Study: Buy ICIL when below 200 SMA and makes a 20 day low today

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In this study, we evaluate the performance of strategy "Buy ICIL when below 200 SMA and makes a 20 day low today" 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
119767843271662.799807.8923157.89-4195.93-18404.912.343.940.154597.17
217142143271662.799491.3530232.56-5302.82-24539.881.793.020.133986.54
312531643281565.1210755.9128282.83-11723.29-56441.720.921.710.0622914.33
425583243311272.0912608.6425438.16-11252.97-76073.621.122.890.115949.58
518172243281565.1212868.8833644.86-11907.1-63803.681.082.020.0814226.1
623290543301369.7714805.2737313.43-16250.26-52760.740.912.10.0915416.39
713764343261760.4715130.756666.67-15044.42-66257.671.011.540.0493201
852830.6343241955.8114690.9773333.33-15776.46-50306.750.931.180.0181228.62
998496.4643251858.1415139.7850000-15555.44-52343.750.971.350.0352290.62
1011951743261760.4714378.5356666.67-14960.28-46093.750.961.470.0442779.46

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.94. Strategy is very good and impressively bullish. Percentage of profitable trades is 62.79%, which is good. Average return per trade is 2.3%, which is very good.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
ICIL Performance, X=1, Profit Factor:3.94

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017813 Feb 2017 (0.47%), 23 May 2017 (-0.71%), 27 Jun 2017 (1.78%), 18 Jul 2017 (-0.06%), 01 Aug 2017 (0.73%), 22 Aug 2017 (9.46%), 22 Sep 2017 (-4.06%), 13 Dec 2017 (-2.32%)
2016923 Feb 2016 (-2.24%), 04 May 2016 (3.5%), 20 May 2016 (-0.85%), 06 Jun 2016 (4.0%), 18 Jul 2016 (0.65%), 23 Aug 2016 (7.02%), 19 Sep 2016 (0.44%), 13 Oct 2016 (4.65%), 15 Nov 2016 (-1.09%)
2012429 Feb 2012 (-1.44%), 19 Mar 2012 (3.39%), 28 May 2012 (10.74%), 27 Jul 2012 (0.0%)
2011713 May 2011 (6.22%), 20 Jun 2011 (10.13%), 03 Aug 2011 (10.29%), 14 Sep 2011 (2.75%), 19 Oct 2011 (10.47%), 21 Nov 2011 (5.29%), 12 Dec 2011 (1.27%)
2009221 Jan 2009 (7.89%), 02 Mar 2009 (-1.67%)
2008507 Mar 2008 (-5.47%), 10 Jun 2008 (-0.93%), 15 Sep 2008 (-2.09%), 01 Oct 2008 (-9.2%), 17 Dec 2008 (1.04%)
2007412 Feb 2007 (4.21%), 05 Mar 2007 (3.32%), 03 May 2007 (-0.32%), 31 Jul 2007 (-1.12%)
2006424 Jul 2006 (9.3%), 07 Nov 2006 (1.01%), 24 Nov 2006 (0.76%), 08 Dec 2006 (11.58%)

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
nilnil-1119767843271662.799807.8923157.89-4195.93-18404.912.343.940.154597.17
atrnil28.1418428356233341.0733569.8973783.63-17812.85-46090.531.881.310.0373290.78
atrtrail24.89-29407.3464224234.381894663053.52-10624.27-37598.861.780.93-0.0078-459.49
atrnil313.18-56670.651133825.4948329.82110675-18025.22-46090.532.680.92-0.011-1111.19
atrtrail-16.12-86639.2464224234.3816344.5545163.54-10624.27-37598.861.540.81-0.025-1353.74
atrtrail35.55-89182.5264224234.3816228.9545163.54-10624.27-37598.861.530.8-0.026-1393.48

In the table above, row 1 shows the best exit criterion. Profit factor is 3.94. Strategy is very good and impressively bullish. Percentage of profitable trades is 62.79%, which is good. Average return per trade is 2.3%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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