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

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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 ADX is Trending" 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
1-18685.1420713355289.5811458.79-4285.55-18776.321.230.66-0.03-934.26
26519.9220119553618.3710885.85-3698.01-11021.290.981.20.014326
3-11015.8220911453759.366977.69-4077.28-14218.480.920.75-0.021-550.79
426219.7220137654052.686698.99-3780.73-6701.791.071.990.0631310.99
511636.91201010504814.098256.88-3650.4-11472.051.321.320.023581.85
628879.3320119556157.3710869.57-4316.86-9569.81.431.740.0461443.97
75242420128608025.5915382.5-5485.39-14575.391.462.190.0692621.2
858590.4120128609393.2818932.31-6766.12-14093.561.392.080.0642929.52
946025.842010105010225.0417033.57-5622.46-17024.691.821.820.052301.29
1035170.062010105010680.0520968.16-7163.05-19955.831.491.490.0331758.5
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
ITC Performance, X=7, Profit Factor:2.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018111 Sep 2018 (0.25%)
2016210 Aug 2016 (3.08%), 04 Nov 2016 (-7.29%)
2015120 Jan 2015 (-0.69%)
2014126 Nov 2014 (7.69%)
2013321 Jan 2013 (4.34%), 31 Jul 2013 (-1.77%), 10 Sep 2013 (5.82%)
2012408 May 2012 (3.46%), 22 May 2012 (-1.46%), 06 Sep 2012 (2.99%), 21 Sep 2012 (3.31%)
2010208 Mar 2010 (4.62%), 28 Dec 2010 (4.5%)
2009125 Jun 2009 (2.36%)
2008121 Jan 2008 (-1.24%)
2004204 Feb 2004 (5.74%), 15 Apr 2004 (-0.65%)
2003121 Jan 2003 (-4.73%)
1998110 Jul 1998 (-4.12%)

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
atrnil310.138664.772171433.3318195.4428379.17-6335.95-13743.082.871.440.031841.18
atrnil2726039.6323101343.4811168.5718919.44-6588.16-13743.081.71.30.0241132.16
atrtrail24.58-4569.6826111542.316455.5811053.23-5038.74-11844.711.280.94-0.0056-175.76
50trail21.89-5363.262882028.576118.787984.22-2715.68-3896.462.250.9-0.0095-191.54
50nil33.12-6049.882662023.088725.8211976.33-2920.24-3896.462.990.9-0.0094-232.69
50trail32.46-7421.222882028.575861.5411976.33-2715.68-3896.462.160.86-0.013-265.04
50nil21.89-7803.252882028.576118.787984.22-2837.68-3896.462.160.86-0.014-278.69
atrtrail35.27-24262.926111542.314665.2811606.59-5038.74-11844.710.930.68-0.034-933.19
atrtrail-15.38-27393.0526111542.314380.728476.44-5038.74-11844.710.870.64-0.041-1053.58
50trail-12.82-22092.462882028.574027.637983.19-2715.68-3896.461.480.59-0.049-789.02

In the table above, row 1 shows the best exit criterion. Profit factor is 1.44. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.92%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.03, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ITC Performance, Profit Factor:1.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018111 Sep 2018 (-2.08%)
2016210 Aug 2016 (6.86%), 04 Nov 2016 (-2.23%)
2015220 Jan 2015 (-2.33%), 29 Jan 2015 (-2.61%)
2014126 Nov 2014 (6.85%)
2013321 Jan 2013 (5.8%), 31 Jul 2013 (-3.09%), 10 Sep 2013 (-4.31%)
2012308 May 2012 (8.29%), 06 Sep 2012 (-1.77%), 21 Sep 2012 (-2.04%)
2010208 Mar 2010 (7.82%), 28 Dec 2010 (-2.06%)
2009125 Jun 2009 (13.87%)
2008221 Jan 2008 (-5.92%), 29 Jan 2008 (-6.87%)
2004204 Feb 2004 (14.19%), 15 Apr 2004 (-3.06%)
2003121 Jan 2003 (-2.0%)
1998110 Jul 1998 (-3.98%)



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