Study: Buy TITAN when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy TITAN when above 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
159050.652341865.384349.6116000-4935.34-21170.40.881.660.0361135.59
269141.652312159.626475.6825333.33-6266.88-41867.471.031.530.0281329.65
315019.9952282453.856866.3217341.55-7384.87-37557.370.931.080.0061288.85
4-20496.8852292355.775973.8314235.87-8423.39-43646.010.710.89-0.008-394.17
5-59417.5852292355.776520.0419099.88-10804.3-43721.250.60.76-0.02-1142.65
6-11553752252748.087323.0223895.6-11059.72-38714.090.660.61-0.034-2221.86
72417.2851272452.949859.0637917.65-10990.72-35004.040.91.010.0006847.4
835922.3151282354.911158.1829204.15-12022.03-39807.760.931.130.0092704.36
913119951292256.8613312.9237462.51-11585.26-36904.761.151.510.0322572.53
1023665151302158.8216056.9971679.55-11669.48-28873.241.381.970.0514640.21
Although, strategy looks good but profit factor on day 6 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
atrtrail-15.9334625981344741.9820573.06117008-7515.42-17856.932.741.980.044274.81
atrtrail35.0120572081344741.9816439.5651358.55-7515.42-17856.932.191.580.0342539.76
atrtrail24.2714466081344741.9814643.6637590.36-7515.42-17856.931.951.410.0281785.92
atrnil25.4113620374304440.5419297.5437590.36-10061.88-17752.051.921.310.0241840.58
atrnil39.4159708.3969195027.5429121.5143333.98-9872-18795.182.951.120.0095865.34

In the table above, row 1 shows the best exit criterion. Profit factor is 1.98. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 41.98%, which is not acceptable. Avoid this strategy. Average return per trade is 2.14%, which is very good. Sharpe Ratio is 0.04, 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:1.98

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019306 May 2019 (12.3%), 09 Jul 2019 (-2.06%), 31 Jul 2019 (-2.29%)
2018801 Feb 2018 (-3.34%), 05 Feb 2018 (-3.76%), 06 Feb 2018 (2.75%), 14 May 2018 (-0.52%), 21 May 2018 (-1.06%), 31 May 2018 (-2.57%), 05 Jun 2018 (3.59%), 28 Jun 2018 (4.3%)
2017309 May 2017 (4.25%), 25 May 2017 (14.69%), 28 Sep 2017 (6.24%)
2016406 Jun 2016 (7.67%), 29 Sep 2016 (0.49%), 13 Oct 2016 (-2.39%), 21 Oct 2016 (-2.91%)
2015205 Mar 2015 (-3.27%), 20 Mar 2015 (2.79%)
2014219 Nov 2014 (-2.97%), 20 Nov 2014 (4.65%)
2013308 Jan 2013 (-0.77%), 07 Feb 2013 (0.06%), 20 Feb 2013 (-2.86%)
2012217 Dec 2012 (-0.65%), 21 Dec 2012 (0.42%)
2011710 Jan 2011 (4.56%), 08 Feb 2011 (-4.24%), 09 Feb 2011 (7.89%), 05 Aug 2011 (-3.42%), 18 Aug 2011 (-4.43%), 19 Aug 2011 (1.78%), 14 Nov 2011 (-2.56%)
2010109 Dec 2010 (2.27%)
2008118 Jan 2008 (-6.39%)
2007728 Feb 2007 (-1.94%), 07 Mar 2007 (-1.55%), 25 Jul 2007 (-4.43%), 27 Jul 2007 (-2.88%), 21 Aug 2007 (33.1%), 20 Nov 2007 (-5.72%), 22 Nov 2007 (1.58%)
2006825 Jan 2006 (-0.58%), 02 Feb 2006 (17.01%), 30 Mar 2006 (2.98%), 25 Apr 2006 (-3.17%), 15 May 2006 (-4.49%), 18 May 2006 (-6.13%), 31 Oct 2006 (-2.46%), 08 Nov 2006 (2.63%)
2005514 Jan 2005 (30.28%), 23 Aug 2005 (2.0%), 19 Oct 2005 (-6.03%), 20 Oct 2005 (-0.09%), 27 Oct 2005 (58.5%)
2004521 Jan 2004 (2.26%), 03 Feb 2004 (-7.0%), 04 Feb 2004 (-6.35%), 06 Feb 2004 (3.31%), 22 Mar 2004 (13.31%)
2003119 Sep 2003 (28.77%)
2002913 May 2002 (-1.59%), 17 May 2002 (-6.65%), 20 May 2002 (36.47%), 22 Jul 2002 (-4.79%), 26 Jul 2002 (-7.62%), 29 Jul 2002 (-8.12%), 30 Jul 2002 (6.84%), 09 Sep 2002 (-3.41%), 18 Sep 2002 (-5.49%)
2000304 Feb 2000 (-6.7%), 07 Feb 2000 (-4.26%), 11 Feb 2000 (-7.97%)
1999501 Feb 1999 (3.78%), 08 Feb 1999 (14.41%), 05 Apr 1999 (-0.66%), 09 Apr 1999 (-8.93%), 09 Aug 1999 (11.81%)
1997123 Sep 1997 (-0.13%)
1996113 Aug 1996 (-5.03%)



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