Study: Buy TORNTPHARM when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy TORNTPHARM when near 200 SMA and above 200 SMA and ADX is Trending" 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
1-12131.0220911453561.9719588.27-4017.16-8419.030.890.73-0.022-606.55
2-23138.3220812404017.1717342.48-4606.31-11111.110.870.58-0.041-1156.92
3-43232.9320515258775.0929694.32-5807.22-15306.121.510.5-0.05-2161.65
4-46146.8620614307004.3415720.52-6298.07-17728.81.110.48-0.063-2307.34
5-33292.9420911455422.549558.63-7463.25-20507.910.730.59-0.041-1664.65
61193.1420119556379.8615845.29-7665.03-22616.20.831.020.001459.66
74978.3320119557718.2613959.59-8880.28-18878.770.871.060.0055248.92
828608.4420128609436.9720835.93-10579.4-21657.880.891.340.0261430.42
923683.94201286010730.1531815.35-13134.74-26038.160.821.230.0171184.2
1012822.66201195512701.0931972.79-14098.81-26262.630.91.10.0084641.13
Although, strategy looks good but profit factor on day 4 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
200trail31.9322530.5430921308274.5910946.35-2473.37-3864.133.351.430.031751.02
200nil32.0317219.452992031.038274.5910946.35-2862.6-3864.132.891.30.024593.77
200trail-13.487488.422982127.597428.6514232.25-2473.37-3864.1331.140.01258.22
200trail21.676845.3830102033.335700.167354.08-2507.81-3864.132.271.140.012228.18
200nil21.763426.7929101934.485700.167354.08-2819.73-3864.132.021.060.006118.17
atrtrail35.167189.4257182818937.1527980.9-6965.04-9647.152.721.060.0048287.58
atrnil37.14-3465.842261627.2722587.8827980.9-8687.07-15295.222.60.98-0.0023-157.54
atrtrail24.52-21647.95257182814817.5318653.93-6965.04-9647.152.130.83-0.018-865.92
atrnil25.26-35475.592371630.4314946.1518653.93-8756.16-15295.221.710.75-0.029-1542.42
atrtrail-16.04-59006.03256192411239.4820210.75-6654.89-9647.151.690.53-0.057-2360.24

In the table above, row 1 shows the best exit criterion. Profit factor is 1.43. 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 30%, which is not acceptable. Avoid this strategy. Average return per trade is 0.38%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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:1.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018109 Apr 2018 (3.33%)
2017221 Apr 2017 (-0.86%), 25 Oct 2017 (-1.18%)
2012226 Jun 2012 (-1.04%), 27 Jun 2012 (4.03%)
2011508 Feb 2011 (-1.42%), 04 Apr 2011 (3.22%), 24 Aug 2011 (-1.17%), 29 Aug 2011 (-1.04%), 06 Sep 2011 (3.0%)
2009323 Apr 2009 (-1.44%), 04 May 2009 (4.34%), 06 May 2009 (4.29%)
2008103 Jan 2008 (-1.68%)
2006225 Jun 2006 (-1.26%), 30 Jun 2006 (4.58%)
2005408 Mar 2005 (-1.08%), 06 Apr 2005 (-1.11%), 11 Apr 2005 (-0.89%), 20 Apr 2005 (-1.48%)
2004227 Apr 2004 (-0.82%), 30 Apr 2004 (-1.09%)
2003424 Jan 2003 (-1.07%), 22 May 2003 (-1.48%), 23 May 2003 (4.97%), 10 Jun 2003 (-0.74%)
1999114 Jan 1999 (-1.93%)
1998124 Mar 1998 (5.47%)
1997226 Jun 1997 (-1.89%), 03 Sep 1997 (-1.3%)



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