Study: Sell TORNTPHARM when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell TORNTPHARM when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell TORNTPHARM 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
1-9054.3569284140.583796.7717517.37-2813.76-12472.391.350.92-0.0058-131.22
247619.6369353450.725252.6120779.22-4006.52-15538.281.311.350.022690.14
340445.0369353450.725581.6427786.17-4556.24-23634.051.231.260.017586.16
491121.5769343549.288533.3237571.73-5686.04-21346.891.51.460.0291320.6
517121.5569363352.178113.0228518.97-8331.74-33926.30.971.060.0047248.14
689683.8369402957.977848.7923500.61-7733.38-26542.061.011.40.0271299.77
744358.9869353450.729811.5132256.12-8795.41-25491.981.121.150.011642.88
832641.5369353450.7211217.738296.59-10587.59-31921.071.061.090.0072473.07
985661.2169393056.5211779.1742162.49-12457.54-42251.890.951.230.0171241.47
1076255.2469383155.0712097.7633314.98-12369.66-44341.270.981.20.0151105.15
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
atrnil26.9910402671264536.6217679.4543171.37-7903.1-13100.142.241.290.0231465.16
atrnil311.19-12686.2367175025.3724100.7544829.46-8447.98-21585.692.850.97-0.0026-189.35
atrtrail24.85-35148.1984255929.7612240.8423921.23-5782.53-13100.142.120.9-0.0095-418.43
atrtrail35.55-75026.6484255929.7610645.734892.82-5782.53-13100.141.840.78-0.02-893.17
200trail21.63-72652.59130339725.386032.447634.64-2801.27-3984.762.150.73-0.03-558.87
200nil32.21-78163.86117239419.668884.2711451.96-3005.34-3984.762.960.72-0.029-668.07
200nil21.73-76296.28125339226.46032.447634.64-2993.12-3984.762.020.72-0.032-610.37
atrtrail-15.82-11846984255929.768908.0126394.48-5782.53-13100.141.540.65-0.037-1410.35
200trail31.99-1000201232310018.77708.0211209.99-2773.04-3984.762.780.64-0.04-813.17
200trail-12.54-1276581232110217.077329.621272.42-2760.59-3984.762.660.55-0.049-1037.87

In the table above, row 1 shows the best exit criterion. Profit factor is 1.29. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 36.62%, which is not acceptable. Avoid this strategy. Average return per trade is 0.73%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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.
TORNTPHARM Performance, Profit Factor:1.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019506 May 2019 (5.43%), 07 Aug 2019 (5.63%), 30 Aug 2019 (-2.72%), 23 Sep 2019 (5.42%), 14 Oct 2019 (-3.34%)
2018103 Apr 2018 (-2.76%)
2017524 Mar 2017 (-2.73%), 26 Apr 2017 (5.8%), 17 Aug 2017 (7.52%), 16 Oct 2017 (-3.0%), 27 Nov 2017 (-3.17%)
2016714 Jan 2016 (5.88%), 25 Jan 2016 (7.22%), 22 Mar 2016 (6.38%), 20 Apr 2016 (-3.06%), 25 Apr 2016 (6.03%), 27 Jul 2016 (-2.87%), 27 Oct 2016 (7.19%)
2013528 Feb 2013 (-2.75%), 13 Mar 2013 (-2.72%), 19 Mar 2013 (-2.72%), 12 Apr 2013 (-2.52%), 08 May 2013 (-2.06%)
2012122 Nov 2012 (-2.83%)
2011414 Feb 2011 (6.95%), 25 Aug 2011 (-3.48%), 05 Sep 2011 (-3.35%), 19 Sep 2011 (6.24%)
2009315 Apr 2009 (-4.4%), 16 Apr 2009 (-4.49%), 27 Apr 2009 (-4.57%)
2008502 Jan 2008 (-3.97%), 04 Jan 2008 (8.58%), 19 Jun 2008 (11.96%), 23 Jul 2008 (-6.28%), 03 Oct 2008 (14.94%)
2007402 Apr 2007 (-4.82%), 23 Apr 2007 (-3.52%), 27 Apr 2007 (-3.47%), 04 Sep 2007 (10.88%)
2006323 Jun 2006 (16.11%), 06 Sep 2006 (7.49%), 14 Nov 2006 (7.34%)
2005509 Mar 2005 (-4.8%), 19 Apr 2005 (-4.55%), 13 May 2005 (-4.02%), 25 May 2005 (-4.53%), 07 Jun 2005 (-3.93%)
2004302 Apr 2004 (-5.05%), 04 May 2004 (-4.38%), 21 May 2004 (12.71%)
2003203 Feb 2003 (9.91%), 27 May 2003 (-4.19%)
2002414 Jan 2002 (-5.03%), 16 Aug 2002 (-4.66%), 05 Nov 2002 (9.94%), 20 Dec 2002 (-3.18%)
2001110 Jul 2001 (21.59%)
1999412 Jan 1999 (-4.71%), 24 May 1999 (-5.68%), 18 Jun 1999 (-3.98%), 28 Jun 1999 (-3.55%)
1998405 Jan 1998 (5.48%), 20 Mar 1998 (-3.46%), 13 May 1998 (-6.55%), 15 Jul 1998 (-4.55%)
1997327 Jun 1997 (7.17%), 21 Jul 1997 (-4.89%), 02 Sep 1997 (10.05%)
1996225 Jan 1996 (-5.22%), 29 Jan 1996 (-5.32%)



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