Study: Sell TORNTPHARM when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell TORNTPHARM when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50" 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
119160.04251114444059.8217517.37-1821.29-4570.832.231.750.035766.4
230228.12251510604174.8820779.22-3239.5-7989.691.291.930.0461209.12
322239.79251114446349.4727786.17-3400.31-9311.221.871.470.026889.59
461515.62251312528919.6537571.73-4536.65-12336.451.972.130.0542460.62
51148.47251213488608.619993.96-7858.06-298951.11.010.0008545.94
69698.29251213488440.9921322.86-7045.66-26542.061.21.110.0077387.93
7-9876.282510154011385.732256.12-8248.89-23551.41.380.92-0.0067-395.05
8-18541.372510154012902.1738296.59-9837.54-30280.371.310.87-0.011-741.65
9879.632513125211010.4142162.49-11854.64-27289.720.931.010.000535.19
10-13732.642511144413007.8830202.36-11201.38-31028.041.160.91-0.0077-549.31
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
TORNTPHARM Performance, X=4, Profit Factor:2.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019106 May 2019 (2.49%)
2016214 Jan 2016 (5.63%), 27 Oct 2016 (5.76%)
2013328 Feb 2013 (-2.08%), 19 Mar 2013 (-1.5%), 12 Apr 2013 (-0.47%)
2012122 Nov 2012 (-1.82%)
2011314 Feb 2011 (1.73%), 25 Aug 2011 (-2.46%), 19 Sep 2011 (2.3%)
2008103 Oct 2008 (18.79%)
2007302 Apr 2007 (-3.09%), 23 Apr 2007 (-0.0%), 10 May 2007 (-0.26%)
2006123 Jun 2006 (3.65%)
2005109 Mar 2005 (2.84%)
2004102 Apr 2004 (-2.88%)
2003103 Feb 2003 (2.42%)
2002116 Aug 2002 (0.48%)
2001110 Jul 2001 (5.42%)
1999224 May 1999 (2.71%), 18 Jun 1999 (-2.04%)
1998113 May 1998 (-4.45%)
1997102 Sep 1997 (3.78%)
1996125 Jan 1996 (-6.17%)

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
atrnil27.7768996.3730111936.6720272.8843171.37-8105.54-13100.142.51.450.0322299.88
atrnil313.86-19731.672972224.1425559.8744829.46-9029.58-21585.692.830.9-0.009-680.4
200nil32.22-20984.284693719.579723.311451.96-2932.27-3984.763.320.81-0.019-456.18
atrtrail25.27-44346.473392427.2711801.0520103-6273.16-13100.141.880.71-0.031-1343.83
200trail21.72-30512.2347113623.46344.097634.64-2786.03-3984.762.280.7-0.034-649.2
atrtrail35.88-47644.893392427.2711434.5630154.5-6273.16-13100.141.820.68-0.031-1443.78
200trail32.02-34885.984683817.398603.1911209.99-2729.25-3984.763.150.66-0.036-758.39
200nil21.83-36357.6847113623.46344.097634.64-2948.41-3984.762.150.66-0.04-773.57
atrtrail-16.27-69118.873392427.279048.5626394.48-6273.16-13100.141.440.54-0.054-2094.51
200trail-12.65-49978.484673915.227924.8221272.42-2703.9-3984.762.930.53-0.049-1086.49

In the table above, row 1 shows the best exit criterion. Profit factor is 1.45. 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 36.67%, which is not acceptable. Avoid this strategy. Average return per trade is 1.15%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, 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:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019106 May 2019 (5.43%)
2016314 Jan 2016 (5.88%), 25 Jan 2016 (7.22%), 27 Oct 2016 (7.19%)
2013428 Feb 2013 (-2.75%), 13 Mar 2013 (-2.72%), 19 Mar 2013 (-2.72%), 12 Apr 2013 (-2.52%)
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%)
2008103 Oct 2008 (14.94%)
2007302 Apr 2007 (-4.82%), 23 Apr 2007 (-3.52%), 27 Apr 2007 (-3.47%)
2006123 Jun 2006 (16.11%)
2005109 Mar 2005 (-4.8%)
2004102 Apr 2004 (-5.05%)
2003103 Feb 2003 (9.91%)
2002116 Aug 2002 (-4.66%)
2001110 Jul 2001 (21.59%)
1999324 May 1999 (-5.68%), 18 Jun 1999 (-3.98%), 28 Jun 1999 (-3.55%)
1998113 May 1998 (-6.55%)
1997102 Sep 1997 (10.05%)
1996225 Jan 1996 (-5.22%), 29 Jan 1996 (-5.32%)



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