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

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In this study, we evaluate the performance of strategy "Buy TITAN when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50" 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
1-24318.9237142337.843080.485482.78-2932.42-9618.041.050.64-0.038-657.27
2-32105.9737142337.843508.076799.66-3531.26-10317.170.990.6-0.043-867.73
3-38574.7437152240.545175.3211919.78-5282.02-13433.750.980.67-0.034-1042.56
4-27063.9837172045.955497.1113407.73-6025.74-20011.210.910.78-0.021-731.46
564256.8137191851.3510285.6953501.54-7287.3-19325.031.411.490.0261736.67
614376737172045.9515393.3959098.5-5896.05-22609.472.612.220.0483885.58
785135.1537181948.6513684.0241569.28-8483.01-41286.861.611.530.032300.95
811448937181948.6515680.4655425.71-8829.45-34763.181.781.680.0343094.29
912405937211656.7614836.2765609.35-11718.93-32920.161.271.660.0343352.94
1011464537191851.3517752.3976293.82-12369.47-31367.291.441.510.0293098.51
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
TITAN Performance, X=6, Profit Factor:2.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018213 Mar 2018 (2.38%), 27 Jul 2018 (1.99%)
2017211 Oct 2017 (-0.6%), 30 Oct 2017 (21.91%)
2016401 Feb 2016 (1.92%), 08 Jun 2016 (2.61%), 26 Aug 2016 (7.81%), 14 Sep 2016 (-0.04%)
2015312 Jan 2015 (4.46%), 13 Apr 2015 (-4.52%), 22 Dec 2015 (-3.93%)
2014328 Jul 2014 (2.91%), 02 Dec 2014 (-0.7%), 22 Dec 2014 (-0.08%)
2013201 Feb 2013 (-6.54%), 01 Mar 2013 (-8.53%)
2012427 Apr 2012 (5.74%), 06 Jul 2012 (-3.87%), 14 Aug 2012 (-1.33%), 04 Sep 2012 (5.16%)
2011604 Jan 2011 (-2.1%), 24 Jan 2011 (-0.93%), 23 Feb 2011 (0.27%), 11 Mar 2011 (-0.74%), 05 Sep 2011 (-3.23%), 04 Nov 2011 (-2.4%)
2009214 Aug 2009 (1.27%), 09 Dec 2009 (-0.87%)
2007329 Aug 2007 (9.87%), 03 Dec 2007 (-2.71%), 31 Dec 2007 (2.54%)
2006124 Nov 2006 (3.95%)
2005101 Feb 2005 (26.5%)
2004226 Feb 2004 (-2.38%), 06 May 2004 (-11.3%)
2003128 Jul 2003 (-2.16%)
2002129 May 2002 (29.55%)

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
atrtrail-15.3210293144152934.0917571.2544648.65-5539.25-9973.383.171.640.0332339.33
50trail-13.4563070.5451133825.4913057.7442229.27-2807.37-3881.644.651.590.0251236.68
atrtrail34.8268285.444152934.0915261.5739665.29-5539.25-9973.382.761.430.0261551.94
atrtrail24.6131531.9144152934.0912811.3426443.52-5539.25-9973.382.311.20.015716.63
atrnil36.5639705.9543113225.5823964.6539665.29-6997.04-12833.783.421.180.013923.39
atrnil25.279763.0644143031.8215880.0326443.52-7085.25-12833.782.241.050.004221.89
50trail32.08-3595.7551143727.457179.8411917.97-2813.88-3881.642.550.97-0.003-70.5
50nil32.1-19912.9251123923.538240.9711917.97-3046.27-3979.282.710.83-0.016-390.45
50trail21.8-36559.6251143727.454825.287945.31-2813.88-3881.641.710.65-0.04-716.86
50nil21.8-40938.9651133825.495683.567958.55-3021.72-3881.641.880.64-0.042-802.72

In the table above, row 1 shows the best exit criterion. Profit factor is 1.64. 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 34.09%, which is not acceptable. Avoid this strategy. Average return per trade is 1.17%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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:1.64

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018213 Mar 2018 (7.9%), 27 Jul 2018 (1.44%)
2017211 Oct 2017 (0.16%), 30 Oct 2017 (22.32%)
2016701 Feb 2016 (-3.27%), 11 Feb 2016 (-3.4%), 12 Feb 2016 (-2.79%), 08 Jun 2016 (4.98%), 26 Aug 2016 (4.99%), 14 Sep 2016 (-2.95%), 22 Sep 2016 (-2.66%)
2015312 Jan 2015 (5.08%), 13 Apr 2015 (-2.7%), 22 Dec 2015 (-2.97%)
2014428 Jul 2014 (-0.78%), 02 Dec 2014 (-2.91%), 22 Dec 2014 (-3.34%), 31 Dec 2014 (-1.63%)
2013201 Feb 2013 (-2.68%), 01 Mar 2013 (-3.39%)
2012427 Apr 2012 (0.89%), 06 Jul 2012 (-3.24%), 14 Aug 2012 (-2.89%), 04 Sep 2012 (-2.47%)
2011804 Jan 2011 (-3.4%), 24 Jan 2011 (-2.58%), 23 Feb 2011 (-4.04%), 03 Mar 2011 (-2.32%), 15 Mar 2011 (-1.06%), 05 Sep 2011 (-0.53%), 15 Sep 2011 (3.84%), 04 Nov 2011 (-1.0%)
2009214 Aug 2009 (3.76%), 09 Dec 2009 (-3.43%)
2008110 Jan 2008 (-4.96%)
2007329 Aug 2007 (18.89%), 03 Dec 2007 (-2.3%), 31 Dec 2007 (2.13%)
2006124 Nov 2006 (-3.17%)
2005101 Feb 2005 (20.28%)
2004226 Feb 2004 (-4.99%), 06 May 2004 (-2.47%)
2003128 Jul 2003 (14.02%)
2002129 May 2002 (21.09%)



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