Study: Buy TATAMOTORS when above 200 SMA and makes a 20 day low today

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In this study, we evaluate the performance of strategy "Buy TATAMOTORS when above 200 SMA and makes a 20 day low today" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy TATAMOTORS 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
163257.623122970.974741.410706.07-4561.47-14749.921.042.540.12040.57
286302.7131191261.297585.5920283.61-4818.62-15223.211.572.490.0952783.96
31824133125680.658754.9325928.04-6076.74-12456.21.4460.195884.28
42037903122970.9711307.640472.11-4997.42-17609.552.265.530.176573.88
514258431191261.2911352.7249723.97-6093.13-19751.511.862.950.14599.48
610533431181358.0611158.7349076.72-7347.94-21344.381.522.10.0743397.87
713571431191261.2912188.7947515.71-7989.4-20770.951.532.420.094377.88
812544531181358.0613574.2959166.19-9145.58-26377.831.482.060.0714046.6
917652231191261.2915748.1983913.95-10224.49-27620.261.542.440.0815694.25
1016663931181358.0616827.4784865.79-10481.16-32653.711.612.220.0735375.46

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 6. Strategy is very good and impressively bullish. Percentage of profitable trades is 80.65%, which is excellent. Average return per trade is 2.94%, which is very good.
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.
TATAMOTORS Performance, X=3, Profit Factor:6

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016329 Sep 2016 (4.49%), 02 Nov 2016 (-1.35%), 24 Nov 2016 (1.52%)
2015211 Mar 2015 (1.09%), 26 Mar 2015 (4.95%)
2014527 Jan 2014 (3.88%), 18 Mar 2014 (2.07%), 01 Aug 2014 (1.72%), 17 Oct 2014 (9.11%), 09 Dec 2014 (-0.66%)
2013424 Jan 2013 (3.68%), 21 Mar 2013 (0.8%), 12 Nov 2013 (8.96%), 12 Dec 2013 (1.78%)
2012216 May 2012 (-2.66%), 30 May 2012 (-5.84%)
2011407 Jan 2011 (2.34%), 01 Feb 2011 (7.65%), 24 Feb 2011 (8.29%), 03 May 2011 (3.17%)
2010327 Jan 2010 (0.26%), 10 Feb 2010 (4.99%), 25 May 2010 (11.29%)
2009229 Jun 2009 (-6.23%), 13 Jul 2009 (12.96%)
2007131 Jan 2007 (4.64%)
2006222 May 2006 (6.0%), 31 Oct 2006 (-1.49%)
2005310 Jan 2005 (2.59%), 15 Mar 2005 (1.0%), 27 Oct 2005 (0.2%)

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-131824133125680.658754.9325928.04-6076.74-12456.21.4460.195884.28
atrtrail-16.1117004846252154.3511750.0986155.83-5890.67-15446.681.992.370.0643696.7
atrtrail24.5412027146252154.359759.0233108.7-5890.67-15446.681.661.970.0732614.59
atrtrail35.4810366646252154.359094.849663.05-5890.67-15446.681.541.840.0572253.6
atrnil26.5811851540192147.516045.9133108.7-8874.16-16954.491.811.640.0622962.87
atrnil310.5337613.640112927.525668.9649663.05-8439.48-16954.493.041.150.016940.34

In the table above, row 1 shows the best exit criterion. Profit factor is 6. Strategy is very good and impressively bullish. Percentage of profitable trades is 80.65%, which is excellent. Average return per trade is 2.94%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.