Study: Buy TITAN when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy TITAN when below 200 SMA" 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
1-91401.9282394347.564279.4416112.96-6006.98-27529.510.710.65-0.03-1114.66
2-89873.5682394347.566332.6221804.74-7833.62-26979.170.810.73-0.024-1096.02
3-22284.7282463656.18448.7235790.97-11414.61-33229.170.740.95-0.0042-271.76
45944.6782443853.669978.3333745.19-11397.42-356250.881.010.001172.5
56309.088241415011542.3245564.11-11388.44-40165.291.011.010.00176.94
6-10008.6582424051.2212592.0846477.58-13471.9-55206.610.930.98-0.0014-122.06
736005.9382433952.4414341.4865141.81-14889.17-53511.370.961.060.0044439.1
8-28014.2882384446.3415980.3560750.23-14437.9-56676.561.110.96-0.0034-341.64
93361.4282404248.7815946.8662113.02-15107.45-56909.091.061.010.0003940.99
1043546.578241415015916.5160638.82-14854.4-54545.451.071.070.0051531.06
Although, strategy looks good but profit factor on day 1 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
atrnil39.26225713128369228.1233998.2959987.27-10850.28-28341.313.131.230.0171763.38
atrtrail-15.628585.69149549536.2414805.7581509.61-8115-22653.541.821.040.0025191.85
atrtrail24.325112.14149549536.2414371.0649812.86-8115-22653.541.771.010.0005134.31
atrnil26.72-26836.73130418931.5422740.2642876.42-10777.39-28341.312.110.97-0.0025-206.44
atrtrail35.12-25101.7149549536.2413811.5459591.09-8115-22653.541.70.97-0.0024-168.47

In the table above, row 1 shows the best exit criterion. Profit factor is 1.23. 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 28.12%, which is not acceptable. Avoid this strategy. Average return per trade is 0.88%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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:1.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019105 Aug 2019 (-3.18%)
2018706 Jul 2018 (-3.23%), 05 Sep 2018 (-2.94%), 11 Sep 2018 (-3.13%), 21 Sep 2018 (-3.78%), 04 Oct 2018 (-3.94%), 09 Oct 2018 (14.48%), 24 Dec 2018 (7.53%)
2016615 Jan 2016 (8.89%), 17 Feb 2016 (-4.25%), 29 Feb 2016 (13.26%), 25 Oct 2016 (-2.9%), 09 Nov 2016 (-4.28%), 18 Nov 2016 (17.16%)
2015629 Apr 2015 (-3.16%), 07 May 2015 (-3.4%), 08 May 2015 (-4.01%), 20 Jul 2015 (-2.64%), 22 Jul 2015 (-2.64%), 31 Jul 2015 (-3.09%)
2014115 Jan 2014 (-2.71%)
20131025 Feb 2013 (9.03%), 12 Mar 2013 (-3.8%), 14 Mar 2013 (12.04%), 11 Jun 2013 (-4.95%), 12 Jun 2013 (19.77%), 16 Aug 2013 (-5.92%), 20 Aug 2013 (-6.63%), 28 Aug 2013 (19.83%), 11 Nov 2013 (-3.8%), 21 Nov 2013 (-3.45%)
2012104 Jun 2012 (12.84%)
2011504 Oct 2011 (13.78%), 17 Nov 2011 (-4.47%), 30 Nov 2011 (-5.28%), 14 Dec 2011 (-5.22%), 15 Dec 2011 (-5.49%)
2009404 Feb 2009 (-6.86%), 27 Feb 2009 (-5.42%), 03 Mar 2009 (-6.18%), 28 Apr 2009 (19.59%)
2008521 Jan 2008 (-8.33%), 24 Jan 2008 (-14.17%), 17 Mar 2008 (29.99%), 06 Oct 2008 (-7.12%), 08 Oct 2008 (-8.62%)
2006319 May 2006 (-7.48%), 22 May 2006 (-10.72%), 12 Dec 2006 (15.75%)
2004214 May 2004 (-6.44%), 17 May 2004 (24.46%)
2003327 Jan 2003 (-6.34%), 05 Mar 2003 (-5.33%), 19 Mar 2003 (16.23%)
2002224 Sep 2002 (-6.05%), 23 Oct 2002 (14.19%)
20011502 Mar 2001 (-8.69%), 07 Mar 2001 (-9.95%), 09 Mar 2001 (-11.33%), 13 Mar 2001 (-12.57%), 12 Apr 2001 (24.64%), 15 Jun 2001 (-7.58%), 29 Jun 2001 (-7.25%), 25 Jul 2001 (-4.29%), 30 Jul 2001 (-4.78%), 02 Aug 2001 (-4.89%), 24 Aug 2001 (-3.62%), 12 Sep 2001 (-4.17%), 14 Sep 2001 (-5.11%), 17 Sep 2001 (17.3%), 24 Dec 2001 (22.47%)
20001314 Feb 2000 (-8.35%), 03 Mar 2000 (-7.7%), 08 Mar 2000 (-9.11%), 10 Mar 2000 (29.8%), 24 Apr 2000 (-7.39%), 28 Apr 2000 (-7.64%), 10 May 2000 (-7.96%), 01 Aug 2000 (-5.93%), 02 Aug 2000 (-6.94%), 08 Aug 2000 (19.71%), 28 Sep 2000 (-4.28%), 12 Oct 2000 (13.91%), 26 Dec 2000 (23.26%)
1999115 Apr 1999 (28.8%)
19981827 Jan 1998 (-3.03%), 02 Feb 1998 (-3.02%), 03 Feb 1998 (-3.13%), 11 Feb 1998 (-3.28%), 12 Feb 1998 (-4.04%), 23 Feb 1998 (-4.45%), 24 Feb 1998 (-5.46%), 25 Feb 1998 (19.25%), 02 Jun 1998 (-6.24%), 05 Jun 1998 (-6.65%), 08 Jun 1998 (-7.52%), 11 Jun 1998 (-8.8%), 16 Jun 1998 (-8.52%), 03 Jul 1998 (21.42%), 10 Aug 1998 (-4.37%), 12 Aug 1998 (-4.65%), 18 Aug 1998 (15.33%), 26 Nov 1998 (14.98%)
19971020 Jan 1997 (-5.67%), 03 Feb 1997 (-4.8%), 18 Feb 1997 (11.51%), 06 Mar 1997 (-5.06%), 11 Mar 1997 (17.88%), 03 Jun 1997 (13.26%), 28 Oct 1997 (-3.31%), 01 Dec 1997 (-2.54%), 09 Dec 1997 (-2.67%), 15 Dec 1997 (-3.15%)
19961523 Jan 1996 (12.76%), 26 Mar 1996 (9.78%), 10 May 1996 (-2.75%), 21 May 1996 (-2.96%), 27 May 1996 (-3.21%), 19 Aug 1996 (-6.12%), 27 Sep 1996 (-3.8%), 03 Oct 1996 (-3.65%), 07 Oct 1996 (11.86%), 19 Nov 1996 (-4.24%), 20 Nov 1996 (-4.77%), 21 Nov 1996 (-5.3%), 22 Nov 1996 (-5.51%), 27 Nov 1996 (-5.6%), 04 Dec 1996 (15.24%)



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