Study: Sell TITAN when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell TITAN when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell TITAN 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
18265.412291340.916152.5324095.83-3623.64-16112.961.71.180.01375.7
2-26515.7522101245.454710.2814265.84-6134.88-16990.790.770.64-0.035-1205.26
3-30635.32281436.367847.9716650.2-6672.79-20470.831.180.67-0.032-1392.51
4-56790.742291340.916636.5819690.88-8963.07-22591.360.740.51-0.052-2581.4
5-50839.66221111506193.7812450.59-10815.57-23541.450.570.57-0.047-2310.89
6-85073.432281436.366938.714796.39-10041.65-41555.780.690.39-0.065-3866.97
7-98398.082291340.916511.3813695.87-12076.97-50153.530.540.37-0.066-4472.64
8-61012.9422121054.557208.9816897.23-14752.07-48106.450.490.59-0.039-2773.32
9-62734.32211115010373.7124456.52-16076.83-67963.150.650.65-0.029-2851.56
10-85243.4322111150933032505.85-17079.4-68986.690.550.55-0.038-3874.7

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.18. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 40.91%, which is not acceptable. Avoid this strategy. Average return per trade is 0.19%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.01, which is low, don't trade solely on the basis of this study.

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
atrtrail34.4778128.9730102033.3318787.2644866.88-5487.18-19201.853.421.710.0362604.3
atrnil37.1292298.232481633.3327951.9644866.88-8207.34-19201.853.411.70.0433845.76
atrtrail23.8766276.9930102033.3317602.0729911.25-5487.18-19201.853.211.60.0372209.23
atrnil25.4264804.5224101441.6718044.0329911.25-8259.7-19201.852.181.560.042700.19
atrtrail-14.9733988.7430102033.3314373.2450781.03-5487.18-19201.852.621.310.0171132.96
200nil21.7814929.2532122037.56017.077956.84-2863.78-3857.542.11.260.022466.54
nilnil-118265.412291340.916152.5324095.83-3623.64-16112.961.71.180.01375.7
200trail21.546823.635132237.145301.947956.84-2822.8-3987.791.881.110.0094194.96
200nil32.19-6077.653172422.589098.4211935.26-2906.94-3857.543.130.91-0.0078-196.05
200trail31.91-11429.513482623.537287.9611935.26-2682.05-3987.792.720.84-0.014-336.16
200trail-12.38-22537.213482623.535899.513404.32-2682.05-3987.792.20.68-0.031-662.86

In the table above, row 1 shows the best exit criterion. Profit factor is 1.71. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 1.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.036, 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.
TITAN Performance, Profit Factor:1.71

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019306 Aug 2019 (-1.61%), 21 Aug 2019 (-2.72%), 06 Sep 2019 (-2.99%)
2018306 Jul 2018 (-0.5%), 16 Jul 2018 (-3.21%), 30 Aug 2018 (-2.59%)
2016316 Feb 2016 (1.96%), 25 Oct 2016 (-1.91%), 01 Nov 2016 (-2.96%)
2015329 Apr 2015 (-3.16%), 06 May 2015 (9.34%), 23 Dec 2015 (1.19%)
2013225 Feb 2013 (-1.94%), 07 Mar 2013 (10.94%)
2012108 Jun 2012 (-4.19%)
2011204 Oct 2011 (-4.57%), 17 Nov 2011 (3.54%)
2006119 May 2006 (22.43%)
2003124 Jul 2003 (-4.73%)
2002227 Sep 2002 (-0.61%), 09 Oct 2002 (8.3%)
2000118 Feb 2000 (22.13%)
1999115 Apr 1999 (-9.6%)
1998103 Dec 1998 (-5.02%)
1997418 Nov 1997 (-1.35%), 26 Nov 1997 (-0.03%), 02 Dec 1997 (-1.02%), 05 Dec 1997 (2.24%)
1996229 Aug 1996 (-0.17%), 06 Sep 1996 (11.86%)



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