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

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In this study, we evaluate the performance of strategy "Sell TORNTPHARM when near 200 SMA and below 200 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
113615.2825141156372717517.37-3505.7-13746.41.061.350.02544.61
258778.9725169645619.6120779.22-3459.43-13464.891.622.890.0762351.16
365969.0325187726518.7427786.17-7338.33-23634.050.892.280.0612638.76
4126078251786810226.5537571.73-5971.7-21346.891.713.640.0955043.11
5117002251696411259.3828518.97-7016.51-33926.31.62.850.0824680.06
6125424251696411416.4823500.61-6359.94-19695.041.83.190.0975016.97
797394.74251696411849.8932256.12-10244.84-21242.021.162.060.0613895.79
892864.03251696413511.4738296.59-13702.17-31921.070.991.750.0473714.56
9100470251877213247.142162.49-19711.14-42251.890.671.730.0444018.79
1094816.68251786813933.7930202.36-17757.22-44341.270.781.670.0423792.67
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
TORNTPHARM Performance, X=4, Profit Factor:3.64

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020119 Mar 2020 (-0.4%)
2019206 May 2019 (2.49%), 07 Aug 2019 (0.99%)
2018103 Apr 2018 (-0.77%)
2017126 Apr 2017 (5.96%)
2016325 Jan 2016 (0.29%), 22 Mar 2016 (4.73%), 27 Oct 2016 (5.76%)
2011125 Aug 2011 (-2.46%)
2009115 Apr 2009 (-5.27%)
2008202 Jan 2008 (5.22%), 03 Oct 2008 (18.79%)
2006223 Jun 2006 (3.65%), 06 Jul 2006 (2.89%)
2005309 Mar 2005 (2.84%), 04 Apr 2005 (-0.23%), 19 Apr 2005 (-0.25%)
2003103 Feb 2003 (2.42%)
2002105 Nov 2002 (3.19%)
2001110 Jul 2001 (5.42%)
1998205 Jan 1998 (9.42%), 20 Mar 1998 (-10.67%)
1997327 Jun 1997 (9.11%), 21 Jul 1997 (-3.83%), 02 Sep 1997 (3.78%)

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
atrnil27.3916446428151353.5718855.8643171.37-9105.7-14979.62.072.390.0775873.7
atrtrail25.364796.173015155012051.7523261.88-7732.01-14979.61.561.560.0392159.87
atrtrail36.3352894.523015155011258.3134892.82-7732.01-14979.61.461.460.031763.15
atrnil314.8967307.8128101835.7124532.5744829.46-9889.88-21585.692.481.380.0282403.85
200nil32.2225220.7237112629.739292.5611451.96-2961.44-3947.733.141.330.024681.64
atrtrail-1726917.5301515509526.526394.48-7732.01-14979.61.231.230.017897.25
200trail-12.9511850.1737102727.039050.4821272.42-2913.13-3947.733.111.150.01320.27
200trail21.587456.0338132534.216249.777634.64-2951.64-3947.732.121.10.0091196.21
200nil21.587279.7438132534.216249.777634.64-2958.69-3947.732.111.10.0088191.57
200trail32-4731.5437102727.037392.3111209.99-2913.13-3947.732.540.94-0.0054-127.88

In the table above, row 1 shows the best exit criterion. Profit factor is 2.39. 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 53.57%, which is not acceptable. Avoid this strategy. Average return per trade is 2.94%, which is very good. Sharpe Ratio is 0.077, 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:2.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020219 Mar 2020 (-6.99%), 25 Mar 2020 (-7.49%)
2019206 May 2019 (5.43%), 07 Aug 2019 (5.63%)
2018103 Apr 2018 (-2.76%)
2017126 Apr 2017 (5.8%)
2016325 Jan 2016 (7.22%), 22 Mar 2016 (6.38%), 27 Oct 2016 (7.19%)
2011225 Aug 2011 (-3.48%), 05 Sep 2011 (-3.35%)
2009315 Apr 2009 (-4.4%), 16 Apr 2009 (-4.49%), 27 Apr 2009 (-4.57%)
2008302 Jan 2008 (-3.97%), 04 Jan 2008 (8.58%), 03 Oct 2008 (14.94%)
2006123 Jun 2006 (16.11%)
2005209 Mar 2005 (-4.8%), 19 Apr 2005 (-4.55%)
2003103 Feb 2003 (9.91%)
2002105 Nov 2002 (9.94%)
2001110 Jul 2001 (21.59%)
1998205 Jan 1998 (5.48%), 20 Mar 1998 (-3.46%)
1997327 Jun 1997 (7.17%), 21 Jul 1997 (-4.89%), 02 Sep 1997 (10.05%)



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