Study: Buy ITC when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50

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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 and RSI is above 50" 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
138368.0161352657.382971.497389.16-2524.39-9916.461.181.580.037628.98
274897.9861362559.024402.2324521.07-3343.29-11021.291.321.90.0441227.84
384738.6261352657.385482.8122118.92-4121.53-11668.011.331.790.0441389.16
415191161362559.026455.3525554.52-3219.29-8995.672.012.890.0782490.34
516203261313050.828507.528644.8-3390-10085.22.512.590.0692656.27
615579061342755.748235.728237.48-4600.88-14648.231.792.250.0632553.93
714968461352657.388428.1528388.01-5588.5-15491.561.512.030.0552453.84
813319861372460.667979.7927626.51-6752.27-16135.491.181.820.0472183.57
915040461332854.19848.1426803.03-6235.17-17024.691.581.860.052465.63
1017509761352657.3810633.3627271.09-7579.66-19961.051.41.890.0532870.44

From the table above, we see that best results are achieved by holding positions for 4 trading days. Profit factor is 2.89. 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 59.02%, which is not acceptable. Avoid this strategy. Average return per trade is 1.25%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.078, which is low, don't trade solely on the basis of this study.
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.
ITC Performance, X=4, Profit Factor:2.89

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018309 Jul 2018 (-1.46%), 29 Nov 2018 (-4.24%), 27 Dec 2018 (-0.05%)
2017115 May 2017 (2.97%)
2016301 Feb 2016 (-0.25%), 19 May 2016 (9.6%), 04 Nov 2016 (0.8%)
2015220 Jan 2015 (-2.95%), 10 Feb 2015 (5.33%)
2014507 May 2014 (4.1%), 09 Jul 2014 (0.25%), 10 Sep 2014 (0.6%), 05 Nov 2014 (2.88%), 26 Nov 2014 (0.66%)
2013321 Jan 2013 (2.81%), 15 Apr 2013 (5.68%), 10 Sep 2013 (-0.58%)
2012511 Jan 2012 (2.51%), 08 Feb 2012 (-0.93%), 12 Mar 2012 (4.52%), 28 May 2012 (-0.51%), 26 Sep 2012 (2.45%)
2011613 Jan 2011 (1.33%), 23 Jun 2011 (4.23%), 29 Aug 2011 (0.42%), 29 Sep 2011 (-4.03%), 01 Dec 2011 (-2.28%), 23 Dec 2011 (-1.62%)
2010625 Jan 2010 (-3.37%), 17 Feb 2010 (-0.99%), 08 Mar 2010 (2.87%), 29 Oct 2010 (3.39%), 12 Nov 2010 (-1.67%), 28 Dec 2010 (2.1%)
2009216 Sep 2009 (-0.24%), 24 Dec 2009 (-0.86%)
2008119 Feb 2008 (-1.73%)
2007114 Nov 2007 (7.64%)
2006227 Oct 2006 (0.43%), 01 Dec 2006 (-0.51%)
2005124 Mar 2005 (1.52%)
2004202 Apr 2004 (0.3%), 18 Nov 2004 (12.78%)
2003107 Aug 2003 (4.38%)
2002103 Sep 2002 (-3.27%)
2001103 Apr 2001 (4.4%)
2000423 Aug 2000 (-1.24%), 13 Oct 2000 (-2.2%), 31 Oct 2000 (5.96%), 20 Nov 2000 (1.83%)
1999212 Jul 1999 (-4.5%), 26 Aug 1999 (1.26%)
1998305 Feb 1998 (-0.39%), 10 Jul 1998 (2.8%), 08 Dec 1998 (1.45%)
1997424 Apr 1997 (1.31%), 04 Sep 1997 (2.17%), 26 Nov 1997 (3.86%), 18 Dec 1997 (4.61%)
1996206 Aug 1996 (-0.38%), 18 Sep 1996 (0.0%)

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-1415191161362559.026455.3525554.52-3219.29-8995.672.012.890.0782490.34
atrtrail35.6816998975344145.339651.0525396.49-3857.22-11388.722.52.070.0572266.53
atrtrail-16.416595575344145.339532.3832278.7-3857.22-11388.722.472.050.0532212.73
atrtrail24.7314988875344145.339059.8219191.91-3857.22-11388.722.351.950.0561998.5
atrnil26.5415025369333647.8310853.0721665.4-5774.94-11644.181.881.720.052177.59
50trail-14.2211268291325935.168505.2432527.7-2703.15-3932.243.151.710.0371238.26
50nil33.7411672584305435.719442.7411976.33-3084.4-3982.483.061.70.0461389.58
atrnil39.0816379765254038.4615937.2932498.09-5865.87-11644.182.721.70.0462519.96
50trail33.0390663.1291335836.267522.0111976.33-2716.61-3932.242.771.580.038996.3
50nil22.6973098.7988365240.916429.187984.22-3045.22-3981.892.111.460.036830.67
50trail22.4151985.4692355738.045946.827984.22-2739.53-3932.242.171.330.026565.06

In the table above, row 1 shows the best exit criterion. Profit factor is 2.89. 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 59.02%, which is not acceptable. Avoid this strategy. Average return per trade is 1.25%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.078, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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