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

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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 and RSI is below 50" 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
1-22939.9537162143.242701.38310.11-3150.51-13515.180.860.65-0.031-620
2-11291.3537191851.353846.9912000-4688.01-16340.280.820.87-0.011-305.17
3-17920.5137172045.953942.9412115.94-4247.52-12078.960.930.79-0.018-484.34
4-46053.2737172045.954994.7316579.71-6548.19-13493.030.760.65-0.035-1244.68
5-59530.6637152240.545504.4320366.49-6458.96-14533.140.850.58-0.043-1608.94
6-23017.0437162143.246268.6121275.36-5872.14-12300.821.070.81-0.017-622.08
7-17765.3137142337.848827.3127710.14-6145.55-16580.711.440.87-0.01-480.14
8-72250.2237122532.438136.9327304.35-6795.74-19090.141.20.57-0.044-1952.71
9-85409.7837132435.148090.0434318.84-7940.84-16134.251.020.55-0.046-2308.37
10-11036737122532.439134.5729217.39-8799.28-25988.621.040.5-0.055-2982.89
Although, strategy looks good but profit factor on day 5 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
50trail22.07-46435.4459144523.735830.997976.35-2845.98-3932.72.050.64-0.042-787.04
50nil22.19-50755.5157144324.565838.227976.35-3081.18-3959.231.890.62-0.046-890.45
50nil33.09-64638.085484614.819329.5311964.52-3027.7-3959.233.080.54-0.054-1197
50trail32.64-74440.645894915.526641.1611964.52-2739-3932.72.420.45-0.068-1283.46
atrnil25.39-1341394183319.5111200.8415627.12-6780.16-16778.241.650.4-0.086-3271.67
atrtrail23.92-12652848113722.927251.7315627.12-5575.6-16778.241.30.39-0.081-2636
atrnil37.83-171536414379.7618189.823440.69-6602.58-16778.242.750.3-0.11-4183.81
50trail-13-96556.445894915.524183.8511466.67-2739-3932.71.530.28-0.12-1664.77
atrtrail-14.52-15509448103820.835180.8224470.38-5444.81-16778.240.950.25-0.11-3231.13
atrtrail34.46-15612448103820.835077.8523440.69-5444.81-16778.240.930.25-0.11-3252.59

In the table above, row 1 shows the best exit criterion. Profit factor is 0.64. 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.
ITC Performance, Profit Factor:0.637

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019403 Jan 2019 (-1.37%), 01 Feb 2019 (2.85%), 07 Feb 2019 (2.9%), 15 Oct 2019 (-0.63%)
2018502 Jan 2018 (-1.21%), 14 Feb 2018 (-1.19%), 16 Feb 2018 (-0.75%), 22 Feb 2018 (2.75%), 18 Dec 2018 (-1.45%)
2016203 May 2016 (-1.86%), 11 May 2016 (-1.97%)
20151019 May 2015 (3.74%), 08 Jul 2015 (-0.6%), 14 Jul 2015 (-1.81%), 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%)
2014407 Jan 2014 (-1.0%), 05 Feb 2014 (-1.34%), 12 Feb 2014 (2.04%), 24 Feb 2014 (-1.32%)
2009507 Jan 2009 (-1.77%), 13 Jan 2009 (-1.73%), 19 Jan 2009 (-1.26%), 22 Jan 2009 (-1.33%), 27 Jan 2009 (-1.15%)
2008618 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%)
2007614 Feb 2007 (-1.66%), 28 Feb 2007 (-1.73%), 01 Mar 2007 (2.43%), 06 Jun 2007 (3.4%), 16 Aug 2007 (2.74%), 22 Aug 2007 (-1.04%)
2006215 May 2006 (-1.7%), 26 Jul 2006 (-1.6%)
2002729 Jan 2002 (-1.26%), 01 Feb 2002 (-1.69%), 05 Feb 2002 (-1.61%), 07 Feb 2002 (-1.57%), 12 Feb 2002 (-1.45%), 01 Aug 2002 (-1.91%), 17 Sep 2002 (3.99%)
2001511 May 2001 (3.53%), 02 Aug 2001 (-1.1%), 09 Nov 2001 (-1.65%), 19 Dec 2001 (-1.57%), 31 Dec 2001 (-1.38%)
2000325 Jan 2000 (-1.89%), 08 Mar 2000 (-1.09%), 26 Jul 2000 (3.02%)



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