Study: Sell TATASTEEL when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell TATASTEEL when below 200 SMA and RSI is overbought" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. buy 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
143385.8138561.547258.1224059.14-2935.84-9958.512.473.960.0883337.37
226276.4136746.157691.315501.79-2838.77-5667.132.712.320.0652021.26
311972.62137653.857444.415267.66-6689.69-8442.11.111.30.024920.97
411335.24136746.159237.4417421.6-6298.48-9451.581.471.260.02871.94
5-5782.2136746.1510045.1120807.45-9436.13-16176.071.060.91-0.008-444.78
6-27927.83134930.7710783.8125258.8-7895.9-17786.741.370.61-0.04-2148.29
7-57808.03135838.4610151.3423602.48-13570.59-33960.570.750.47-0.062-4446.77
8-84518.45135838.469847.0721946.17-16719.22-53718.640.590.37-0.073-6501.42
9-118987134930.779919.914665.82-17629.66-62544.80.560.25-0.094-9152.88
10-1266061331023.0810301.7215584.42-15751.16-41129.030.650.2-0.13-9738.96

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.96. Strategy is very good and impressively bearish. Percentage of profitable trades is 61.54%, which is good. Average return per trade is 1.67%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.088, 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:3.96

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2013111 Sep 2013 (4.1%)
2012216 Jan 2012 (-4.98%), 01 Feb 2012 (-1.05%)
2009127 Mar 2009 (12.03%)
2004222 Jul 2004 (-0.06%), 29 Nov 2004 (-0.31%)
2001114 Nov 2001 (0.35%)
2000102 Jun 2000 (2.47%)
1998402 Mar 1998 (4.88%), 18 Mar 1998 (0.41%), 19 Nov 1998 (2.17%), 11 Dec 1998 (2.62%)
1997102 Jan 1997 (-0.94%)

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-1143385.8138561.547258.1224059.14-2935.84-9958.512.473.960.0883337.37
atrtrail23.127827.4926101638.4611028.4123651.54-6403.54-12412.271.721.080.0059301.06
atrnil23.65-20190.122671926.9217053.4523651.54-7345.49-12412.272.320.86-0.014-776.54
atrtrail33.46-26012.926101638.467644.3723731.8-6403.54-12412.271.190.75-0.024-1000.5
atrtrail-13.58-32344.7526101638.467011.1917399.94-6403.54-12412.271.090.68-0.032-1244.03
atrnil34.85-83875.342632311.5428843.9935477.31-7409.01-12412.273.890.51-0.055-3225.97

In the table above, row 1 shows the best exit criterion. Profit factor is 3.96. Strategy is very good and impressively bearish. Percentage of profitable trades is 61.54%, which is good. Average return per trade is 1.67%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.088, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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