Study: Sell ICIL when near 200 SMA and below 200 SMA

home > technical-strategy > icil > 1

In this study, we evaluate the performance of strategy "Sell ICIL when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell ICIL 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. buy 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
1-54085.331971236.843545.656852.5-6575.41-16352.20.540.31-0.14-2846.6
2-37518.331971236.846898.7210937.5-7150.78-27142.860.960.56-0.07-1974.65
3-20486.591981142.118500.1521511.63-8044.35-17452.831.060.77-0.034-1078.24
411017.291991047.379787.0825000-7706.64-16981.131.271.140.016579.86
5-19334.681991047.3710070.6525333.33-10997.05-25032.950.920.82-0.025-1017.61
6-20300.761981142.1110575.0124000-9536.44-25714.291.110.81-0.028-1068.46
75289.761910952.637092.1324000-7292.39-22155.10.971.080.0089278.41
828412.151910952.6310971.3724000-9033.51-31428.571.211.350.0371495.38
9-95761911857.899315.9317441.86-14006.41-28571.430.670.91-0.012-504
10-15127.471910952.6312316.4323255.81-15365.76-45714.290.80.89-0.015-796.18
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
200nil31.26-23695.743562917.149862.3811862.29-2857.59-3913.333.450.71-0.044-677.02
200trail31.2-33136.853562917.148288.8610757.96-2857.59-3913.332.90.6-0.068-946.77
200nil21.09-43420.53562917.146574.927908.19-2857.59-3913.332.30.48-0.11-1240.59
200trail21.09-43420.53562917.146574.927908.19-2857.59-3913.332.30.48-0.11-1240.59
atrtrail34.44-1449602781929.639750.4520315.9-11734.94-21593.560.830.35-0.15-5368.9
atrnil27.64-192585254211625333.7137879.78-13996.18-21593.561.810.34-0.16-7703.4
atrtrail24.26-1505332781929.639053.8718183.31-11734.94-21593.560.770.32-0.16-5575.29
atrtrail-14.52-1510572781929.638988.3516984.04-11734.94-21593.560.770.32-0.16-5594.7
atrnil38.2-217677253221231727.5447591.76-14220.89-21593.562.230.3-0.17-8707.08
200trail-11.5-70841.41343318.825310.737006.37-2799.15-3913.331.90.18-0.27-2083.57

In the table above, row 1 shows the best exit criterion. Profit factor is 0.71. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ICIL Performance, Profit Factor:0.714

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017403 Jan 2017 (5.37%), 13 Feb 2017 (5.93%), 23 May 2017 (-1.26%), 24 May 2017 (-1.96%)
2016528 Mar 2016 (-1.47%), 04 May 2016 (-1.96%), 11 May 2016 (-1.64%), 30 Jun 2016 (-1.35%), 07 Jul 2016 (-1.12%)
2012504 Jul 2012 (-1.83%), 12 Jul 2012 (5.38%), 13 Jul 2012 (4.93%), 06 Aug 2012 (-1.36%), 10 Aug 2012 (4.4%)
2011516 May 2011 (-1.2%), 02 Jun 2011 (-1.31%), 06 Jun 2011 (-1.2%), 13 Jun 2011 (-1.4%), 14 Jun 2011 (-1.48%)
2009205 Jun 2009 (-1.76%), 13 Jul 2009 (-1.67%)
2008208 Aug 2008 (-1.59%), 11 Aug 2008 (-1.53%)
2007415 Feb 2007 (-1.53%), 21 Feb 2007 (-1.23%), 22 Feb 2007 (-1.56%), 27 Feb 2007 (-1.4%)
2006818 Jul 2006 (-1.0%), 19 Jul 2006 (-1.0%), 09 Oct 2006 (-1.02%), 30 Oct 2006 (-1.12%), 03 Nov 2006 (-1.45%), 24 Nov 2006 (-1.86%), 07 Dec 2006 (3.57%), 20 Dec 2006 (-1.18%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play