Study: Buy TORNTPHARM when RSI is above 50 and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy TORNTPHARM when RSI is above 50 and there is Golden Cross (50 DMA > 200 DMA)" 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
1-8298.43169756.253336.1110346.15-5474.78-8346.780.610.78-0.022-518.65
2-18940.841688504416.9110620.95-6784.52-13155.630.650.65-0.039-1183.8
3-35355.06167943.756192.410647.31-8744.65-17935.520.710.55-0.053-2209.69
4-28556.85167943.754142.538500-6394.95-16666.670.650.5-0.055-1784.8
513069.921688508803.3616613.99-7169.62-17540.841.231.230.017816.87
637622.0616885013533.3629199.55-8830.6-20292.351.531.530.0332351.38
714506.4716885011844.2128803.08-10030.9-25623.391.181.180.014906.65
86506.67169756.2510644.6124584.31-12756.4-31040.410.831.070.0057406.67
9-7942.98169756.2510352.0524213.27-14444.5-33018.060.720.92-0.0067-496.44
10634.4616885012416.7823993.4-12337.47-40240.761.011.010.0005239.65
Although, strategy looks good but profit factor on day 4 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
atrnil36.26-3593.681961331.5818951.3524355.89-9023.22-12374.462.10.97-0.003-189.14
atrnil23.7-20485.69207133513644.8719708.7-8923.06-12374.461.530.82-0.019-1024.28
atrtrail23.3-31131.1206143011583.4119708.7-7187.97-12374.461.610.69-0.034-1556.55
atrtrail34-69770.761961331.583718.076075.37-7083.01-12374.460.520.24-0.13-3672.15
atrtrail-14-69770.761961331.583718.076075.37-7083.01-12374.460.520.24-0.13-3672.15

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. 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 31.58%, which is not acceptable. Avoid this strategy. Average return per trade is -0.095%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TORNTPHARM Performance, Profit Factor:0.969

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017121 Dec 2017 (7.12%)
2016116 Aug 2016 (8.33%)
2013124 May 2013 (8.23%)
2012211 Apr 2012 (-2.92%), 12 Apr 2012 (9.17%)
2011113 May 2011 (-3.26%)
2009102 Jun 2009 (-6.05%)
2008114 Aug 2008 (-4.93%)
2007318 Jan 2007 (-3.59%), 19 Jan 2007 (11.81%), 28 May 2007 (-4.99%)
2005126 Jul 2005 (12.18%)
2004130 Aug 2004 (-3.64%)
2003102 Jul 2003 (-5.53%)
2002131 Jan 2002 (-5.09%)
1999123 Feb 1999 (-5.17%)
1998127 Apr 1998 (-6.19%)
1997213 Aug 1997 (-3.57%), 14 Aug 1997 (-3.72%)



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