Study: Buy TATASTEEL when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy TATASTEEL when 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
144469.0854332161.114414.6116008.77-4819.67-15565.50.921.440.026823.5
2-24984.9454292553.75484.3614701.67-7361.25-43591.550.750.86-0.0099-462.68
3-10418.1854292553.76737.1116258.22-8231.77-24718.310.820.95-0.0044-192.93
410129354312357.419016.923696.05-7749.17-28562.31.161.570.0371875.8
595378.8854302455.569529.2124347.48-7937.4-23098.591.21.50.0341766.28
613707454322259.2610798.424227.93-9476.11-21929.711.141.660.0442538.41
713162654322259.2611746.5627016.71-11102.89-24394.791.061.540.0382437.52
818792254361866.6710861.7230071.6-11283.32-33134.170.961.930.0553480.04
920016254332161.1112879.3634940.33-10707.47-28489.951.21.890.0533706.71
1027177754342062.9614120.236130.42-10415.46-27159.151.362.30.075032.92
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:2.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018231 Jan 2018 (-0.64%), 19 Feb 2018 (1.68%)
2017413 Apr 2017 (-3.08%), 03 May 2017 (12.05%), 15 Nov 2017 (4.66%), 06 Dec 2017 (5.27%)
2016523 May 2016 (7.75%), 24 Jun 2016 (4.59%), 16 Sep 2016 (4.29%), 21 Nov 2016 (11.32%), 22 Dec 2016 (6.91%)
2014607 Jan 2014 (-2.81%), 27 Jan 2014 (8.19%), 12 Mar 2014 (10.37%), 11 Jul 2014 (11.1%), 25 Aug 2014 (1.3%), 16 Sep 2014 (-6.34%)
2011214 Jan 2011 (2.77%), 09 Feb 2011 (4.65%)
2010427 Jan 2010 (-4.66%), 10 Feb 2010 (8.96%), 28 Apr 2010 (-6.39%), 26 Oct 2010 (5.89%)
2009308 Jul 2009 (10.17%), 01 Sep 2009 (18.07%), 28 Oct 2009 (6.39%)
2008118 Jan 2008 (-0.77%)
2007211 Jun 2007 (3.46%), 16 Aug 2007 (14.24%)
2006419 May 2006 (2.68%), 19 Jul 2006 (11.05%), 31 Aug 2006 (2.38%), 19 Sep 2006 (7.26%)
2005229 Mar 2005 (-3.16%), 15 Apr 2005 (-6.91%)
2004303 Feb 2004 (17.67%), 15 Mar 2004 (-3.09%), 29 Apr 2004 (-13.58%)
2003226 Feb 2003 (-7.34%), 17 Mar 2003 (-0.3%)
2002612 Mar 2002 (-1.67%), 27 Mar 2002 (6.81%), 23 May 2002 (14.94%), 23 Jul 2002 (-4.79%), 08 Aug 2002 (5.77%), 19 Sep 2002 (0.47%)
2001209 Mar 2001 (-6.16%), 14 Jun 2001 (-8.56%)
1999423 Mar 1999 (-12.1%), 28 Jul 1999 (2.98%), 20 Sep 1999 (1.37%), 01 Nov 1999 (2.63%)
1997121 Aug 1997 (-7.0%)
1996101 Jul 1996 (-4.78%)

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-15.7319241789375241.5713701.9862671.92-6049.16-17190.462.271.610.0322161.99
atrtrail34.8717487289375241.5713227.850303.81-6049.16-17190.462.191.560.0331964.86
atrnil25.5521238782344841.4617490.2939164.81-7964.24-17190.462.21.560.0392590.08
atrtrail24.0814098189375241.5712311.8339164.81-6049.16-17190.462.041.450.0291584.06
atrnil38.9219275879245530.3826506.4750303.81-8061.76-19582.43.291.430.032439.98

