Study: Buy TORNTPHARM when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy TORNTPHARM when below 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
1-61663.2178364246.154225.3118967.16-5089.87-26726.810.830.71-0.025-790.55
2-22348.1378403851.285831.623725.46-6726.63-50183.250.870.91-0.0063-286.51
326240.6978374147.447369.2932007.92-6010.32-29207.781.231.110.0074336.42
434905.8878433555.137148.8237122.59-7785.52-31181.280.921.130.0094447.51
561496.3878374147.4410386.3441676.29-7873.12-22895.281.321.190.014788.42
610892778413752.5610570.8937947.53-8769.72-26475.961.211.340.0231396.5
714222778423653.8510855.5737815.54-8714.08-36335.971.251.450.031823.42
819208378433555.1311416.4838838.48-8537.87-27741.751.341.640.0422462.61
921954978413752.5612103.2733756.81-7477.96-20693.541.621.790.0482814.73
1023879178403851.2814257.9245503.36-8724.37-30979.911.631.720.0453061.42
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
atrnil310.87391802115387733.0429653.2562280.82-9545.74-23928.743.111.530.0363406.97
atrnil27.29266984121497240.519420.641520.55-9508.69-23928.742.041.390.032206.48
atrtrail24.6914357.8135468934.0714017.4131200.35-7083.63-21003.961.981.020.0019106.35
atrtrail35.43-3920.67135449132.5914522.0146800.52-7064.72-21003.962.060.99-0.00047-29.04
atrtrail-16.01-12320.01135449132.5914331.1252357.79-7064.72-21003.962.030.98-0.0015-91.26

In the table above, row 1 shows the best exit criterion. Profit factor is 1.53. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 33.04%, which is not acceptable. Avoid this strategy. Average return per trade is 1.7%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.036, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TORNTPHARM Performance, Profit Factor:1.53

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019707 May 2019 (-2.73%), 13 May 2019 (-2.78%), 21 May 2019 (-3.22%), 27 May 2019 (-3.32%), 23 Jul 2019 (9.54%), 30 Sep 2019 (-2.65%), 01 Oct 2019 (-2.81%)
2018215 Mar 2018 (-3.29%), 21 Mar 2018 (9.38%)
2017913 Feb 2017 (-2.53%), 15 Feb 2017 (7.84%), 27 Apr 2017 (-2.89%), 03 May 2017 (-3.21%), 05 May 2017 (-3.36%), 24 May 2017 (-3.0%), 01 Jun 2017 (-3.92%), 28 Jun 2017 (8.55%), 08 Nov 2017 (12.45%)
20161015 Jan 2016 (-3.38%), 11 Feb 2016 (-4.02%), 12 Feb 2016 (13.01%), 20 May 2016 (-2.61%), 27 Oct 2016 (-3.6%), 01 Nov 2016 (-3.47%), 03 Nov 2016 (-3.64%), 04 Nov 2016 (-3.82%), 15 Nov 2016 (14.05%), 23 Dec 2016 (-3.17%)
2013128 Feb 2013 (8.26%)
2012122 Nov 2012 (8.5%)
2011709 Feb 2011 (-3.53%), 28 Feb 2011 (-3.74%), 03 Mar 2011 (12.42%), 23 Sep 2011 (-2.92%), 26 Sep 2011 (-3.21%), 30 Sep 2011 (9.55%), 19 Dec 2011 (11.02%)
20081218 Jan 2008 (-6.31%), 21 Jan 2008 (-8.12%), 22 Jan 2008 (31.14%), 19 Mar 2008 (21.08%), 02 Jun 2008 (-4.24%), 04 Jun 2008 (-4.43%), 09 Jun 2008 (14.85%), 29 Sep 2008 (-6.97%), 06 Oct 2008 (-8.64%), 08 Oct 2008 (-9.87%), 10 Oct 2008 (-10.56%), 27 Oct 2008 (30.78%)
2007507 Mar 2007 (18.46%), 19 Sep 2007 (-5.06%), 21 Sep 2007 (-6.05%), 12 Oct 2007 (-5.73%), 27 Nov 2007 (13.57%)
2006313 Jun 2006 (-9.37%), 19 Jul 2006 (21.32%), 25 Sep 2006 (11.61%)
2005124 Mar 2005 (15.93%)
2004422 Mar 2004 (19.19%), 17 May 2004 (23.34%), 21 Jun 2004 (-4.91%), 24 Jun 2004 (16.17%)
2003627 Jan 2003 (-4.82%), 31 Jan 2003 (-5.05%), 12 Feb 2003 (-4.67%), 07 Mar 2003 (-4.01%), 17 Mar 2003 (-3.96%), 28 Mar 2003 (-4.21%)
2002323 Aug 2002 (-3.74%), 19 Sep 2002 (-3.51%), 04 Dec 2002 (10.64%)
2001214 Sep 2001 (-5.66%), 17 Sep 2001 (18.62%)
2000121 Mar 2000 (-11.96%)
1999202 Feb 1999 (14.34%), 26 Apr 1999 (22.59%)
1998727 Jan 1998 (-3.24%), 10 Feb 1998 (8.35%), 13 May 1998 (-6.55%), 05 Jun 1998 (-7.76%), 08 Jun 1998 (-8.62%), 16 Jun 1998 (-8.01%), 01 Dec 1998 (7.61%)
19971803 Feb 1997 (-4.62%), 04 Feb 1997 (14.67%), 18 Mar 1997 (-4.44%), 31 Mar 1997 (-4.04%), 07 May 1997 (-2.88%), 13 May 1997 (-2.96%), 23 May 1997 (-2.67%), 26 May 1997 (-2.77%), 29 May 1997 (-2.67%), 03 Jun 1997 (-2.9%), 12 Jun 1997 (8.32%), 01 Sep 1997 (-4.96%), 09 Sep 1997 (-4.82%), 16 Sep 1997 (-4.66%), 23 Sep 1997 (13.59%), 28 Oct 1997 (-4.16%), 18 Nov 1997 (-3.66%), 09 Dec 1997 (10.13%)
19961425 Jan 1996 (15.65%), 14 Mar 1996 (-5.68%), 15 Mar 1996 (-6.11%), 18 Mar 1996 (23.4%), 20 May 1996 (-4.68%), 27 May 1996 (-5.97%), 09 Jul 1996 (-7.44%), 25 Jul 1996 (-6.04%), 30 Jul 1996 (-7.03%), 19 Aug 1996 (-5.88%), 21 Aug 1996 (18.66%), 24 Sep 1996 (-4.88%), 04 Oct 1996 (-4.73%), 07 Oct 1996 (14.82%)



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