Study: Sell TITAN when near 200 SMA and below 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell TITAN when near 200 SMA and below 200 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: 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
144716.7724141058.335486.3524095.83-3209.22-15138.021.712.390.0541863.2
239211.942415962.56248.1714265.84-6056.74-12633.621.031.720.0451633.83
337983.5324111345.8311131.0526249.07-6496.78-13713.271.711.450.0311582.65
434715.982412125010546.5623518.34-7653.56-17052.421.381.380.0251446.5
537278.8224111345.8312670.2134205.08-7853.34-10945.051.611.370.0261553.28
625782.124101441.6712438.3932060.21-7042.98-11888.391.771.260.0181074.25
7918.842481633.3315254.7730103.48-7569.96-17650.72.021.010.0005938.29
85871.5324111345.8311404.4630920.25-9198.27-15425.041.241.050.0039244.65
912016.0624101441.6714517.6528957.06-9511.46-28724.981.531.090.0071500.67
1034865.8924111345.8315172.6733151.46-10156.42-29477.361.491.260.0191452.75

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.39. 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 58.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.93%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.054, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
TITAN Performance, X=1, Profit Factor:2.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019206 Aug 2019 (1.74%), 22 Aug 2019 (-1.11%)
2018310 Jul 2018 (2.8%), 02 Nov 2018 (0.84%), 24 Dec 2018 (-1.06%)
2017125 Jan 2017 (-0.17%)
2015209 Dec 2015 (-0.82%), 23 Dec 2015 (2.11%)
2013225 Feb 2013 (1.07%), 12 Aug 2013 (1.11%)
2012108 Jun 2012 (-1.22%)
2006119 May 2006 (12.05%)
2004107 Jul 2004 (7.95%)
2003124 Jul 2003 (-0.39%)
2002227 Sep 2002 (1.89%), 05 Nov 2002 (0.41%)
2001222 May 2001 (-7.57%), 13 Dec 2001 (0.98%)
2000118 Feb 2000 (0.28%)
1998307 Jan 1998 (3.61%), 21 Apr 1998 (-1.04%), 05 Oct 1998 (1.55%)
1997225 Aug 1997 (-2.52%), 02 Dec 1997 (-0.14%)

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-1144716.7724141058.335486.3524095.83-3209.22-15138.021.712.390.0541863.2
atrtrail23.7175862.7728101835.7116832.4229911.25-5136.75-11061.633.281.820.0442709.38
atrtrail34.575645.5728101835.7116810.744866.88-5136.75-11061.633.271.820.0392701.63
atrnil24.5656060.89259163620432.4429911.25-7989.44-11960.12.561.440.0312242.44
atrtrail-14.8638669.6828101835.7113113.1150781.03-5136.75-11061.632.551.420.0231381.06
atrnil38.2431762.73256192431442.4844866.88-8257.48-13379.433.811.20.0141270.51
200nil21.47-4736.8732102231.255909.437630.22-2901.42-3991.222.040.93-0.0072-148.03
200trail21.47-4736.8732102231.255909.437630.22-2901.42-3991.222.040.93-0.0072-148.03
200trail-12.42-24394.253172422.585741.2514638.73-2690.96-3774.62.130.62-0.036-786.91
200trail32-24523.33172422.585722.8111445.32-2690.96-3774.62.130.62-0.04-791.07
200nil32.1-32693.933152616.138503.9711445.32-2892.84-3774.62.940.57-0.05-1054.64

In the table above, row 1 shows the best exit criterion. Profit factor is 2.39. 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 58.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.93%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.054, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

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