Study: Buy TORNTPHARM when RSI is below 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy TORNTPHARM when RSI is below 50 and there is Bullish Crossover in MACD" 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
1-820.3876334343.423313.7616081.68-2562.2-15997.161.290.99-0.00052-10.79
214888.8676294738.166652.433439.69-3787.89-30714.541.761.080.0054195.91
355688.4476344244.748151.4341557.79-5272.86-43210.11.551.250.015732.74
456399.0176314540.7910589.2637135.68-6041.51-50568.791.751.210.013742.09
510059476344244.7411484.3338793.97-6901.73-52168.51.661.350.0211323.61
685258.9876403652.639505.4933266.33-8193.35-61304.661.161.290.0181121.83
717537676413553.951092658516.62-7788.29-67401.351.41.640.0342307.58
827140576413553.9513385.4353657.29-7925.65-61571.281.691.980.053571.12
927004576453159.2112069.4348801.13-8809.02-62868.821.371.990.0493553.22
1029862876443257.8913086.9658772.38-8662.44-51884.111.512.080.0513929.32
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=10, Profit Factor:2.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019203 Jun 2019 (-1.71%), 16 Oct 2019 (8.18%)
2018202 Apr 2018 (6.41%), 24 Oct 2018 (4.17%)
2017114 Sep 2017 (0.16%)
2016727 Jan 2016 (-5.46%), 18 Feb 2016 (-1.02%), 03 Mar 2016 (-0.25%), 06 Jun 2016 (-2.28%), 29 Jun 2016 (6.59%), 21 Nov 2016 (2.35%), 21 Dec 2016 (1.65%)
2015210 Mar 2015 (1.8%), 21 Dec 2015 (-2.32%)
2013308 Mar 2013 (-1.65%), 22 Mar 2013 (1.18%), 03 Sep 2013 (9.67%)
2012229 Jun 2012 (6.63%), 25 Oct 2012 (-1.01%)
2011416 Mar 2011 (12.67%), 07 Sep 2011 (-3.54%), 11 Oct 2011 (3.3%), 30 Dec 2011 (2.42%)
2010224 Aug 2010 (-2.56%), 04 Nov 2010 (-2.05%)
2009106 Mar 2009 (-0.12%)
2008405 Feb 2008 (-6.09%), 28 Mar 2008 (4.31%), 29 Oct 2008 (-2.02%), 04 Dec 2008 (13.85%)
2007421 Mar 2007 (0.65%), 16 May 2007 (29.39%), 28 Aug 2007 (4.06%), 10 Oct 2007 (-5.25%)
2006327 Mar 2006 (13.6%), 23 Jun 2006 (1.16%), 28 Jul 2006 (3.14%)
2005215 Feb 2005 (-6.28%), 03 Mar 2005 (-5.02%)
2004311 Feb 2004 (2.47%), 02 Apr 2004 (4.1%), 14 Jul 2004 (23.76%)
2003324 Feb 2003 (-6.74%), 26 Mar 2003 (1.06%), 30 Apr 2003 (15.97%)
2002404 Jun 2002 (1.7%), 03 Jul 2002 (7.46%), 26 Aug 2002 (1.1%), 08 Oct 2002 (-1.75%)
2001209 Jul 2001 (-14.69%), 01 Oct 2001 (6.27%)
2000101 Mar 2000 (-25.94%)
1999207 May 1999 (2.11%), 24 Jun 1999 (5.69%)
1998618 Feb 1998 (13.33%), 25 Jun 1998 (-1.37%), 30 Jul 1998 (3.09%), 27 Oct 1998 (-3.27%), 12 Nov 1998 (-3.08%), 04 Dec 1998 (5.34%)
1997510 Apr 1997 (-1.09%), 13 Jun 1997 (23.13%), 29 Sep 1997 (11.07%), 30 Oct 1997 (-10.78%), 28 Nov 1997 (-5.04%)
1996719 Jan 1996 (0.66%), 05 Jun 1996 (0.58%), 05 Aug 1996 (-11.79%), 26 Aug 1996 (4.56%), 11 Oct 1996 (5.03%), 18 Nov 1996 (-0.29%), 02 Dec 1996 (-0.06%)
1995409 May 1995 (0.0%), 13 Jul 1995 (8.96%), 01 Sep 1995 (-4.07%), 14 Nov 1995 (3.13%)

