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

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In this study, we evaluate the performance of strategy "Sell ITC 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 ITC 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
1-12000.8274403454.052710.618310.11-3541.92-16005.840.770.9-0.008-162.17
227958.0874383651.355531.5726290.09-5062.27-17826.811.091.150.011377.81
3-23897.9574344045.955867.320638.34-5584.65-26103.561.050.89-0.0086-322.95
4-47054.7274363848.655693.1815991.69-6631.82-24014.380.860.81-0.017-635.87
5-73668.1474353947.36415.7326042.69-7646.63-31405.140.840.75-0.022-995.52
6-76226.3974334144.59679537791.27-7328.33-21088.570.930.75-0.022-1030.09
7-92644.1974344045.956673.632543.57-7988.66-20128.050.840.71-0.026-1251.95
8-10217474324243.247117.1530193.85-7855.31-25487.060.910.69-0.029-1380.73
9-11509874334144.597268.1921304.09-8657.26-35027.450.840.68-0.03-1555.37
10-13898374294539.198169.2124632.86-8353.12-35948.290.980.63-0.035-1878.15
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
200trail32.7415332.83103307329.136915.8611750.61-2632.09-3897.012.631.080.0065148.86
200trail22.133476.65104347032.695630.957833.74-2685.37-3897.012.11.020.001733.43
200nil22.27-1179.3199346534.345606.077833.74-2950.55-3984.281.90.99-0.00058-11.91
200nil33.09-6125.9795257026.327999.3311750.61-2944.42-3984.282.720.97-0.0027-64.48
200trail-13.59-20820.7101287327.726038.3629919.72-2601.3-3897.012.320.89-0.008-206.15
atrtrail24.03-59801.2289315834.837036.8720323.65-4792.14-11634.571.470.78-0.02-671.92
atrnil37.89-82465.5273155820.5518647.0930485.48-6244.34-11634.572.990.77-0.022-1129.66
atrtrail34.47-69080.6389305933.717193.6730485.48-4828.66-11634.571.490.76-0.021-776.19
atrnil26.26-89204.274205427.0312323.720323.65-6216.26-11634.571.980.73-0.029-1205.46
atrtrail-14.72-90046.7289305933.716494.826877.28-4828.66-11634.571.350.68-0.029-1011.76

In the table above, row 1 shows the best exit criterion. Profit factor is 1.08. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 29.13%, which is not acceptable. Avoid this strategy. Average return per trade is 0.074%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0065, 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.
ITC Performance, Profit Factor:1.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019502 Jan 2019 (-1.18%), 05 Mar 2019 (-1.35%), 13 May 2019 (-1.12%), 23 May 2019 (-1.78%), 28 May 2019 (4.43%)
20181005 Feb 2018 (3.76%), 05 Jun 2018 (-1.3%), 08 Jun 2018 (-1.09%), 13 Jun 2018 (3.11%), 29 Jun 2018 (-1.04%), 05 Oct 2018 (4.1%), 12 Oct 2018 (-1.9%), 01 Nov 2018 (-1.59%), 06 Nov 2018 (-1.22%), 17 Dec 2018 (-1.11%)
2017211 Aug 2017 (-1.22%), 11 Sep 2017 (5.42%)
20161504 Jan 2016 (4.18%), 02 Feb 2016 (3.1%), 02 Mar 2016 (-1.57%), 03 Mar 2016 (-1.81%), 29 Mar 2016 (-1.47%), 07 Apr 2016 (-1.95%), 12 Apr 2016 (-1.12%), 25 Apr 2016 (-1.74%), 28 Apr 2016 (3.56%), 10 May 2016 (-0.25%), 16 Nov 2016 (1.47%), 30 Nov 2016 (-0.57%), 08 Dec 2016 (-1.53%), 14 Dec 2016 (2.16%), 28 Dec 2016 (-1.46%)
2015621 Jan 2015 (-1.29%), 22 Jan 2015 (-1.87%), 15 Apr 2015 (4.33%), 13 Nov 2015 (-1.84%), 21 Dec 2015 (-0.21%), 29 Dec 2015 (-1.56%)
2014513 Jan 2014 (-1.79%), 22 Jan 2014 (4.42%), 26 Feb 2014 (-1.2%), 04 Jun 2014 (-1.18%), 03 Jul 2014 (-1.53%)
2013205 Sep 2013 (-1.51%), 19 Nov 2013 (4.31%)
2011102 Feb 2011 (4.29%)
2010126 Feb 2010 (-1.56%)
2009326 Feb 2009 (-1.0%), 27 Feb 2009 (4.3%), 30 Mar 2009 (-1.22%)
2007330 Jul 2007 (-1.02%), 01 Aug 2007 (-1.16%), 13 Aug 2007 (5.88%)
2006124 Nov 2006 (-1.37%)
2004213 May 2004 (-1.05%), 07 Jul 2004 (-1.78%)
2003328 Jan 2003 (-0.02%), 04 Feb 2003 (3.71%), 03 Mar 2003 (0.42%)
20021909 Jan 2002 (-1.61%), 16 Jan 2002 (-1.59%), 18 Jan 2002 (-1.26%), 25 Jan 2002 (2.02%), 08 Feb 2002 (-1.9%), 11 Feb 2002 (-0.38%), 06 Mar 2002 (-1.24%), 15 Mar 2002 (-1.05%), 18 Mar 2002 (-1.38%), 21 Mar 2002 (0.01%), 01 Apr 2002 (4.13%), 01 Jul 2002 (-1.22%), 03 Jul 2002 (-1.08%), 19 Jul 2002 (3.42%), 02 Aug 2002 (-1.73%), 09 Aug 2002 (-1.51%), 26 Aug 2002 (-1.16%), 27 Aug 2002 (-1.07%), 11 Dec 2002 (-1.93%)
2001320 Feb 2001 (-1.74%), 09 Mar 2001 (4.59%), 11 May 2001 (4.12%)
2000610 Feb 2000 (-1.51%), 20 Jun 2000 (-1.01%), 26 Jul 2000 (-1.46%), 27 Sep 2000 (0.01%), 06 Oct 2000 (4.13%), 18 Oct 2000 (-1.68%)
1999116 Sep 1999 (3.97%)
1998801 Jul 1998 (-0.92%), 28 Jul 1998 (-1.93%), 18 Sep 1998 (-1.48%), 23 Sep 1998 (-1.1%), 06 Oct 1998 (-1.58%), 26 Nov 1998 (3.45%), 30 Nov 1998 (-0.36%), 17 Dec 1998 (-1.65%)
1996514 Mar 1996 (3.91%), 10 Apr 1996 (-1.04%), 15 Apr 1996 (-1.88%), 12 Dec 1996 (-0.68%), 17 Dec 1996 (-1.42%)
1995222 Nov 1995 (3.0%), 23 Nov 1995 (-1.0%)



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