In the table above, row 1 shows the best exit criterion. Profit factor is 1.61. 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 41.57%, which is not acceptable. Avoid this strategy. Average return per trade is 1.08%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, 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:1.61

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018431 Jan 2018 (-3.22%), 01 Feb 2018 (-3.35%), 02 Feb 2018 (-3.56%), 19 Feb 2018 (0.77%)
2017613 Apr 2017 (-2.61%), 18 Apr 2017 (-1.55%), 03 May 2017 (-2.3%), 05 May 2017 (10.78%), 15 Nov 2017 (2.89%), 06 Dec 2017 (2.36%)
2016623 May 2016 (6.0%), 24 Jun 2016 (3.6%), 16 Sep 2016 (2.96%), 21 Nov 2016 (12.17%), 22 Dec 2016 (-3.19%), 26 Dec 2016 (20.13%)
20141307 Jan 2014 (-2.53%), 10 Jan 2014 (-2.16%), 14 Jan 2014 (-0.85%), 27 Jan 2014 (0.45%), 30 Jan 2014 (-0.71%), 12 Mar 2014 (20.21%), 11 Jul 2014 (9.71%), 25 Aug 2014 (-0.22%), 04 Sep 2014 (-0.8%), 16 Sep 2014 (1.5%), 23 Sep 2014 (-2.84%), 24 Sep 2014 (-2.98%), 25 Sep 2014 (-0.28%)
2011214 Jan 2011 (2.44%), 09 Feb 2011 (-2.98%)
2010927 Jan 2010 (0.63%), 05 Feb 2010 (-2.8%), 08 Feb 2010 (5.05%), 28 Apr 2010 (-2.03%), 03 May 2010 (-3.47%), 04 May 2010 (-4.1%), 07 May 2010 (3.25%), 26 Oct 2010 (-1.58%), 29 Oct 2010 (5.97%)
2009508 Jul 2009 (-7.45%), 13 Jul 2009 (31.34%), 01 Sep 2009 (21.97%), 28 Oct 2009 (-4.49%), 03 Nov 2009 (17.91%)
2008218 Jan 2008 (-5.46%), 21 Jan 2008 (-7.05%)
2007311 Jun 2007 (2.1%), 16 Aug 2007 (-4.64%), 17 Aug 2007 (-0.64%)
2006519 May 2006 (-8.6%), 22 May 2006 (9.28%), 19 Jul 2006 (2.33%), 31 Aug 2006 (2.81%), 19 Sep 2006 (6.97%)
2005529 Mar 2005 (-0.97%), 05 Apr 2005 (-1.12%), 15 Apr 2005 (-3.38%), 18 Apr 2005 (0.38%), 28 Apr 2005 (2.52%)
2004403 Feb 2004 (12.29%), 15 Mar 2004 (-3.66%), 22 Mar 2004 (6.64%), 29 Apr 2004 (-4.58%)
2003526 Feb 2003 (-0.83%), 04 Mar 2003 (-1.38%), 06 Mar 2003 (-2.82%), 07 Mar 2003 (-2.95%), 17 Mar 2003 (4.25%)
2002812 Mar 2002 (-0.35%), 27 Mar 2002 (10.24%), 23 May 2002 (2.91%), 23 Jul 2002 (-2.35%), 26 Jul 2002 (-3.91%), 29 Jul 2002 (-2.45%), 08 Aug 2002 (5.03%), 19 Sep 2002 (0.58%)
2001309 Mar 2001 (-5.68%), 12 Mar 2001 (-6.65%), 14 Jun 2001 (-3.41%)
1999523 Mar 1999 (-4.39%), 28 Jul 1999 (-5.52%), 03 Aug 1999 (2.29%), 20 Sep 1999 (-2.04%), 01 Nov 1999 (0.8%)
1997221 Aug 1997 (-3.34%), 25 Aug 1997 (-1.5%)
1996201 Jul 1996 (-3.12%), 03 Jul 1996 (-2.46%)



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