910398.5163440.86-8195.6-32494.441.271.080.0055375.12
5-13852.43128567243.7512352.2892809.14-9799.73-45410.631.260.98-0.0013-108.22
619762.44128636549.2212203.1192607.53-11523.59-67707.171.061.030.0017154.39
717998.35128626648.4413900.6494153.23-12785.48-74916.391.091.020.0014140.61
876276.04128626648.4415606.33105376-13504.8-64399.851.161.090.0057595.91
9-25294.88128587045.3116941.11102352-14398.27-72316.521.180.97-0.0018-197.62
10-45445.53128577144.5317907.9995709.57-15016.91-74002.111.190.96-0.0032-355.04
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
atrtrail-15.313804692709018033.3317577.1782516.8-6674.87-32995.842.631.320.0171409.15
atrtrail34.522545512709317734.4415425.2678893.58-6666.66-32995.842.311.220.013942.78
atrtrail23.941211412709317734.4413990.7677199.65-6666.66-32995.842.11.10.0072448.67
atrnil38.39-47274.392235117222.8730172.6278893.58-9221.38-38599.823.270.97-0.0024-211.99
atrnil25.51-46129.922407416630.8319546.0277199.65-8991.18-32995.842.170.97-0.0026-192.21

In the table above, row 1 shows the best exit criterion. Profit factor is 1.32. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.7%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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:1.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191503 Jan 2019 (-0.82%), 09 Jan 2019 (-2.68%), 22 Jan 2019 (-0.88%), 25 Jan 2019 (2.43%), 10 May 2019 (-3.65%), 13 May 2019 (-1.46%), 10 Jul 2019 (1.28%), 24 Jul 2019 (-3.54%), 30 Jul 2019 (-0.08%), 05 Aug 2019 (-3.7%), 07 Aug 2019 (-4.65%), 08 Aug 2019 (-4.9%), 13 Aug 2019 (-0.66%), 21 Aug 2019 (-4.22%), 04 Oct 2019 (18.11%)
20181022 Feb 2018 (2.56%), 09 Mar 2018 (-0.37%), 16 Mar 2018 (-3.75%), 19 Mar 2018 (-0.98%), 23 Mar 2018 (0.07%), 23 May 2018 (3.4%), 16 Jul 2018 (-0.98%), 18 Jul 2018 (8.22%), 06 Dec 2018 (-3.39%), 11 Dec 2018 (2.26%)
2016315 Jan 2016 (-1.15%), 03 Feb 2016 (0.13%), 12 Feb 2016 (41.26%)
20152114 Jan 2015 (3.88%), 06 Feb 2015 (-3.15%), 09 Feb 2015 (4.64%), 26 Feb 2015 (-0.57%), 05 Mar 2015 (-3.31%), 10 Mar 2015 (-1.67%), 25 Mar 2015 (-3.15%), 21 May 2015 (-3.64%), 27 May 2015 (-2.74%), 03 Jun 2015 (-3.27%), 04 Jun 2015 (-2.56%), 11 Jun 2015 (1.64%), 08 Jul 2015 (-2.54%), 21 Jul 2015 (-0.96%), 23 Jul 2015 (-3.16%), 27 Jul 2015 (1.15%), 13 Aug 2015 (3.73%), 24 Aug 2015 (5.24%), 28 Sep 2015 (17.12%), 05 Nov 2015 (-3.88%), 06 Nov 2015 (2.72%)
