Study: Buy TITAN when there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy TITAN when there is Golden 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: 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
1881.641811761.113553.59972.11-5458.12-20697.950.651.020.001548.98
2-30308.91899505542.7311436.54-8910.38-36462.090.620.62-0.031-1683.83
3-52353.591811761.114709.9114957.26-14880.38-41155.230.320.5-0.044-2908.53
4-50112.91810855.564524.5216096.87-11919.76-41155.230.380.47-0.044-2784.05
5-79001.751881044.446051.4713247.86-12741.35-39683.330.470.38-0.063-4388.99
6-1358581871138.895170.2410162.56-15640.92-52071.430.330.21-0.097-7547.69
7-1169261899505410.510094.35-18402.28-38392.10.290.29-0.091-6495.89
8-1692831861233.336273.911799.48-17243.89-60637.030.360.18-0.11-9404.63
9-1882051871138.895419.6210753.67-20558.37-55499.080.260.17-0.11-10455.82
10-1662861861233.335721.5411685.8-16717.92-46567.880.340.17-0.11-9238.1

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.02. 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 61.11%, which is good. Average return per trade is 0.024%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0015, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-11881.641811761.113553.59972.11-5458.12-20697.950.651.020.001548.98
atrnil310.11-22802.561951426.3220668.1435734.07-9010.23-13009.22.290.82-0.018-1200.13
atrtrail24.6-26061.13206143010202.423822.71-6233.97-13009.21.640.7-0.029-1303.06
atrnil26.4-42184.29206143013796.5923822.71-8925.99-13009.21.550.66-0.039-2109.21
atrtrail35.16-48026.611961331.586501.9916551.53-6695.27-13009.20.970.45-0.07-2527.72
atrtrail-15.21-57279.161961331.584959.897928.51-6695.27-13009.20.740.34-0.098-3014.69

In the table above, row 1 shows the best exit criterion. Profit factor is 1.02. 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 61.11%, which is good. Average return per trade is 0.024%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0015, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TITAN Performance, X=1, Profit Factor:1.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Jan 2019 (0.45%)
2017103 Mar 2017 (-0.41%)
2016105 May 2016 (1.74%)
2015129 Dec 2015 (-0.41%)
2014128 Mar 2014 (3.77%)
2013131 May 2013 (-1.28%)
2012116 Mar 2012 (0.62%)
2009116 Jun 2009 (-0.65%)
2008130 Sep 2008 (0.58%)
2006128 Sep 2006 (2.17%)
2004126 Aug 2004 (4.99%)
2003104 Jul 2003 (2.81%)
2002226 Feb 2002 (-4.22%), 23 Dec 2002 (1.68%)
2001118 Jan 2001 (-1.78%)
1998118 Nov 1998 (0.1%)
1997101 Sep 1997 (0.65%)
1996123 Jul 1996 (-10.35%)



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