Study: Buy TORNTPHARM when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy TORNTPHARM when 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
1-11843.33361818502829.789089.8-3487.74-14993.830.810.81-0.015-328.98
21834.8436201655.564516.7217320.83-5531.22-24184.130.821.020.001550.97
3-5411.4236201655.565749.9525193.93-7525.65-27209.210.760.96-0.0033-150.32
429093.2136191752.789481.5743209.45-8885.68-30858.181.071.190.013808.14
547001.8736201655.5610845.1462683.8-10618.8-34443.071.021.280.0171305.61
668688.0236201655.5613425.7283709.62-12489.15-42729.141.071.340.0191908
716955.1136171947.2213528.5362660.65-11212.1-49847.921.211.080.0053470.98
8-9778.553618185013043.6956014.82-13586.95-37829.840.960.96-0.0031-271.63
9-17231.4736171947.2213759.7348025.93-13218.25-37388.051.040.93-0.0056-478.65
10-1037.7136171947.2215187.8755616.81-13643.76-39473.981.111-0.0003-28.83
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
atrtrail34.9166074.6356173930.3620110.5564913.44-7071.92-21097.332.841.240.0151179.9
atrtrail24.1237439.457183931.5817402.4543275.63-7071.92-21097.332.461.140.01656.83
atrnil37.9222676.125014362828609.8864913.44-10496.17-22841.952.731.060.0049453.52
atrtrail-15.5713484.7556164028.5718617.467821.29-7109.84-21097.332.621.050.0033240.8
atrnil25.82-8293.8651173433.3320134.6943275.63-10311.28-22348.531.950.98-0.0022-162.62

In the table above, row 1 shows the best exit criterion. Profit factor is 1.24. 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 30.36%, which is not acceptable. Avoid this strategy. Average return per trade is 0.59%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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:1.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019224 Apr 2019 (-2.24%), 25 Apr 2019 (1.04%)
2018530 Jan 2018 (-2.39%), 05 Feb 2018 (-3.11%), 08 Mar 2018 (-2.46%), 13 Mar 2018 (-3.42%), 08 Oct 2018 (-0.43%)
2016121 Oct 2016 (-0.82%)
2015427 Feb 2015 (11.45%), 23 Sep 2015 (14.74%), 30 Nov 2015 (1.23%), 14 Dec 2015 (3.14%)
2014211 Mar 2014 (4.15%), 17 Oct 2014 (9.34%)
2013431 Jan 2013 (-3.42%), 20 Aug 2013 (13.05%), 14 Oct 2013 (-1.95%), 25 Oct 2013 (-0.27%)
2012521 May 2012 (-0.03%), 01 Jun 2012 (-0.26%), 19 Jun 2012 (-2.18%), 25 Jun 2012 (-2.63%), 19 Nov 2012 (-2.18%)
2011108 Feb 2011 (-3.36%)
2010328 Apr 2010 (9.25%), 13 Aug 2010 (-3.55%), 26 Oct 2010 (-0.47%)
2008116 Sep 2008 (-5.39%)
2007226 Feb 2007 (-4.82%), 28 Feb 2007 (0.34%)
2006401 Mar 2006 (-1.44%), 03 Mar 2006 (12.88%), 07 Mar 2006 (-5.46%), 09 Mar 2006 (17.54%)
2005128 Feb 2005 (-3.75%)
2004216 Jan 2004 (-4.6%), 21 Jan 2004 (4.58%)
2003221 Oct 2003 (-5.4%), 23 Oct 2003 (-4.69%)
2002408 May 2002 (-1.16%), 20 May 2002 (-5.68%), 21 May 2002 (-0.42%), 12 Aug 2002 (3.36%)
2000611 Feb 2000 (-7.75%), 14 Feb 2000 (-8.39%), 16 Feb 2000 (-5.63%), 21 Feb 2000 (10.19%), 06 Mar 2000 (-10.55%), 09 Mar 2000 (-3.81%)
1999506 Apr 1999 (-6.38%), 09 Apr 1999 (-6.55%), 12 Apr 1999 (-1.54%), 01 Nov 1999 (32.46%), 14 Dec 1999 (22.19%)
1997228 Aug 1997 (-4.53%), 29 Aug 1997 (-4.82%)



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