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

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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 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
141491.53352114603723.658571.43-2621.79-7759.511.422.130.0651185.47
233075.2635241168.574117.618590.15-5977.03-15680.360.691.50.035945.01
343950.6835181751.436810.5527297.34-4625.83-14474.181.471.560.0351255.73
4-8355.02351421407898.8517212.04-5663.75-16495.381.390.93-0.0061-238.71
5-49741.5335171848.576815.4837407.41-9200.27-18921.980.740.7-0.028-1421.19
6-66447.7834142041.189374.0359417.99-9884.21-18602.260.950.66-0.029-1954.35
7-15087034142041.186771.939735.45-12283.84-58516.620.550.39-0.064-4437.36
8-13825334132138.248764.4541587.3-12009.11-53657.290.730.45-0.059-4066.27
9-14591334132138.248041.0233439.15-11926.01-47928.390.670.42-0.065-4291.56
10-197274341717507274.8136931.22-18879.16-58772.380.390.39-0.068-5802.18

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.13. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 0.59%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.065, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
TORNTPHARM Performance, X=1, Profit Factor:2.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019218 Jul 2019 (1.93%), 09 Oct 2019 (-1.32%)
2017402 May 2017 (3.25%), 09 Aug 2017 (0.47%), 26 Oct 2017 (-1.27%), 14 Nov 2017 (-0.22%)
2016119 May 2016 (3.61%)
2013107 May 2013 (-0.71%)
2012224 Jan 2012 (-0.7%), 29 Feb 2012 (-2.91%)
2011221 Nov 2011 (1.64%), 12 Dec 2011 (0.05%)
2009209 Jan 2009 (1.22%), 02 Feb 2009 (0.96%)
2008414 Jan 2008 (1.53%), 03 Jun 2008 (2.85%), 30 Jun 2008 (2.89%), 17 Jul 2008 (-1.1%)
2007216 May 2007 (-0.46%), 21 Nov 2007 (2.32%)
2006422 Sep 2006 (1.49%), 06 Nov 2006 (2.04%), 20 Nov 2006 (-2.05%), 22 Dec 2006 (-3.88%)
2005204 May 2005 (0.04%), 20 Jun 2005 (0.17%)
2004212 May 2004 (-0.47%), 31 May 2004 (-1.5%)
2002210 Jan 2002 (1.55%), 11 Dec 2002 (-0.99%)
1998223 Jan 1998 (2.11%), 04 Sep 1998 (1.07%)
1997103 Feb 1997 (4.29%)
1996214 May 1996 (-0.76%), 03 Dec 1996 (3.61%)

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-1141491.53352114603723.658571.43-2621.79-7759.511.422.130.0651185.47
50trail21.51-21721.4355154027.276646.117755.47-3035.33-3990.572.190.82-0.019-394.94
50nil21.51-22753.0355154027.276646.117755.47-3061.12-3990.572.170.81-0.02-413.69
50nil32.35-30736.98551144209651.3811633.21-3111.41-3990.573.10.78-0.023-558.85
50trail31.98-35901.8555144125.456202.7111633.21-2993.65-3990.572.070.71-0.03-652.76
atrtrail24.69-60051.5642123028.579329.3620746.02-5733.46-13176.431.630.65-0.036-1429.8
atrnil27.37-95443.5438112728.9513910.7320746.02-9202.28-19110.661.510.62-0.048-2511.67
50trail-12.29-65889.355144125.454060.7510188.65-2993.65-3990.571.360.46-0.072-1197.99
atrtrail34.95-10375342113126.196571.0631119.03-5678.54-13176.431.160.41-0.069-2470.31
atrtrail-14.98-12101042113126.195002.2613862.23-5678.54-13176.430.880.31-0.1-2881.19
atrnil38.86-2028063743310.8121589.531119.03-8762.54-19110.662.460.3-0.11-5481.24

In the table above, row 1 shows the best exit criterion. Profit factor is 2.13. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 0.59%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.065, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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