Study: Buy TORNTPHARM when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy TORNTPHARM when near 200 SMA and above 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. sell 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
1-33033.0962243838.713612.4419588.27-3150.83-146251.150.72-0.023-532.79
2-10440.3262273543.554441.9417342.48-3724.94-12206.971.190.92-0.0065-168.39
332179.3762273543.557748.2329694.32-5057.8-19653.181.531.180.012519.02
47409.562293346.777376.2835241.16-6257.65-17728.81.181.040.0027119.51
5-24277.7162283445.167840.4528561.53-7170.89-20507.911.090.9-0.0082-391.58
614893.1662293346.779183.0829581.99-7618.67-22616.21.211.060.0046240.21
735069.162293346.779427.0528977.47-7221.68-18878.771.311.150.011565.63
81001516231315011358.5656743.71-8127.87-21657.881.41.40.0231615.34
914538562323051.6112748.0262155.17-8751.71-272001.461.550.0292344.92
101585426231315015092.3782532.08-9978.11-300001.511.510.0272557.13
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil38.641423.4757164128.0723801.1343757.69-8277.92-22841.952.881.120.0097726.73
atrtrail35.1524785.1774225229.7314726.843757.69-5753.93-12916.972.561.080.006334.93
200trail32.016418.2395247125.268299.2911901.04-2715-3892.023.061.030.002767.56
atrtrail24.593819.0474235131.0813018.9129171.79-5796.39-12916.972.251.010.001151.61
200nil32.271964.8690226824.449258.7711901.04-2966.59-3892.023.121.010.0008421.83
atrnil26.69-8528.4962214133.8715802.4629171.79-8301.96-22841.951.90.97-0.0023-137.56
200trail21.78-14790.3297286928.876263.967934.03-2756.25-3892.022.270.92-0.0075-152.48
200nil21.84-19335.6194286629.796263.967934.03-2950.4-3892.022.120.9-0.0098-205.7
atrtrail-15.66-46472.974215328.3812085.8966452.88-5665.6-12916.972.130.85-0.011-628.01
200trail-12.87-61825.7894237124.47569317599.32-2715-3892.022.10.68-0.029-657.72

In the table above, row 1 shows the best exit criterion. Profit factor is 1.12. 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 28.07%, which is not acceptable. Avoid this strategy. Average return per trade is 0.36%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0097, 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:1.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020123 Mar 2020 (21.88%)
2019425 Apr 2019 (-2.43%), 09 Sep 2019 (-2.61%), 20 Sep 2019 (-2.52%), 22 Nov 2019 (8.31%)
2018313 Mar 2018 (-3.42%), 09 Apr 2018 (8.73%), 23 May 2018 (9.12%)
2017622 Mar 2017 (-2.67%), 21 Apr 2017 (-2.86%), 16 Aug 2017 (-3.81%), 25 Oct 2017 (-3.65%), 06 Nov 2017 (-3.68%), 04 Dec 2017 (8.62%)
2016313 Jan 2016 (-2.86%), 08 Apr 2016 (-3.15%), 08 Jul 2016 (-2.22%)
2013204 Mar 2013 (-2.78%), 15 Mar 2013 (8.44%)
2012212 Mar 2012 (7.5%), 26 Jun 2012 (7.85%)
2011408 Feb 2011 (-3.36%), 15 Feb 2011 (-3.35%), 04 Apr 2011 (13.09%), 24 Aug 2011 (-3.57%)
2009223 Apr 2009 (-4.76%), 04 May 2009 (13.99%)
2008103 Jan 2008 (-4.17%)
2007406 Mar 2007 (-5.76%), 08 Mar 2007 (-5.81%), 20 Mar 2007 (-6.14%), 09 Aug 2007 (-6.46%)
2006125 Jun 2006 (-7.65%)
2005508 Mar 2005 (-4.56%), 06 Apr 2005 (-4.44%), 11 Apr 2005 (-4.2%), 01 Jun 2005 (-4.16%), 15 Jun 2005 (-3.69%)
2004127 Apr 2004 (-4.47%)
2003324 Jan 2003 (-4.63%), 13 May 2003 (-3.73%), 23 May 2003 (13.22%)
2002318 Jan 2002 (14.63%), 13 Aug 2002 (-4.83%), 24 Dec 2002 (9.5%)
2000110 Mar 2000 (-11.42%)
1999314 Jan 1999 (-4.8%), 05 May 1999 (18.61%), 31 May 1999 (16.03%)
1998502 Mar 1998 (-2.72%), 24 Mar 1998 (10.87%), 16 Jul 1998 (-4.32%), 05 Aug 1998 (-3.66%), 10 Dec 1998 (-2.82%)
1997303 Mar 1997 (-3.3%), 26 Jun 1997 (-3.43%), 03 Sep 1997 (-4.82%)



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