2014601 Oct 2014 (0.73%), 08 Dec 2014 (-2.87%), 09 Dec 2014 (-3.03%), 11 Dec 2014 (-3.28%), 12 Dec 2014 (-3.57%), 16 Dec 2014 (0.44%)
20132522 Jan 2013 (-2.47%), 29 Jan 2013 (-0.7%), 04 Feb 2013 (-1.81%), 08 Feb 2013 (-2.44%), 13 Feb 2013 (0.25%), 21 Feb 2013 (-2.59%), 26 Feb 2013 (-0.74%), 28 Feb 2013 (2.13%), 21 Mar 2013 (-3.26%), 25 Mar 2013 (-3.44%), 04 Apr 2013 (-1.92%), 11 Apr 2013 (1.71%), 31 May 2013 (-0.7%), 11 Jun 2013 (-3.26%), 13 Jun 2013 (5.64%), 27 Jun 2013 (3.02%), 08 Jul 2013 (-2.34%), 16 Jul 2013 (-3.51%), 17 Jul 2013 (-2.99%), 22 Jul 2013 (-3.31%), 25 Jul 2013 (-3.79%), 29 Jul 2013 (-4.02%), 02 Aug 2013 (-2.04%), 06 Aug 2013 (20.16%), 30 Sep 2013 (20.71%)
20121606 Mar 2012 (5.63%), 04 May 2012 (-1.16%), 08 May 2012 (-3.41%), 11 May 2012 (-2.03%), 16 May 2012 (-2.3%), 23 May 2012 (1.62%), 23 Jul 2012 (-2.65%), 25 Jul 2012 (4.26%), 27 Aug 2012 (-2.72%), 28 Aug 2012 (-2.88%), 30 Aug 2012 (-2.87%), 03 Sep 2012 (-1.34%), 05 Sep 2012 (14.02%), 12 Nov 2012 (-2.05%), 15 Nov 2012 (-2.61%), 19 Nov 2012 (7.64%)
20112311 Mar 2011 (-0.58%), 03 May 2011 (-2.24%), 04 May 2011 (-1.37%), 16 May 2011 (-2.36%), 19 May 2011 (0.43%), 23 May 2011 (2.64%), 16 Jun 2011 (1.29%), 28 Jul 2011 (-1.27%), 04 Aug 2011 (-2.2%), 05 Aug 2011 (-2.55%), 08 Aug 2011 (-2.9%), 09 Aug 2011 (-3.28%), 16 Aug 2011 (-2.6%), 24 Aug 2011 (-3.7%), 26 Aug 2011 (13.6%), 30 Sep 2011 (-4.11%), 03 Oct 2011 (10.72%), 14 Nov 2011 (-4.38%), 18 Nov 2011 (-4.54%), 25 Nov 2011 (7.05%), 16 Dec 2011 (-4.68%), 20 Dec 2011 (-0.41%), 30 Dec 2011 (27.14%)
2010614 May 2010 (-4.53%), 17 May 2010 (-4.63%), 19 May 2010 (-4.64%), 24 May 2010 (-4.77%), 25 May 2010 (0.21%), 07 Jun 2010 (2.39%)
2009612 Jan 2009 (-2.14%), 15 Jan 2009 (-2.93%), 21 Jan 2009 (-8.41%), 23 Jan 2009 (2.13%), 24 Feb 2009 (0.47%), 03 Mar 2009 (17.96%)
20082313 Mar 2008 (-3.83%), 17 Mar 2008 (-7.02%), 24 Mar 2008 (13.08%), 20 Jun 2008 (-4.8%), 23 Jun 2008 (-5.26%), 24 Jun 2008 (0.43%), 03 Jul 2008 (-0.55%), 16 Jul 2008 (-0.47%), 26 Aug 2008 (-2.16%), 05 Sep 2008 (-3.9%), 10 Sep 2008 (-5.54%), 15 Sep 2008 (-5.7%), 17 Sep 2008 (-5.95%), 18 Sep 2008 (1.22%), 30 Sep 2008 (-3.91%), 03 Oct 2008 (-7.47%), 06 Oct 2008 (-7.24%), 08 Oct 2008 (-9.97%), 10 Oct 2008 (-5.83%), 15 Oct 2008 (-10.29%), 23 Oct 2008 (-16.5%), 24 Oct 2008 (17.27%), 02 Dec 2008 (39.36%)
2007212 Feb 2007 (-3.93%), 05 Mar 2007 (-4.17%)
2006608 Jun 2006 (-3.16%), 13 Jun 2006 (27.31%), 31 Oct 2006 (0.51%), 16 Nov 2006 (-2.6%), 20 Nov 2006 (1.64%), 11 Dec 2006 (-3.79%)
