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
1-41142.2260223836.673572.2519588.27-3150.83-146251.130.66-0.031-685.7
2-17467.0160263443.334270.1517342.48-3779.15-12206.971.130.86-0.012-291.12
311067.8460253541.677523.6329694.32-5057.8-19653.181.491.060.0045184.46
4-19812.07602733456914.4635241.16-6257.65-17728.81.10.9-0.0078-330.2
5-64351.9260263443.336902.2528561.53-7170.89-20507.910.960.74-0.024-1072.53
6-25537.49602733458365.8829581.99-7618.67-22616.21.10.9-0.0088-425.62
7-8977.6260273345849428977.47-7221.68-18878.771.180.96-0.0032-149.63
849893.660293148.3310408.8856743.71-8127.87-21657.881.281.20.013831.56
964291.66030305010894.7655875.22-8751.71-272001.241.240.0151071.53
1059700.1260293148.3312724.8859480.07-9978.11-300001.281.190.012995
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
200trail32.02574.5293237024.738244.4411901.04-2700.68-3892.023.0510.000266.18
200nil32.28-3878.8588216723.869244.3811901.04-2955.39-3892.023.130.98-0.0017-44.08
atrnil38.69-18959.4455144125.4522888.2237210.6-8277.92-22841.952.760.94-0.0051-344.72
200trail21.79-17447.195276828.426259.897934.03-2742.12-3892.022.280.91-0.0093-183.65
200nil21.85-21992.3992276529.356259.897934.03-2938.61-3892.022.130.88-0.012-239.05
atrtrail35.12-35597.7472205227.7813180.3429254.08-5753.93-12916.972.290.88-0.01-494.41
atrtrail24.57-36436.2372215129.1712341.8824807.07-5796.39-12916.972.130.88-0.011-506.06
atrnil26.73-48783.7560194131.6715347.1824807.07-8301.96-22841.951.850.86-0.015-813.06
200trail-12.84-75708.0192227023.915151.814805.36-2700.68-3892.021.910.6-0.041-822.91
atrtrail-15.54-13252672195326.398828.9922966.74-5665.6-12916.971.560.56-0.05-1840.64

In the table above, row 1 shows the best exit criterion. Profit factor is 1. 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 24.73%, which is not acceptable. Avoid this strategy. Average return per trade is 0.0031%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.00026, 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

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019425 Apr 2019 (3.63%), 09 Sep 2019 (-1.1%), 13 Sep 2019 (-1.3%), 20 Sep 2019 (-1.58%)
2018313 Mar 2018 (-1.87%), 09 Apr 2018 (3.33%), 23 May 2018 (5.81%)
2017722 Mar 2017 (-1.34%), 21 Apr 2017 (-0.86%), 16 Aug 2017 (-1.47%), 25 Oct 2017 (-1.18%), 06 Nov 2017 (-1.51%), 04 Dec 2017 (-1.01%), 06 Dec 2017 (0.74%)
2016613 Jan 2016 (-1.76%), 08 Apr 2016 (0.33%), 27 Apr 2016 (-1.47%), 08 Jul 2016 (-0.43%), 13 Jul 2016 (-1.3%), 15 Jul 2016 (-1.05%)
2013704 Mar 2013 (-0.26%), 12 Mar 2013 (-1.59%), 15 Mar 2013 (-1.86%), 21 Mar 2013 (-0.42%), 10 Apr 2013 (-1.71%), 11 Apr 2013 (-1.34%), 29 Apr 2013 (-1.83%)
2012312 Mar 2012 (4.58%), 26 Jun 2012 (-1.04%), 27 Jun 2012 (4.03%)
2011608 Feb 2011 (-1.42%), 15 Feb 2011 (-1.66%), 04 Apr 2011 (3.22%), 24 Aug 2011 (-1.17%), 29 Aug 2011 (-1.04%), 06 Sep 2011 (3.0%)
2009323 Apr 2009 (-1.44%), 04 May 2009 (4.34%), 06 May 2009 (4.29%)
2008103 Jan 2008 (-1.68%)
20071006 Mar 2007 (-1.53%), 08 Mar 2007 (-1.37%), 20 Mar 2007 (5.95%), 23 Mar 2007 (-1.28%), 28 Mar 2007 (-1.59%), 04 Apr 2007 (5.83%), 24 Apr 2007 (-1.33%), 15 May 2007 (-1.02%), 21 May 2007 (3.2%), 09 Aug 2007 (-1.81%)
2006225 Jun 2006 (-1.26%), 30 Jun 2006 (4.58%)
2005708 Mar 2005 (-1.08%), 06 Apr 2005 (-1.11%), 11 Apr 2005 (-0.89%), 20 Apr 2005 (-1.48%), 26 Apr 2005 (-1.6%), 01 Jun 2005 (-1.93%), 15 Jun 2005 (-1.95%)
2004227 Apr 2004 (-0.82%), 30 Apr 2004 (-1.09%)
2003624 Jan 2003 (-1.07%), 13 May 2003 (5.47%), 22 May 2003 (-1.48%), 23 May 2003 (4.97%), 10 Jun 2003 (-0.74%), 16 Jun 2003 (5.31%)
2002818 Jan 2002 (-1.55%), 21 Jan 2002 (-1.18%), 13 Aug 2002 (-1.08%), 28 Aug 2002 (1.45%), 06 Sep 2002 (-1.48%), 24 Dec 2002 (-1.41%), 26 Dec 2002 (-1.08%), 30 Dec 2002 (-1.19%)
2000110 Mar 2000 (-1.24%)
1999614 Jan 1999 (-1.93%), 05 May 1999 (-1.17%), 06 May 1999 (5.77%), 31 May 1999 (-1.4%), 14 Jun 1999 (-1.68%), 16 Jun 1999 (5.11%)
1998702 Mar 1998 (-1.58%), 24 Mar 1998 (5.47%), 16 Jul 1998 (-1.6%), 05 Aug 1998 (-1.06%), 11 Aug 1998 (-1.31%), 31 Aug 1998 (-1.94%), 10 Dec 1998 (-1.85%)
1997403 Mar 1997 (-1.5%), 04 Mar 1997 (4.41%), 26 Jun 1997 (-1.89%), 03 Sep 1997 (-1.3%)



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