Study: Buy TATASTEEL when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy TATASTEEL when near 200 SMA and above 200 SMA and ADX is Trending" 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
121771.4920119554412.8216059.11-2974.4-10788.721.481.810.0421088.57
213684.32201010505196.2911482.95-3827.86-7201.211.361.360.025684.22
337996.2920911458448.4914473.26-3458.19-6475.042.4420.0551899.81
462516.452010105010111.4418719.21-3859.8-7583.832.622.620.0773125.82
573599.66201195511674.2936256.16-6090.84-15104.981.922.340.0643679.98
672584.04201195511284.1238620.69-5726.81-14402.041.972.410.0653629.2
767893.58201195510845.6857142.86-5712.1-15826.971.92.320.0483394.68
838684.5820119558992.4741083.74-6692.51-14351.151.341.640.0331934.23
97268.96209114510778.3435566.5-8157.83-17642.211.321.080.0057363.45
1042171.222010105012402.136551.72-8184.98-26492.451.521.520.032108.56
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=4, Profit Factor:2.62

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018121 Feb 2018 (4.81%)
2014108 Oct 2014 (-0.02%)
2013216 Jan 2013 (-1.51%), 28 Oct 2013 (7.64%)
2012113 Feb 2012 (-1.48%)
2005128 Apr 2005 (3.13%)
2004106 Dec 2004 (-3.75%)
2003317 Mar 2003 (7.12%), 01 Apr 2003 (7.07%), 05 May 2003 (-1.4%)
2002214 Jan 2002 (6.87%), 01 Feb 2002 (-0.94%)
2001130 Mar 2001 (0.9%)
1999228 Jan 1999 (3.18%), 28 May 1999 (9.36%)
1998207 Apr 1998 (0.49%), 05 May 1998 (-3.79%)
1997214 Feb 1997 (-2.34%), 12 Mar 1997 (-3.68%)
1996110 Jul 1996 (-0.38%)

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-16.0880436.182491537.517008.7464683.94-4842.83-8494.143.512.110.0413351.51
atrtrail24.2851114.882510154012516.7429151.2-4936.83-8494.142.541.690.0422044.6
200trail-1332002.642772025.9312026.4537014.78-2609.13-3706.094.611.610.0281185.28
atrtrail3540703.442491537.512593.9943726.79-4842.83-8494.142.61.560.031695.98
atrnil25.6455330.122510154016437.4129151.2-7269.6-14483.272.261.510.0372213.2
200trail3224726.082891932.148423.9410760.81-2688.92-3706.093.131.480.034883.07
200nil32.0716657.542891932.148423.9410760.81-3113.58-3917.022.711.280.022594.91
200trail21.869020.8928101835.715692.147173.87-2661.14-3706.092.141.190.016322.17
200nil21.93952.3428101835.715692.147173.87-3109.39-3917.021.831.020.001634.01
atrnil310.5-46540.732231913.6431691.7943726.79-7453.48-14483.274.250.67-0.031-2115.49

In the table above, row 1 shows the best exit criterion. Profit factor is 2.11. 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 37.5%, which is not acceptable. Avoid this strategy. Average return per trade is 1.68%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.041, 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:2.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018121 Feb 2018 (2.01%)
2014308 Oct 2014 (-0.9%), 14 Oct 2014 (-3.63%), 21 Oct 2014 (4.25%)
2013216 Jan 2013 (-1.55%), 28 Oct 2013 (32.34%)
2012113 Feb 2012 (-1.75%)
2005128 Apr 2005 (2.52%)
2004106 Dec 2004 (-2.21%)
2003417 Mar 2003 (4.25%), 27 Mar 2003 (-2.82%), 01 Apr 2003 (4.35%), 05 May 2003 (-2.68%)
2002214 Jan 2002 (1.19%), 01 Feb 2002 (4.39%)
2001130 Mar 2001 (-2.91%)
1999228 Jan 1999 (-0.36%), 28 May 1999 (21.24%)
1998307 Apr 1998 (-3.18%), 16 Apr 1998 (-2.62%), 05 May 1998 (-3.54%)
1997214 Feb 1997 (-3.07%), 12 Mar 1997 (-4.25%)
1996110 Jul 1996 (-0.87%)



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