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
atrnil312.2332689778314739.7424853.5443148.91-9437.51-21067.852.631.740.0494190.99
atrnil28.4225112281394248.1516553.4429535.41-9391.96-21067.851.761.640.0473100.27
atrtrail36.5414620883344940.9614335.1336857.68-6962.99-21067.852.061.430.031761.54
atrtrail-17.1413563983344940.9614024.2738289.76-6962.99-21067.852.011.40.0271634.2
atrtrail25.8911661584364842.8612561.7729535.41-6991.84-21067.851.81.350.0261388.28

In the table above, row 1 shows the best exit criterion. Profit factor is 1.74. 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 39.74%, which is not acceptable. Avoid this strategy. Average return per trade is 2.1%, which is very good. Sharpe Ratio is 0.049, 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:1.74

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019203 Jun 2019 (-3.09%), 16 Oct 2019 (10.56%)
2018202 Apr 2018 (8.4%), 24 Oct 2018 (11.72%)
2017114 Sep 2017 (9.23%)
2016627 Jan 2016 (-3.54%), 18 Feb 2016 (-4.22%), 02 Mar 2016 (11.88%), 06 Jun 2016 (-3.17%), 29 Jun 2016 (7.28%), 21 Nov 2016 (-4.46%)
2015210 Mar 2015 (10.86%), 21 Dec 2015 (-2.82%)
2013308 Mar 2013 (-2.51%), 21 Mar 2013 (7.71%), 03 Sep 2013 (11.7%)
2012229 Jun 2012 (7.94%), 25 Oct 2012 (-2.93%)
2011416 Mar 2011 (10.29%), 07 Sep 2011 (-3.76%), 11 Oct 2011 (-3.35%), 30 Dec 2011 (10.29%)
2010224 Aug 2010 (-3.91%), 04 Nov 2010 (-3.35%)
2009106 Mar 2009 (17.81%)
2008505 Feb 2008 (-7.75%), 15 Feb 2008 (-7.38%), 28 Mar 2008 (18.43%), 29 Oct 2008 (-9.14%), 04 Dec 2008 (21.57%)
2007321 Mar 2007 (-5.74%), 28 Aug 2007 (-6.7%), 10 Oct 2007 (-5.56%)
2006327 Mar 2006 (14.74%), 23 Jun 2006 (-8.05%), 28 Jul 2006 (16.38%)
2005315 Feb 2005 (-4.32%), 24 Feb 2005 (-3.89%), 03 Mar 2005 (-4.47%)
2004311 Feb 2004 (14.11%), 02 Apr 2004 (15.14%), 14 Jul 2004 (11.97%)
2003424 Feb 2003 (-3.69%), 26 Mar 2003 (-3.99%), 03 Apr 2003 (-3.94%), 30 Apr 2003 (12.61%)
2002304 Jun 2002 (-6.33%), 26 Aug 2002 (-3.72%), 08 Oct 2002 (-3.92%)
2001209 Jul 2001 (-10.53%), 01 Oct 2001 (-5.08%)
2000101 Mar 2000 (-8.46%)
1999207 May 1999 (17.07%), 24 Jun 1999 (10.77%)
1998618 Feb 1998 (7.76%), 25 Jun 1998 (-6.72%), 30 Jul 1998 (11.52%), 27 Oct 1998 (-3.84%), 09 Nov 1998 (-3.18%), 04 Dec 1998 (7.26%)
1997610 Apr 1997 (-3.61%), 13 Jun 1997 (-2.89%), 29 Sep 1997 (11.22%), 30 Oct 1997 (-4.02%), 03 Nov 1997 (-4.24%), 28 Nov 1997 (-3.5%)
1996819 Jan 1996 (-4.1%), 05 Jun 1996 (-6.49%), 05 Aug 1996 (-6.58%), 26 Aug 1996 (-5.9%), 11 Oct 1996 (-4.75%), 14 Oct 1996 (16.22%), 18 Nov 1996 (15.67%), 02 Dec 1996 (19.49%)
1995409 May 1995 (-3.37%), 13 Jul 1995 (7.62%), 01 Sep 1995 (-2.14%), 14 Nov 1995 (-2.65%)



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