Study: Sell TITAN when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell TITAN when below 200 SMA and near 50 SMA and below 50 SMA" 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
19060.3236201655.563760.2410250.43-4134.03-16914.290.911.140.01251.68
2-49599.53361818506230.6913918.63-8986.22-400000.690.69-0.026-1377.76
3-76232.5936171947.226483.7113487.32-9813.45-56685.710.660.59-0.032-2117.57
4-73960.2336191752.787590.9922539.95-12834.65-76114.290.590.66-0.025-2054.45
5-82412.8936201655.567720.8723642.4-14801.89-52114.290.520.65-0.03-2289.25
6-86199.1636191752.788312.9521017.51-14361.48-74285.710.580.65-0.029-2394.42
7-58312.8836191752.789502.0335996.64-14050.08-752000.680.76-0.018-1619.8
8-36482.6536201655.5610056.3143566.02-14850.56-69942.860.680.85-0.011-1013.41
9-46344.6336211558.339876.2738183.35-16916.42-68342.860.580.82-0.014-1287.35
10-78769.573618185012149.6647098.4-16525.74-65142.860.740.74-0.022-2188.04

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.14. 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 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.13%, 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. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-119060.3236201655.563760.2410250.43-4134.03-16914.290.911.140.01251.68
atrnil310.2711434.913392427.2725522.5244367.71-9094.49-15642.682.811.050.0043346.51
50nil32.54428.01501337268643.1311428.34-2917.1-3975.532.961.040.003588.56
50trail32.09-737.8755154027.276814.9211752.4-2574.04-3975.532.650.99-0.00059-13.42
50nil21.71-953.0555183732.735959.197941.14-2924.82-3975.532.040.99-0.00083-17.33
50trail21.68-2961.2556173930.365924.517941.14-2658.41-3975.532.230.97-0.0027-52.88
atrtrail24.98-24061.6642142833.3310480.1321310.17-6099.41-14331.321.720.86-0.013-572.9
atrnil28.47-31765.6934112332.3516378.1329578.48-9214.14-15642.681.780.85-0.015-934.28
atrtrail35.48-26874.4842142833.3310279.2131965.25-6099.41-14331.321.690.84-0.013-639.87
atrtrail-15.93-50994.3342142833.338556.3625095.29-6099.41-14331.321.40.7-0.028-1214.15
50trail-12.59-31921.7354134124.075472.927122.34-2513.89-3975.532.180.69-0.025-591.14

In the table above, row 1 shows the best exit criterion. Profit factor is 1.14. 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 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.13%, 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. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TITAN Performance, X=1, Profit Factor:1.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018230 Aug 2018 (-1.54%), 29 Oct 2018 (-0.09%)
2016115 Mar 2016 (1.21%)
2015530 Jun 2015 (1.2%), 14 Jul 2015 (2.53%), 21 Aug 2015 (3.4%), 01 Oct 2015 (-1.1%), 11 Dec 2015 (-0.18%)
2014123 Jan 2014 (2.95%)
2013410 Sep 2013 (1.86%), 26 Sep 2013 (2.59%), 11 Oct 2013 (0.34%), 18 Dec 2013 (1.15%)
2012112 Jan 2012 (0.76%)
2009113 Jan 2009 (-3.64%)
2008528 Mar 2008 (5.13%), 09 May 2008 (-3.22%), 24 Jul 2008 (-1.28%), 22 Sep 2008 (2.13%), 26 Dec 2008 (-0.71%)
2003129 Apr 2003 (-0.62%)
2002111 Nov 2002 (1.19%)
2001217 May 2001 (-8.46%), 20 Jun 2001 (2.68%)
2000321 Jun 2000 (-0.36%), 11 Jul 2000 (-3.6%), 08 Sep 2000 (1.25%)
1998227 May 1998 (2.94%), 28 Aug 1998 (0.13%)
1997303 Jan 1997 (-1.05%), 12 May 1997 (-2.84%), 26 Jun 1997 (0.86%)
1996411 Mar 1996 (2.41%), 01 Apr 1996 (0.91%), 16 Apr 1996 (-2.2%), 12 Jun 1996 (-2.18%)



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