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

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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 ADX is Trending" 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
116867.31810855.563568.939934.21-2352.75-5825.61.521.90.049937.07
2-9914.421881044.444939.7811184.21-4943.26-12907.3510.8-0.019-550.8
3-27642.31861233.338789.7422368.42-6698.39-25431.311.310.66-0.033-1535.68
4-8197.951881044.447264.5625065.79-6631.44-23130.991.10.88-0.0095-455.44
5-14025.611861233.3314232.7837407.41-8285.19-17586.211.720.86-0.012-779.2
615991.871871138.8916452.7959417.99-9016.15-18045.981.821.160.0098888.44
79692.1818995011706.1346907.89-10629.22-20229.891.11.10.0067538.45
859451.7818995015174.4161447.37-8568.65-15082.721.771.770.0373302.88
929340.6918995014077.0354342.11-10816.95-20229.891.31.30.0191630.04
1036755.541811761.1111791.4243421.05-13278.58-22988.510.891.40.0252041.97

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.9. 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 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.049, which is low, don't trade solely on the basis of this study.

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-1116867.31810855.563568.939934.21-2352.75-5825.61.521.90.049937.07
50trail21.2992.882471729.176412.77594.69-2635.06-3951.542.4310.000193.87
50nil21.33-3923.462471729.176412.77594.69-2871.32-3951.542.230.92-0.008-163.48
50trail-11.91-12868.652251722.736433.823250-2649.27-3951.542.430.71-0.022-584.94
50nil31.86-25257.362131814.298946.239501.32-2894.23-3951.543.090.52-0.06-1202.73
atrtrail-14.37-40742.91941521.059953.8937546.67-5370.56-10980.811.850.49-0.045-2144.36
50trail31.64-23040.742251722.734399.389501.32-2649.27-3951.541.660.49-0.061-1047.31
atrtrail34.16-53757.871941521.056700.1524531.7-5370.56-10980.811.250.33-0.081-2829.36
atrnil27.25-93075.721621412.514563.9216354.47-8728.83-15027.881.670.24-0.15-5817.23
atrtrail24.05-61935.11941521.054655.8416354.47-5370.56-10980.810.870.23-0.12-3259.74
atrnil38.4-99318.89151146.6724531.724531.7-8846.47-15027.882.770.2-0.16-6621.26

In the table above, row 1 shows the best exit criterion. Profit factor is 1.9. 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 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.049, 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, X=1, Profit Factor:1.9

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017203 Jan 2017 (-0.76%), 26 Oct 2017 (-1.27%)
2016226 May 2016 (0.28%), 30 Jun 2016 (-1.52%)
2012224 Jan 2012 (-0.7%), 29 Feb 2012 (-2.91%)
2009309 Jan 2009 (1.22%), 26 Feb 2009 (-0.38%), 24 Mar 2009 (0.81%)
2008114 Jan 2008 (1.53%)
2005219 Apr 2005 (-1.1%), 04 May 2005 (0.04%)
1997203 Feb 1997 (4.29%), 23 Jun 1997 (0.51%)
1996428 Feb 1996 (4.97%), 14 May 1996 (-0.76%), 03 Dec 1996 (3.61%), 23 Dec 1996 (0.57%)



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