Study: Buy TORNTPHARM when ADX is Trending 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 ADX is Trending 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
1-8685.651477504633.1210346.15-5873.93-8346.780.790.79-0.022-620.4
2-32537.45145935.715859.0215514.75-6870.28-13155.630.850.47-0.067-2324.1
3-60981.981441028.576564.418953.99-8723.96-17935.520.750.3-0.11-4355.86
4-36468.4145935.714973.9312420.05-6815.34-16666.670.730.41-0.072-2604.89
5-35394.74145935.716286.4613866.97-7425.23-17540.840.850.47-0.062-2528.2
6-23465.32145935.7110113.0429199.55-8225.61-20292.351.230.68-0.029-1676.09
7-40559.09146842.868038.0912852.31-11098.45-25623.390.720.54-0.054-2897.08
8-50088.41146842.868608.2417474.63-12717.23-31040.410.680.51-0.055-3577.74
9-55551.671477506968.8515403.85-14904.81-33018.060.470.47-0.059-3967.98
10-51776.77146842.868707.5215403.85-13002.73-40240.760.670.5-0.052-3698.34

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.79. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is -0.31%, we advise you not to use this strategy.

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-11-8685.651477504633.1210346.15-5873.93-8346.780.790.79-0.022-620.4
atrnil23.67-31238.941851327.7816807.0620108.43-8867.25-12374.461.90.73-0.031-1735.5
atrtrail23.28-28697.661851327.7813800.2720108.43-7515.31-12374.461.840.71-0.032-1594.31
atrnil35.53-60303.191731417.6522109.0924355.89-9045.03-12374.462.440.52-0.061-3547.25
atrtrail33.94-70663.731751229.413696.586075.37-7428.89-12374.460.50.21-0.15-4156.69
atrtrail-13.94-70663.731751229.413696.586075.37-7428.89-12374.460.50.21-0.15-4156.69

In the table above, row 1 shows the best exit criterion. Profit factor is 0.79. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is -0.31%, 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, X=1, Profit Factor:0.789

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2012111 Apr 2012 (-2.08%)
2011113 May 2011 (0.95%)
2009102 Jun 2009 (1.99%)
2008114 Aug 2008 (-2.02%)
2007218 Jan 2007 (-4.17%), 29 May 2007 (4.37%)
2005126 Jul 2005 (5.17%)
2004130 Aug 2004 (0.85%)
2003224 Jan 2003 (-3.66%), 02 Jul 2003 (-2.39%)
2002131 Jan 2002 (1.41%)
1999123 Feb 1999 (1.47%)
1998127 Apr 1998 (-3.95%)
1997113 Aug 1997 (-2.28%)



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