Study: Sell TORNTPHARM when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell TORNTPHARM when below 200 SMA and near 50 SMA and below 50 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
1-9425.8663323150.793135.128571.43-3540.31-16086.960.890.91-0.0071-149.62
2-46517.1263323150.794462.568823.53-6107.07-30764.570.730.75-0.021-738.37
3-81081.5463273642.866369.7827297.34-7029.6-29492.810.910.68-0.028-1287.01
4-7676163293446.036471.9917453.51-7777.9-61710.830.830.71-0.022-1218.43
5-10799063313249.217275.5637407.41-10422.9-52021.20.70.68-0.03-1714.13
6-14679863263741.279685.8559417.99-10773.79-54049.960.90.63-0.033-2330.13
7-24854463303347.627138.9739735.45-14021.6-58516.620.510.46-0.054-3945.14
8-16502063273642.869281.3141587.3-11544.87-53657.290.80.6-0.037-2619.36
9-20302763273642.868975.0533439.15-12370.93-54292.20.730.54-0.046-3222.65
10-28049163293446.038659.2236931.22-15635.54-58772.380.550.47-0.056-4452.24

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.91. 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 50.79%, which is not acceptable. Avoid this strategy. Average return per trade is -0.075%, we advise you not to use this strategy.

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
nilnil-11-9425.8663323150.793135.128571.43-3540.31-16086.960.890.91-0.0071-149.62
50trail21.49-48279.581002674266475.377864.71-2927.56-3990.572.210.78-0.024-482.8
50nil21.5-54100.741002674266475.377864.71-3006.22-3990.572.150.76-0.027-541.01
atrtrail24.45-81479.5375235230.679603.4825021.17-5814.61-10980.811.650.73-0.026-1086.39
50trail31.9-71436.0596217521.886791.8711633.21-2854.2-3990.572.380.67-0.035-744.13
50nil32.23-78963.991167517.589416.8111633.21-3061.77-3990.573.080.66-0.038-867.74
atrtrail34.89-10868175225329.338986.7832467.87-5780.95-10980.811.550.65-0.034-1449.08
atrnil26.46-17231965164924.6215215.5125021.17-8485.04-19110.661.790.59-0.052-2651.06
atrtrail-14.99-13680575225329.337708.4439656.46-5780.95-10980.811.330.55-0.046-1824.06
50trail-12.31-10213795207521.055498.1323250-2828-3990.571.940.52-0.053-1075.13
atrnil38.25-2570296085213.3323236.4432467.87-8517.7-19110.662.730.42-0.079-4283.81

In the table above, row 1 shows the best exit criterion. Profit factor is 0.91. 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 50.79%, which is not acceptable. Avoid this strategy. Average return per trade is -0.075%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TORNTPHARM Performance, X=1, Profit Factor:0.914

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019212 Jul 2019 (0.39%), 09 Oct 2019 (-1.32%)
2017803 Jan 2017 (-0.76%), 03 Feb 2017 (2.32%), 20 Feb 2017 (-1.44%), 02 May 2017 (3.25%), 09 Aug 2017 (0.47%), 18 Sep 2017 (-1.36%), 26 Oct 2017 (-1.27%), 14 Nov 2017 (-0.22%)
2016319 May 2016 (3.61%), 03 Jun 2016 (0.74%), 30 Jun 2016 (-1.52%)
2013126 Apr 2013 (-1.0%)
2012224 Jan 2012 (-0.7%), 29 Feb 2012 (-2.91%)
2011320 Oct 2011 (0.16%), 18 Nov 2011 (0.37%), 12 Dec 2011 (0.05%)
2009409 Jan 2009 (1.22%), 02 Feb 2009 (0.96%), 26 Feb 2009 (-0.38%), 24 Mar 2009 (0.81%)
2008614 Jan 2008 (1.53%), 08 Apr 2008 (-2.37%), 03 Jun 2008 (2.85%), 30 Jun 2008 (2.89%), 14 Jul 2008 (2.95%), 16 Dec 2008 (-3.55%)
2007316 May 2007 (-0.46%), 15 Nov 2007 (-0.03%), 04 Dec 2007 (-1.46%)
2006511 Aug 2006 (-0.25%), 22 Sep 2006 (1.49%), 06 Nov 2006 (2.04%), 20 Nov 2006 (-2.05%), 22 Dec 2006 (-3.88%)
2005319 Apr 2005 (-1.1%), 04 May 2005 (0.04%), 20 Jun 2005 (0.17%)
2004312 May 2004 (-0.47%), 31 May 2004 (-1.5%), 26 Jul 2004 (-4.57%)
2003105 May 2003 (2.38%)
2002210 Jan 2002 (1.55%), 11 Dec 2002 (-0.99%)
2001115 Oct 2001 (-3.34%)
1998523 Jan 1998 (2.11%), 25 Feb 1998 (-0.21%), 04 Sep 1998 (1.07%), 28 Sep 1998 (-1.06%), 08 Dec 1998 (-8.04%)
1997303 Feb 1997 (4.29%), 10 Mar 1997 (1.6%), 23 Jun 1997 (0.51%)
1996815 Feb 1996 (1.3%), 10 Apr 1996 (1.84%), 14 May 1996 (-0.76%), 05 Sep 1996 (1.0%), 25 Oct 1996 (-1.29%), 19 Nov 1996 (-4.59%), 03 Dec 1996 (3.61%), 23 Dec 1996 (0.57%)



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