2005529 Apr 2005 (3.24%), 07 Jun 2005 (-2.58%), 13 Jun 2005 (8.0%), 25 Oct 2005 (-4.59%), 28 Oct 2005 (7.97%)
2004703 May 2004 (2.31%), 10 May 2004 (-5.02%), 11 May 2004 (-2.94%), 14 May 2004 (-7.09%), 17 May 2004 (18.42%), 11 Aug 2004 (-2.68%), 23 Aug 2004 (14.76%)
2003215 Apr 2003 (-1.27%), 23 Apr 2003 (2.5%)
20011813 Mar 2001 (10.16%), 12 Apr 2001 (20.18%), 15 Jun 2001 (-2.28%), 21 Jun 2001 (-3.56%), 25 Jun 2001 (-0.58%), 03 Jul 2001 (-4.2%), 04 Jul 2001 (-4.59%), 06 Jul 2001 (-3.51%), 19 Jul 2001 (-3.59%), 20 Aug 2001 (-3.19%), 27 Aug 2001 (-2.96%), 29 Aug 2001 (-3.14%), 31 Aug 2001 (1.48%), 14 Sep 2001 (-4.15%), 17 Sep 2001 (-2.81%), 27 Sep 2001 (14.86%), 24 Dec 2001 (-4.26%), 27 Dec 2001 (24.19%)
20001931 Jan 2000 (-1.84%), 14 Feb 2000 (-4.23%), 23 Feb 2000 (-3.51%), 29 Feb 2000 (-5.94%), 01 Mar 2000 (-6.73%), 03 Mar 2000 (-7.67%), 07 Mar 2000 (4.36%), 02 May 2000 (-1.77%), 12 May 2000 (26.8%), 30 Jun 2000 (16.84%), 24 Jul 2000 (-3.07%), 07 Aug 2000 (-1.68%), 14 Aug 2000 (3.72%), 15 Sep 2000 (-3.07%), 18 Sep 2000 (-3.22%), 19 Sep 2000 (-0.99%), 22 Sep 2000 (-0.73%), 10 Oct 2000 (-3.65%), 11 Oct 2000 (11.18%)
1999625 Mar 1999 (-4.91%), 30 Mar 1999 (2.68%), 09 Apr 1999 (-5.37%), 15 Apr 1999 (2.54%), 22 Apr 1999 (-5.77%), 26 Apr 1999 (40.71%)
19981811 Feb 1998 (12.13%), 26 May 1998 (-3.31%), 28 May 1998 (11.56%), 11 Jun 1998 (-2.49%), 15 Jun 1998 (-5.77%), 16 Jun 1998 (0.94%), 23 Jun 1998 (-0.16%), 23 Jul 1998 (-4.58%), 24 Jul 1998 (-3.38%), 03 Aug 1998 (-2.37%), 11 Aug 1998 (-5.04%), 28 Aug 1998 (-4.45%), 01 Sep 1998 (9.47%), 05 Oct 1998 (-0.09%), 08 Oct 1998 (-3.72%), 13 Oct 1998 (-4.23%), 15 Oct 1998 (-4.74%), 20 Oct 1998 (28.68%)
19971403 Feb 1997 (7.01%), 31 Mar 1997 (-4.36%), 01 Apr 1997 (-0.22%), 26 May 1997 (1.11%), 29 Aug 1997 (1.4%), 19 Sep 1997 (-2.69%), 22 Sep 1997 (-1.1%), 24 Oct 1997 (-3.18%), 28 Oct 1997 (2.97%), 19 Nov 1997 (-3.47%), 21 Nov 1997 (-4.08%), 24 Nov 1997 (0.67%), 04 Dec 1997 (-4.35%), 09 Dec 1997 (14.54%)
19961609 Jan 1996 (-2.4%), 17 Jan 1996 (-3.88%), 23 Jan 1996 (-3.99%), 25 Jan 1996 (29.06%), 19 Mar 1996 (31.04%), 09 Jul 1996 (-0.78%), 23 Jul 1996 (-4.98%), 24 Jul 1996 (-5.53%), 30 Jul 1996 (1.7%), 13 Sep 1996 (-3.02%), 16 Sep 1996 (2.97%), 23 Sep 1996 (-2.04%), 07 Oct 1996 (-3.54%), 20 Nov 1996 (-3.57%), 27 Nov 1996 (-3.57%), 04 Dec 1996 (3.77%)
1995323 Nov 1995 (-2.72%), 28 Nov 1995 (0.37%), 19 Dec 1995 (0.05%)



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