Study: Buy TORNTPHARM when above 200 SMA and RSI is oversold

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In this study, we evaluate the performance of strategy "Buy TORNTPHARM when above 200 SMA and RSI is oversold" 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
112007.04127558.336085.4316007.88-6118.2-12157.450.991.390.0281000.59
285422.7212937510877.9233285.89-4159.52-11111.112.627.850.147118.56
394689.4712937511832.9629672.62-3935.72-9466.873.019.020.157890.79
412505112937514095.2132760.32-601.86-847.0423.4270.260.210420.94
513480712937515875.3750870.47-2690.5-4434.485.917.70.1511233.9
695998.39127558.3318364.2146403.15-6510.22-16173.272.823.950.17999.87
791648.09128466.6715409.743001.29-7907.37-18531.331.953.90.17637.34
870679.312937511229.2840362.23-10128.07-15301.811.113.330.0915889.94
961358.1512937510377.8143932.73-10680.72-18146.870.972.910.0735113.18
1031851.6612665014404.3341914.62-9095.72-15898.391.581.580.0362654.3
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
TORNTPHARM Performance, X=4, Profit Factor:70.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015130 Nov 2015 (4.49%)
2012126 Jun 2012 (3.62%)
2011124 Aug 2011 (1.65%)
2007101 Aug 2007 (-0.23%)
2006208 Mar 2006 (-0.25%), 23 Mar 2006 (6.08%)
2005124 Jan 2005 (4.3%)
2004121 Jan 2004 (4.13%)
2003129 Oct 2003 (16.0%)
2002120 May 2002 (-0.42%)
2000222 Feb 2000 (16.38%), 09 Mar 2000 (6.79%)

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
atrtrail25.23118373138561.5418737.2640457.95-6304.95-11351.922.974.750.129105.64
atrtrail37.0882139.26127558.3316237.7234391.99-6304.95-11351.922.583.610.0986844.94
atrtrail-17.4266854127558.3314054.1130826.18-6304.95-11351.922.233.120.095571.17
atrnil312.9297952.31125741.6736694.8860686.93-12217.44-22348.5332.150.0658162.69
atrnil27.1581358.2137653.8522820.6540457.95-13064.39-22348.531.752.040.0686258.32

In the table above, row 1 shows the best exit criterion. Profit factor is 4.75. Strategy is very good and impressively bullish. Percentage of profitable trades is 61.54%, which is good. Average return per trade is 4.55%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TORNTPHARM Performance, Profit Factor:4.75

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015130 Nov 2015 (1.23%)
2012126 Jun 2012 (5.24%)
2011124 Aug 2011 (-1.67%)
2007101 Aug 2007 (-4.19%)
2006208 Mar 2006 (11.46%), 17 Mar 2006 (11.58%)
2005124 Jan 2005 (0.98%)
2004121 Jan 2004 (11.25%)
2003129 Oct 2003 (12.98%)
2002220 May 2002 (-5.68%), 21 May 2002 (-0.42%)
2000222 Feb 2000 (20.23%), 09 Mar 2000 (-3.81%)



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