Study: Buy ITC 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 ITC 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 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. 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
145252.21110585252.733284.1111458.79-2792.81-18776.321.181.310.02411.38
255239.07110605054.554283.9224521.07-4035.93-23265.721.061.270.016502.17
332381.171105555504935.1422118.92-4346.39-23142.11.141.140.0092294.37
488390.27110605054.555270.6525554.52-4556.98-30255.731.161.390.023803.55
5106487110575351.826244.7728644.8-4706.89-35137.831.331.430.025968.06
6139084110614955.456546.3528237.48-5311.1-29591.51.231.530.0321264.4
7104096110624856.366681.6328388.01-6461.77-31318.51.031.340.022946.32
8156357110634757.277372.7227626.51-6555.84-28229.821.121.510.0321421.43
9166595110605054.558170.0526803.03-6472.17-21355.031.261.510.0331514.5
10211642110654559.098872.0228713.39-8111.99-25572.91.091.580.0371924.02
Although, strategy looks good but profit factor on day 3 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
atrnil26.55193115121517042.1511733.2121665.4-5789.7-13743.082.031.480.0351595.99
atrtrail24.78139395145598640.698274.0720175.88-4055.53-11844.712.041.40.028961.34
atrtrail-15.95138707145598640.698262.4133340.71-4055.53-11844.712.041.40.025956.6
atrnil39.97169090106347232.0817488.3432498.09-5909.91-13743.082.961.40.0281595.19
atrtrail35.5135139145598640.698201.9425396.49-4055.53-11844.712.021.390.025931.99
50nil22.4874534.951726510737.796109.47984.22-3014.73-3981.892.031.230.02433.34
50trail22.2464166.751826711536.815626.577984.22-2720.12-3951.122.071.210.017352.56
50trail-13.7363792.891745112329.317512.2332527.7-2596.19-3940.532.891.20.013366.63
50trail32.7756918.111775612131.646713.2111976.33-2636.54-3951.122.551.180.014321.57
50nil33.4461851.751604611428.758884.1811976.33-3042.29-3982.482.921.180.014386.57

In the table above, row 1 shows the best exit criterion. Profit factor is 1.48. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 42.15%, which is not acceptable. Avoid this strategy. Average return per trade is 0.8%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, 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:1.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019210 May 2019 (-1.83%), 15 May 2019 (-2.18%)
2018623 May 2018 (-2.21%), 09 Jul 2018 (-1.87%), 19 Jul 2018 (3.89%), 11 Sep 2018 (-2.08%), 29 Nov 2018 (-2.11%), 27 Dec 2018 (3.8%)
2017307 Apr 2017 (4.13%), 21 Apr 2017 (4.18%), 05 May 2017 (4.46%)
2016501 Feb 2016 (-2.37%), 19 May 2016 (5.21%), 10 Aug 2016 (4.58%), 21 Sep 2016 (-1.92%), 04 Nov 2016 (-2.23%)
2015520 Jan 2015 (-2.33%), 29 Jan 2015 (-2.61%), 10 Feb 2015 (4.63%), 11 Nov 2015 (4.61%), 23 Nov 2015 (-2.36%)
2014725 Apr 2014 (4.29%), 09 Jul 2014 (3.82%), 22 Aug 2014 (3.97%), 10 Sep 2014 (3.62%), 05 Nov 2014 (-1.7%), 26 Nov 2014 (4.57%), 19 Dec 2014 (-2.66%)
2013621 Jan 2013 (3.87%), 27 Feb 2013 (-1.87%), 15 Apr 2013 (4.71%), 13 Jun 2013 (-2.26%), 31 Jul 2013 (-3.09%), 10 Sep 2013 (-4.31%)
20121111 Jan 2012 (3.62%), 27 Jan 2012 (-2.13%), 06 Feb 2012 (4.03%), 02 Mar 2012 (3.74%), 08 May 2012 (5.53%), 15 May 2012 (5.74%), 06 Sep 2012 (3.53%), 21 Sep 2012 (-2.04%), 26 Sep 2012 (4.16%), 19 Dec 2012 (-2.05%), 26 Dec 2012 (-2.0%)
2011907 Jan 2011 (-2.29%), 13 Jan 2011 (-2.4%), 17 Jan 2011 (-2.7%), 23 Jun 2011 (4.6%), 09 Aug 2011 (-2.97%), 29 Sep 2011 (-2.63%), 10 Oct 2011 (5.32%), 01 Dec 2011 (-2.39%), 23 Dec 2011 (-2.28%)
20101025 Jan 2010 (-2.35%), 17 Feb 2010 (-2.18%), 08 Mar 2010 (5.21%), 04 May 2010 (-2.23%), 05 May 2010 (-2.45%), 10 May 2010 (-2.78%), 20 Oct 2010 (5.29%), 12 Nov 2010 (-2.36%), 24 Nov 2010 (-2.64%), 28 Dec 2010 (4.12%)
2009522 May 2009 (10.06%), 25 Jun 2009 (9.24%), 08 Sep 2009 (8.2%), 07 Dec 2009 (-2.88%), 24 Dec 2009 (-2.39%)
2008321 Jan 2008 (-5.92%), 29 Jan 2008 (-6.87%), 19 Feb 2008 (-5.82%)
2007322 Oct 2007 (-4.42%), 14 Nov 2007 (8.47%), 23 Nov 2007 (10.83%)
2006301 Aug 2006 (8.56%), 20 Oct 2006 (-2.53%), 01 Dec 2006 (-2.37%)
2005313 Jan 2005 (5.53%), 15 Feb 2005 (-3.03%), 24 Mar 2005 (-2.7%)
2004604 Feb 2004 (9.46%), 17 Mar 2004 (-3.57%), 01 Apr 2004 (-3.11%), 13 Apr 2004 (-3.2%), 19 Oct 2004 (-2.19%), 18 Nov 2004 (4.41%)
2003521 Jan 2003 (-2.0%), 21 Jul 2003 (-2.63%), 07 Aug 2003 (5.71%), 22 Sep 2003 (6.77%), 12 Nov 2003 (5.4%)
2002207 Mar 2002 (-3.3%), 03 Sep 2002 (-3.27%)
2001205 Feb 2001 (-2.93%), 03 Apr 2001 (6.66%)
2000528 Jul 2000 (10.09%), 23 Aug 2000 (7.98%), 13 Oct 2000 (-3.71%), 25 Oct 2000 (7.36%), 14 Nov 2000 (6.95%)
1999413 Apr 1999 (8.18%), 14 Jun 1999 (7.88%), 12 Jul 1999 (-2.85%), 26 Aug 1999 (-3.76%)
1998505 Feb 1998 (5.94%), 10 Jul 1998 (-3.98%), 23 Nov 1998 (-2.17%), 08 Dec 1998 (-2.31%), 16 Dec 1998 (-2.18%)
1997726 Mar 1997 (-3.96%), 24 Apr 1997 (-3.84%), 27 Aug 1997 (-3.6%), 04 Sep 1997 (7.26%), 03 Nov 1997 (-4.72%), 26 Nov 1997 (9.6%), 18 Dec 1997 (-4.99%)
1996431 Jul 1996 (-3.64%), 18 Sep 1996 (-2.83%), 25 Sep 1996 (5.43%), 31 Oct 1996 (-4.11%)



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