Study: Buy TITAN when above 200 SMA and near 50 SMA and above 50 SMA

home > technical-strategy > titan > 21

In this study, we evaluate the performance of strategy "Buy TITAN when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1-77699.0370294141.432563.866528.95-3708.56-17570.350.690.49-0.052-1109.99
2-13304770254535.714044.3214556.35-5203.45-25908.260.780.43-0.058-1900.67
3-16081670294141.435464.7217785.68-7787.62-49871.560.70.5-0.046-2297.36
4-12531970294141.436448.7722587.82-7617.89-43119.270.850.6-0.038-1790.27
58919.4670333747.149425.2153501.54-8165.2-34715.61.151.030.002127.42
681334.9870304042.8613261.859098.5-7912.98-31376.151.681.260.0151161.93
710391570343648.5712474.7241569.28-8895.14-41286.861.41.320.021484.51
816048970343648.5714976.455425.71-9686.35-34763.181.551.460.0262292.7
920606870373352.8615320.9265609.35-10933.52-34825.691.41.570.0312943.83
101003817035355016650.2576293.82-13782.22-38535.411.211.210.0141434.01
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.

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
50trail-13.4490292.97103257824.2711839.4542229.27-2637.09-3986.134.491.440.021876.63
atrtrail-15.7913570685305535.2916427.2556430.93-6492.93-14750.242.531.380.0221596.55
atrtrail34.9958534.9485305535.2913854.8639665.29-6492.93-14750.242.131.160.012688.65
atrnil37.8149179.872205227.7823978.5644912.03-8276.76-14750.242.91.110.0091683.05
50nil21.7522647.21106386835.855872.967979.62-2948.9-3986.131.991.110.01213.65
50trail21.7517040.49106376934.915652.317979.62-2783.98-3986.132.031.090.0079160.76
atrnil26.0621599.7578275134.6216249.7429941.36-8179.28-14750.241.991.050.0046276.92
50trail32.26697.37103287527.187223.7711480.74-2687.57-3986.132.6910.000296.77
atrtrail24.67-2466.8785305535.2911821.4726443.52-6492.93-14750.241.820.99-0.00059-29.02
50nil32.4-24131.491002476248437.7211480.74-2982.06-3989.812.830.89-0.0099-241.31

In the table above, row 1 shows the best exit criterion. Profit factor is 1.44. 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 24.27%, which is not acceptable. Avoid this strategy. Average return per trade is 0.44%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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:1.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019109 May 2019 (10.55%)
2018613 Mar 2018 (8.34%), 15 May 2018 (-1.07%), 27 Jul 2018 (1.82%), 24 Aug 2018 (-0.8%), 28 Aug 2018 (-0.68%), 26 Dec 2018 (7.91%)
2017509 May 2017 (4.1%), 18 May 2017 (-1.11%), 25 Sep 2017 (-1.98%), 11 Oct 2017 (1.17%), 30 Oct 2017 (19.85%)
20161001 Feb 2016 (-1.84%), 11 Feb 2016 (-1.54%), 12 Feb 2016 (-1.52%), 31 May 2016 (-1.99%), 07 Jun 2016 (11.0%), 19 Aug 2016 (-1.1%), 26 Aug 2016 (3.29%), 12 Sep 2016 (-1.02%), 14 Sep 2016 (-1.76%), 22 Sep 2016 (-1.63%)
2015612 Jan 2015 (-1.0%), 15 Jan 2015 (13.39%), 05 Mar 2015 (-1.21%), 13 Apr 2015 (-1.73%), 15 Apr 2015 (-1.03%), 22 Dec 2015 (-1.82%)
2014616 Jul 2014 (1.23%), 25 Jul 2014 (0.97%), 02 Dec 2014 (-1.64%), 05 Dec 2014 (-1.14%), 22 Dec 2014 (-1.02%), 31 Dec 2014 (-0.7%)
2013301 Feb 2013 (-1.37%), 01 Mar 2013 (-1.74%), 07 Jun 2013 (-1.8%)
2012927 Apr 2012 (-1.4%), 06 Jul 2012 (-1.94%), 23 Jul 2012 (-1.05%), 26 Jul 2012 (0.82%), 08 Aug 2012 (-1.68%), 13 Aug 2012 (-1.08%), 04 Sep 2012 (-1.57%), 14 Dec 2012 (-1.95%), 18 Dec 2012 (-0.79%)
20111404 Jan 2011 (-1.36%), 24 Jan 2011 (-0.94%), 23 Feb 2011 (-1.01%), 03 Mar 2011 (-1.54%), 08 Mar 2011 (-0.97%), 15 Mar 2011 (0.56%), 21 Mar 2011 (15.0%), 27 Jun 2011 (5.33%), 22 Jul 2011 (1.35%), 04 Aug 2011 (-1.13%), 05 Sep 2011 (-1.74%), 15 Sep 2011 (2.09%), 25 Oct 2011 (-0.84%), 01 Nov 2011 (0.04%)
2009814 Aug 2009 (-1.23%), 20 Aug 2009 (2.07%), 25 Sep 2009 (-0.66%), 04 Nov 2009 (-1.23%), 06 Nov 2009 (1.01%), 25 Nov 2009 (-1.95%), 02 Dec 2009 (-0.75%), 09 Dec 2009 (-1.22%)
2008110 Jan 2008 (-1.68%)
2007623 Feb 2007 (-1.06%), 11 Jun 2007 (-1.83%), 12 Jun 2007 (9.33%), 29 Aug 2007 (21.11%), 03 Dec 2007 (0.37%), 31 Dec 2007 (-1.44%)
2006501 Feb 2006 (-1.33%), 18 Apr 2006 (-1.07%), 23 Oct 2006 (-1.22%), 27 Oct 2006 (-1.21%), 24 Nov 2006 (-1.46%)
2005313 Jan 2005 (-1.5%), 01 Feb 2005 (-1.89%), 05 Sep 2005 (-1.01%)
2004519 Jan 2004 (-1.01%), 26 Feb 2004 (-0.88%), 05 Mar 2004 (-1.06%), 06 May 2004 (-1.28%), 13 May 2004 (-1.07%)
2003313 Jan 2003 (5.29%), 28 Jul 2003 (-1.52%), 30 Jul 2003 (-1.7%)
2002229 May 2002 (-1.28%), 25 Jul 2002 (-1.11%)
2000121 Jan 2000 (-0.89%)
1999724 Mar 1999 (-1.3%), 03 Aug 1999 (-1.31%), 12 Aug 1999 (-1.85%), 25 Aug 1999 (-0.03%), 26 Oct 1999 (-1.7%), 04 Nov 1999 (-1.24%), 09 Nov 1999 (-1.78%)
1997119 Sep 1997 (-1.54%)
1996112 Aug 1996 (-1.3%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play