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

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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 ADX is Trending" 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
1-20009.412291340.913071.296528.95-3665.46-17570.350.840.58-0.037-909.52
22634.96221111505203.4414556.35-4963.9-24571.041.051.050.0032119.77
3-1165.822213959.096216.6817785.68-9109.19-38160.60.680.99-0.00098-52.99
417545.2522121054.557101.122587.82-6766.8-20011.211.051.260.019797.51
53936.52221111508400.3721589.84-8042.5-24571.041.041.040.0034178.93
623519.412291340.9110706.4724435.55-5602.99-17433.081.911.320.0221069.06
751376.742291340.9115061.437023.86-6475.07-16746.742.331.610.0352335.31
876392.4622101245.4514709.2532351.61-5891.67-14722.482.52.080.0533472.38
91173402213959.0914207.4132073.51-7483.98-17570.351.92.740.0785333.66
101350202213959.0916597.6335820.9-8972.18-28140.011.852.670.0776137.25
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
TITAN Performance, X=9, Profit Factor:2.74

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019109 May 2019 (12.37%)
2018215 May 2018 (-0.23%), 26 Dec 2018 (6.41%)
2017309 May 2017 (3.05%), 25 Sep 2017 (2.33%), 11 Oct 2017 (-3.25%)
2015122 Dec 2015 (-3.78%)
2014116 Jul 2014 (4.5%)
2012114 Dec 2012 (-2.62%)
2011504 Jan 2011 (-6.36%), 23 Feb 2011 (1.65%), 21 Mar 2011 (12.58%), 27 Jun 2011 (6.67%), 05 Sep 2011 (0.16%)
2007211 Jun 2007 (16.04%), 29 Aug 2007 (15.53%)
2006118 Apr 2006 (-1.35%)
2005105 Sep 2005 (8.97%)
2004126 Feb 2004 (-7.32%)
2003128 Jul 2003 (2.09%)
2002125 Jul 2002 (-8.79%)
1999103 Aug 1999 (0.0%)

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-14.811047812691734.6216831.8542229.27-2747.38-3950.346.133.240.0694030.05
atrtrail-17.9114338523121152.1718809.0456430.93-7483.99-14149.312.512.740.0726234.11
atrtrail35.7810488423121152.1715600.6332255.15-7483.99-14149.312.082.270.0674560.16
atrtrail25.1764769.6323121152.1712257.821626.42-7483.99-14149.311.641.790.0512816.07
50nil32.6531345.212691734.629184.5211480.74-3018.56-3950.343.041.610.0411205.59
50trail32.527968.052691734.628297.0611480.74-2747.38-3950.343.021.60.041075.69
atrnil26.4847888.4923101343.4816159.0521626.42-8746.31-14216.411.851.420.0332082.11
50trail21.8218335.6428111739.296120.887653.83-2882-3950.342.121.370.03654.84
atrnil38.0946605.712381534.7822603.432255.15-8948.1-14216.412.531.350.0262026.34
50nil21.8214516.8528111739.296120.887653.83-3106.63-3950.341.971.270.023518.46

In the table above, row 1 shows the best exit criterion. Profit factor is 3.24. Strategy is very good and impressively bullish. Percentage of profitable trades is 34.62%, which is not acceptable. Avoid this strategy. Average return per trade is 2.02%, which is very good. Sharpe Ratio is 0.069, 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:3.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019109 May 2019 (10.55%)
2018215 May 2018 (-1.07%), 26 Dec 2018 (7.91%)
2017309 May 2017 (4.1%), 25 Sep 2017 (-1.98%), 11 Oct 2017 (1.17%)
2015122 Dec 2015 (-1.82%)
2014116 Jul 2014 (1.23%)
2012214 Dec 2012 (-1.95%), 18 Dec 2012 (-0.79%)
2011504 Jan 2011 (-1.36%), 23 Feb 2011 (-1.01%), 21 Mar 2011 (15.0%), 27 Jun 2011 (5.33%), 05 Sep 2011 (-1.74%)
2007311 Jun 2007 (-1.83%), 12 Jun 2007 (9.33%), 29 Aug 2007 (21.11%)
2006118 Apr 2006 (-1.07%)
2005105 Sep 2005 (-1.01%)
2004226 Feb 2004 (-0.88%), 05 Mar 2004 (-1.06%)
2003128 Jul 2003 (-1.52%)
2002125 Jul 2002 (-1.11%)
1999203 Aug 1999 (-1.31%), 12 Aug 1999 (-1.85%)



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