Study: Sell TATASTEEL when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell TATASTEEL when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA" 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
11793.28261313504163.729440.72-4025.78-12610.781.031.030.002768.97
2-28901.2726111542.315677.6918129.22-6090.39-19576.940.930.68-0.028-1111.59
3-29190.2926121446.156687.0413141.46-7816.77-29282.460.860.73-0.023-1122.7
47123.52261313509169.0620715.88-8621.09-25922.851.061.060.0049273.98
516579.332613135010270.2324406.97-8994.9-24637.081.141.140.011637.67
614092.8726121446.1510981.3724011.57-8405.97-24222.311.311.120.0094542.03
710342.8826141253.859838.1925843.78-10615.98-42389.050.931.080.0061397.8
860292.0826141253.8511563.4934638.47-8466.4-33347.161.371.590.0352318.93
913590926151157.6914162.3949728.49-6957.01-16258.812.042.780.0725227.26
101419652617965.3813392.8232237.78-9523.63-22895.061.412.660.0835460.2
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=9, Profit Factor:2.78

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018122 Feb 2018 (0.26%)
2014301 Oct 2014 (-0.3%), 27 Oct 2014 (-6.61%), 27 Nov 2014 (6.02%)
2013128 Jan 2013 (4.49%)
2012216 Apr 2012 (-1.32%), 03 May 2012 (10.6%)
2011211 Mar 2011 (-4.89%), 03 May 2011 (4.22%)
2008130 Jan 2008 (1.8%)
2006130 Oct 2006 (-0.83%)
2005229 Apr 2005 (-5.0%), 14 Oct 2005 (10.92%)
2004104 May 2004 (24.86%)
2003328 Mar 2003 (-3.85%), 16 Apr 2003 (1.38%), 07 May 2003 (-4.82%)
2001216 Apr 2001 (-8.13%), 15 Jun 2001 (5.28%)
2000131 Jan 2000 (-0.61%)
1999131 Mar 1999 (16.2%)
1997322 May 1997 (1.8%), 02 Sep 1997 (1.06%), 17 Sep 1997 (6.19%)
1996109 Jul 1996 (-1.89%)
1995122 Nov 1995 (11.14%)

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
atrnil37.178013229111837.9320744.9131251.62-8225.67-17068.22.521.540.0382763.17
200trail-13.2131577.2838112728.959616.7524548.57-2748.41-3960.613.51.430.025830.98
200nil32.5327171.6138112728.959587.0711994.82-2899.49-3960.613.311.350.025715.04
200trail32.111485.839112828.217972.0711883.68-2721.68-3960.612.931.150.011294.51
atrnil25.0720349.0729121741.3813581.9920834.41-8390.28-17068.21.621.140.013701.69
atrtrail34.6810488.6331121938.7111916.3729659.94-6974.09-17068.21.711.080.0062338.34
200nil22.123613.4440132732.56304.067996.55-2901.46-3960.612.171.050.004190.34
atrtrail242314.331121938.7111235.1720834.41-6974.09-17068.21.611.020.001574.65
atrtrail-15.32-4310.7131121938.7110683.0924790.26-6974.09-17068.21.530.97-0.0028-139.06
200trail21.82-9194.65401228305588.797922.46-2723.58-3960.612.050.88-0.012-229.87

In the table above, row 1 shows the best exit criterion. Profit factor is 1.54. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 37.93%, which is not acceptable. Avoid this strategy. Average return per trade is 1.38%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.038, 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:1.54

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018122 Feb 2018 (-3.95%)
2014501 Oct 2014 (-3.38%), 10 Oct 2014 (-3.55%), 20 Oct 2014 (-3.8%), 27 Nov 2014 (-3.02%), 01 Dec 2014 (9.19%)
2013128 Jan 2013 (7.22%)
2012216 Apr 2012 (-3.3%), 03 May 2012 (8.7%)
2011211 Mar 2011 (-4.01%), 03 May 2011 (6.73%)
2008130 Jan 2008 (-8.53%)
2006230 Oct 2006 (-2.77%), 09 Nov 2006 (8.12%)
2005229 Apr 2005 (-3.53%), 14 Oct 2005 (11.57%)
2004104 May 2004 (-4.8%)
2003228 Mar 2003 (-2.88%), 16 Apr 2003 (-3.33%)
2001216 Apr 2001 (-6.4%), 15 Jun 2001 (10.68%)
2000231 Jan 2000 (-6.6%), 10 Feb 2000 (15.63%)
1999131 Mar 1999 (14.83%)
1997222 May 1997 (-2.71%), 02 Sep 1997 (10.39%)
1996209 Jul 1996 (-3.52%), 16 Jul 1996 (-3.92%)
1995122 Nov 1995 (11.04%)



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