Study: Sell ITC when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell ITC when below 200 SMA and near 50 SMA and below 50 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
1-5723.0665293644.623249.2815997.49-2776.45-13515.181.170.94-0.0042-88.05
212981.1165313447.694938.7924654.96-4121.22-16340.281.21.090.0063199.71
323821.6265353053.854998.0728657.47-5037.03-21397.320.991.160.01366.49
4-80042.9365323349.235212.616714.35-7480.18-39110.80.70.68-0.027-1231.43
5-12356365303546.155708.4320366.49-8423.32-58249.820.680.58-0.036-1900.97
6-82688.9265303546.156908.8721275.36-8284.43-49456.60.830.71-0.024-1272.14
7-78337.5765273841.547962.9427710.14-7719.39-50769.231.030.73-0.022-1205.19
8-10893665283743.087840.6627942.28-8877.68-48341.570.880.67-0.03-1675.94
9-10576665313447.697966.4341706.4-10374.26-50543.40.770.7-0.026-1627.16
10-10819765273841.5410397.7554278.54-10235.16-30726.891.020.72-0.025-1664.56
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
50trail22.31-29718.331003169315156.067976.35-2747.19-3932.71.880.84-0.015-297.18
50trail32.81-32448.6397257225.776397.3111964.52-2671.96-3932.72.390.83-0.015-334.52
50nil22.55-36471.4495286729.475936.527976.35-3025.28-3984.451.960.82-0.019-383.91
50nil33.36-37829.6488196921.598859.5611964.52-2987.84-3984.452.970.82-0.018-429.88
50trail-13.66-57330.5196257126.045321.3819796.74-2681.2-3932.71.980.7-0.027-597.19
atrtrail24.38-10402582265631.717058.1828762.97-5134.61-16778.241.370.64-0.035-1268.6
atrnil38.63-12187662115117.7419084.7443144.45-6506.05-16778.242.930.63-0.037-1965.75
atrnil26.69-12875865164924.6211879.5828762.97-6506.77-16778.241.830.6-0.046-1980.9
atrtrail34.89-14038082255730.495910.5523440.69-5055.15-16778.241.170.51-0.051-1711.95
atrtrail-15.18-15556282255730.495303.2524470.38-5055.15-16778.241.050.46-0.059-1897.1

In the table above, row 1 shows the best exit criterion. Profit factor is 0.84. 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 31%, which is not acceptable. Avoid this strategy. Average return per trade is -0.15%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ITC Performance, Profit Factor:0.843

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019603 Jan 2019 (-1.37%), 01 Feb 2019 (2.85%), 07 Feb 2019 (2.9%), 15 Feb 2019 (0.5%), 01 Mar 2019 (-1.94%), 15 Oct 2019 (-0.63%)
2018702 Jan 2018 (-1.21%), 14 Feb 2018 (-1.19%), 16 Feb 2018 (-0.75%), 22 Feb 2018 (2.75%), 14 Mar 2018 (2.28%), 09 Apr 2018 (-0.13%), 18 Dec 2018 (-1.45%)
2017618 Oct 2017 (-0.29%), 25 Oct 2017 (-1.58%), 27 Oct 2017 (-0.1%), 01 Nov 2017 (2.77%), 08 Dec 2017 (-1.02%), 12 Dec 2017 (-1.33%)
2016403 Feb 2016 (2.56%), 03 May 2016 (-1.86%), 11 May 2016 (-1.97%), 27 Dec 2016 (-1.47%)
20151315 Apr 2015 (2.04%), 17 Apr 2015 (3.49%), 18 May 2015 (3.57%), 01 Jun 2015 (2.24%), 02 Jul 2015 (0.07%), 13 Jul 2015 (-1.16%), 21 Jul 2015 (-1.25%), 27 Jul 2015 (2.91%), 01 Sep 2015 (-1.79%), 04 Sep 2015 (-0.39%), 18 Sep 2015 (2.38%), 23 Sep 2015 (-1.83%), 13 Nov 2015 (-1.75%)
2014305 Feb 2014 (-1.34%), 12 Feb 2014 (2.04%), 24 Feb 2014 (-1.32%)
2013126 Dec 2013 (0.34%)
2009607 Jan 2009 (-1.77%), 13 Jan 2009 (-1.73%), 19 Jan 2009 (-1.26%), 22 Jan 2009 (-1.33%), 27 Jan 2009 (-1.15%), 17 Mar 2009 (-1.65%)
20081105 Aug 2008 (-1.88%), 06 Aug 2008 (-1.68%), 08 Aug 2008 (-1.03%), 18 Aug 2008 (2.14%), 25 Aug 2008 (-1.52%), 17 Sep 2008 (-1.67%), 18 Sep 2008 (-1.34%), 25 Sep 2008 (-1.06%), 30 Sep 2008 (-1.76%), 26 Nov 2008 (-1.67%), 08 Dec 2008 (-1.48%)
20071131 Jan 2007 (-1.95%), 06 Feb 2007 (2.91%), 14 Feb 2007 (-1.66%), 28 Feb 2007 (-1.73%), 01 Mar 2007 (2.43%), 11 Apr 2007 (3.1%), 19 Apr 2007 (-1.01%), 06 Jun 2007 (3.4%), 04 Jul 2007 (3.92%), 16 Aug 2007 (2.74%), 22 Aug 2007 (-1.04%)
2006415 May 2006 (-1.7%), 04 Jul 2006 (-1.05%), 11 Jul 2006 (-1.2%), 26 Jul 2006 (-1.6%)
2004105 Jul 2004 (-1.79%)
2003203 Mar 2003 (0.42%), 03 Apr 2003 (-1.54%)
20021129 Jan 2002 (-1.26%), 01 Feb 2002 (-1.69%), 05 Feb 2002 (-1.61%), 07 Feb 2002 (-1.57%), 12 Feb 2002 (-1.45%), 17 Jun 2002 (2.4%), 21 Jun 2002 (-1.55%), 01 Aug 2002 (-1.91%), 17 Sep 2002 (3.99%), 26 Nov 2002 (-0.87%), 29 Nov 2002 (-1.41%)
2001811 May 2001 (3.53%), 02 Aug 2001 (-1.1%), 23 Aug 2001 (3.84%), 05 Sep 2001 (3.6%), 23 Oct 2001 (-1.23%), 09 Nov 2001 (-1.65%), 19 Dec 2001 (-1.57%), 31 Dec 2001 (-1.38%)
2000503 Jan 2000 (-1.12%), 25 Jan 2000 (-1.89%), 08 Mar 2000 (-1.09%), 03 Apr 2000 (2.8%), 26 Jul 2000 (3.02%)
1998131 Aug 1998 (-1.02%)



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