Study: Buy ICIL when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy ICIL when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1-15785.651761135.293550.247684.12-3371.56-19047.621.050.57-0.052-928.57
2-6420.131771041.185484.7514598.54-4481.34-11428.571.220.86-0.018-377.65
329779.381710758.827229.8126277.37-6074.1-22380.951.191.70.0541751.73
426896.251771041.1810532.7318978.1-4683.29-16666.672.251.570.0521582.13
518389.891761135.2911754.3829947.5-4739.67-9333.332.481.350.0341081.76
6-14856.861761135.2912335.927587.54-8079.3-24128.131.530.83-0.022-873.93
743472.431711664.7111262.1537226.28-13401.86-25368.120.841.540.0512557.2
865327.881710758.8215611.834513.32-12970.02-29333.331.21.720.0693842.82
9108716179852.9420183.1456204.38-9116.55-20666.672.212.490.16395.05
101698021710758.8224620.7869343.07-10915.12-23404.82.263.220.149988.35
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
ICIL Performance, X=10, Profit Factor:3.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017115 May 2017 (-11.7%)
2016325 Jan 2016 (9.99%), 01 Apr 2016 (8.29%), 09 May 2016 (-6.83%)
2015328 Apr 2015 (14.0%), 06 Oct 2015 (2.06%), 04 Nov 2015 (2.37%)
2014219 Feb 2014 (-1.77%), 26 Mar 2014 (17.51%)
2013223 Apr 2013 (-6.0%), 03 Jul 2013 (34.67%)
2012118 Sep 2012 (16.35%)
2011211 Mar 2011 (-6.67%), 31 Mar 2011 (3.09%)
2009113 Aug 2009 (14.77%)
2007109 Feb 2007 (-5.24%)
2006122 Nov 2006 (0.0%)

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
atrtrail26.0517893921101147.6226159.5565365.06-7514.19-15613.183.483.160.138520.93
atrnil28.672034731810855.5629986.1965365.06-12048.57-15822.172.493.110.1511304.07
atrnil312.472223381771041.1848372.6998047.59-11627.09-15822.174.162.910.1213078.7
atrtrail-18.191653932181338.132578.12130936-7325.53-15613.184.452.740.0797875.86
atrtrail37.191456272181338.130107.3698047.59-7325.53-15613.184.112.530.0846934.62
50trail-11.8630744.97357282015405.8253157.14-2753.42-3744.975.61.40.026878.43
50nil31.175722.113592625.719022.7911828.64-2903.19-3744.973.111.080.0096163.49
50trail31.175722.113592625.719022.7911828.64-2903.19-3744.973.111.080.0096163.49
50nil21.09-21346.263592625.716015.197885.76-2903.19-3744.972.070.72-0.048-609.89
50trail21.09-21346.263592625.716015.197885.76-2903.19-3744.972.070.72-0.048-609.89

In the table above, row 1 shows the best exit criterion. Profit factor is 3.16. Strategy is very good and impressively bullish. Percentage of profitable trades is 47.62%, which is not acceptable. Avoid this strategy. Average return per trade is 4.26%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ICIL Performance, Profit Factor:3.16

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017115 May 2017 (-1.06%)
2016425 Jan 2016 (9.32%), 01 Apr 2016 (-0.66%), 07 Apr 2016 (4.46%), 09 May 2016 (-4.2%)
2015328 Apr 2015 (1.48%), 06 Oct 2015 (-0.1%), 04 Nov 2015 (9.56%)
2014319 Feb 2014 (-6.3%), 04 Mar 2014 (11.17%), 26 Mar 2014 (9.56%)
2013423 Apr 2013 (-6.45%), 07 May 2013 (-6.87%), 03 Jul 2013 (14.12%), 15 Jul 2013 (17.18%)
2012118 Sep 2012 (32.68%)
2011211 Mar 2011 (-5.91%), 31 Mar 2011 (-0.98%)
2009113 Aug 2009 (21.26%)
2007109 Feb 2007 (-7.81%)
2006122 Nov 2006 (-0.99%)



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