Study: Sell TITAN when ADX is Trending and there is Dead Cross (50 DMA < 200 DMA)

home > technical-strategy > titan > 51

In this study, we evaluate the performance of strategy "Sell TITAN when ADX is Trending and there is Dead Cross (50 DMA < 200 DMA)" 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
1-27287.39135838.462846.538833.33-5190-13684.470.550.34-0.079-2099.03
2-41587.92135838.464584.2914277.78-8063.67-28226.560.570.36-0.069-3199.07
3-76784.711331023.089434.4518611.11-10508.81-34540.390.90.27-0.096-5906.52
4-76066.33135838.468911.9820555.56-15078.28-49196.860.590.37-0.068-5851.26
5-12382.61137653.8510323.8527066.97-14108.26-31029.760.730.85-0.012-952.51
6-947.71136746.1516919.3326444.44-14637.67-43680.741.160.99-0.00075-72.9
7-20119.15136746.1510466.922124.08-11845.8-23982.070.880.76-0.023-1547.63
8-42840.88135838.4612471.1429810.18-13149.57-29062.380.950.59-0.043-3295.45
9-43286136746.1511074.9529385.54-15676.53-35636.910.710.61-0.042-3329.69
10-31944.11137653.859111.4424850.31-15954.03-51338.560.570.67-0.028-2457.24
Although, strategy looks good but profit factor on day 3 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
atrnil27.57-31253.141441028.5724336.0935232.86-12859.75-23668.831.890.76-0.025-2232.37
atrtrail25.07-27970.551441028.5719484.1135232.86-10590.7-23668.831.840.74-0.026-1997.9
atrtrail35.5-60478.861441028.5711357.0415595.88-10590.7-23668.831.070.43-0.079-4319.92
atrtrail-15.5-60478.861441028.5711357.0415595.88-10590.7-23668.831.070.43-0.079-4319.92
atrnil312.57-91904.671421214.2932011.8844782.19-12994.04-23668.832.460.41-0.079-6564.62

In the table above, row 1 shows the best exit criterion. Profit factor is 0.76. 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 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is -1.12%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TITAN Performance, Profit Factor:0.757

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016128 Nov 2016 (-4.91%)
2013114 Jun 2013 (-6.14%)
2011112 Dec 2011 (9.71%)
2008225 Feb 2008 (17.62%), 15 Oct 2008 (-11.83%)
2006130 Jun 2006 (-7.8%)
2004101 Jun 2004 (-6.83%)
2003107 Mar 2003 (-5.55%)
2002230 Oct 2002 (-4.32%), 31 Oct 2002 (-4.62%)
2001112 Apr 2001 (-8.21%)
2000129 Mar 2000 (14.93%)
1998102 Jan 1998 (6.41%)
1996110 Oct 1996 (-4.09%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play