Study: Buy TITAN when near 200 SMA and above 200 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy TITAN when near 200 SMA and above 200 SMA and RSI is above 50" 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
1-34475.8923101343.483198.5511070.4-5112.42-16088.560.630.48-0.054-1498.95
2-39722.812391439.136381.2126655.38-6939.55-28044.280.920.59-0.036-1727.08
313399.9123131056.528040.1727967-9112.23-24059.040.881.150.011582.6
4-10158.032315865.22600316141.32-12525.37-33216.780.480.9-0.0079-441.65
5-28110.1323121152.178584.4324160.43-11920.3-33041.960.720.79-0.018-1222.18
6-17385.6423101343.4811004.2735660.79-9802.18-30258.31.120.86-0.011-755.9
7-2843.1823121152.179473.6119712.79-10593.32-26048.950.890.98-0.0021-123.62
88915.7323131056.5210393.3932195.53-12619.83-22730.630.821.070.0056387.64
953960.7623131056.5213622.8541062.16-12313.63-29720.281.111.440.0292346.12
1035869.3523131056.5212780.8437543.07-13028.16-38986.010.981.280.0191559.54
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
200trail31.7140518.1434122235.298690.1911876.32-2898.37-3909.9331.640.0421191.71
200trail-1336457.4133112233.339111.0533230.12-2898.37-3909.933.141.570.0281104.77
200nil31.7634205.4933112233.339186.9511876.32-3038.68-3909.933.021.510.0361036.53
200trail21.5111564.4335132237.145832.297917.55-2920.7-3909.9321.180.016330.41
200nil21.565251.7734122235.296049.57917.55-3061.01-3909.931.981.080.0071154.46
atrnil37.15-8840.712762122.2227666.3438550.4-8325.65-12906.423.320.95-0.0043-327.43
atrnil25.25-8378.12891932.1416834.2625700.27-8415.08-12906.4220.95-0.005-299.22
atrtrail23.66-24795.9929101934.4811715.5721814.33-7471.14-12906.421.570.83-0.017-855.03
atrtrail34.48-30661.4929101934.4811129.0229606.64-7471.14-12906.421.490.78-0.02-1057.29
atrtrail-14.69-35077.1329101934.4810687.4633026.17-7471.14-12906.421.430.75-0.024-1209.56

In the table above, row 1 shows the best exit criterion. Profit factor is 1.64. 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 35.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.6%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.042, 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:1.64

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019109 Sep 2019 (5.45%)
2017119 Jan 2017 (-1.0%)
2016325 Jan 2016 (-1.14%), 03 Feb 2016 (4.44%), 06 Apr 2016 (-1.61%)
2015519 Nov 2015 (5.94%), 04 Dec 2015 (-1.61%), 15 Dec 2015 (-1.67%), 18 Dec 2015 (-1.35%), 22 Dec 2015 (-1.38%)
2013218 Apr 2013 (3.68%), 29 Oct 2013 (5.01%)
2012227 Jan 2012 (-1.28%), 10 Feb 2012 (4.31%)
2009118 May 2009 (3.78%)
2008605 Aug 2008 (-1.83%), 12 Aug 2008 (-1.66%), 22 Aug 2008 (-1.5%), 27 Aug 2008 (4.0%), 08 Sep 2008 (-1.95%), 19 Sep 2008 (-1.12%)
2004301 Jul 2004 (-1.31%), 06 Jul 2004 (-1.85%), 12 Jul 2004 (5.7%)
2003127 May 2003 (3.49%)
2001101 Jun 2001 (-1.71%)
1998422 Apr 1998 (-1.37%), 27 Oct 1998 (4.74%), 28 Oct 1998 (1.61%), 02 Nov 1998 (-1.32%)
1997124 Jul 1997 (-1.4%)
1996314 Feb 1996 (-1.12%), 14 Jun 1996 (-1.31%), 24 Jun 1996 (-1.4%)



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