Study: Buy ITC when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy ITC when near 200 SMA and above 200 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
187339.4368383055.883826.3314888.62-1935.36-10178.021.982.50.0651284.4
272058.1168353351.475310.221176.23-3448.45-15673.371.541.630.0361059.68
399741.7468363252.946152.9919848.89-3805.18-23445.941.621.820.0441466.79
412234968383055.886262.1528221.36-3853.77-10887.861.622.060.0551799.25
512021268392957.356638.8134408.82-4782.82-21314.971.391.870.0451767.82
615879968392957.358248.142352.46-5616.43-20440.511.471.970.052335.28
795340.6268412760.297026.7534878.5-7139.11-22755.420.981.490.0311402.07
813218068363252.949219.2840085.77-6241.07-28146.691.481.660.0361943.82
917080268392957.359198.6143455.18-6480.84-28095.981.421.910.0472511.79
1021099768392957.3510489.7956544.82-6831.18-39705.881.542.070.0483102.9

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.5. 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 55.88%, which is not acceptable. Avoid this strategy. Average return per trade is 0.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.065, 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=1, Profit Factor:2.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019307 Jan 2019 (0.92%), 06 Mar 2019 (1.52%), 24 May 2019 (0.14%)
2018624 Jan 2018 (-0.07%), 01 Jun 2018 (-0.39%), 17 Jul 2018 (-0.48%), 26 Oct 2018 (0.93%), 21 Nov 2018 (-0.44%), 20 Dec 2018 (-2.09%)
2017208 Aug 2017 (-0.47%), 06 Sep 2017 (-1.92%)
2016601 Feb 2016 (-0.15%), 11 Mar 2016 (1.17%), 22 Apr 2016 (-1.49%), 09 May 2016 (-0.4%), 28 Nov 2016 (-1.13%), 13 Dec 2016 (-1.06%)
2015307 Jan 2015 (2.5%), 30 Oct 2015 (0.76%), 31 Dec 2015 (-0.09%)
2014515 Jan 2014 (-1.02%), 04 Mar 2014 (0.5%), 03 Jun 2014 (-0.73%), 18 Jun 2014 (0.99%), 04 Jul 2014 (0.42%)
2013319 Aug 2013 (0.45%), 06 Sep 2013 (6.16%), 18 Nov 2013 (-0.8%)
2012102 Feb 2012 (0.8%)
2011301 Feb 2011 (-0.38%), 24 Nov 2011 (-0.03%), 16 Dec 2011 (0.87%)
2009106 Apr 2009 (5.59%)
2008218 Mar 2008 (2.32%), 13 Jun 2008 (1.69%)
2007226 Jul 2007 (2.8%), 27 Aug 2007 (1.42%)
2006117 Nov 2006 (-1.93%)
2004308 Jul 2004 (7.44%), 22 Jul 2004 (1.68%), 18 Aug 2004 (2.77%)
2003322 Jan 2003 (-0.13%), 28 Feb 2003 (-0.26%), 07 Apr 2003 (0.58%)
2002610 Jan 2002 (2.74%), 05 Mar 2002 (-0.46%), 19 Mar 2002 (0.68%), 06 Aug 2002 (0.11%), 22 Aug 2002 (0.73%), 06 Dec 2002 (-1.15%)
2001321 Feb 2001 (3.73%), 08 Mar 2001 (-0.61%), 12 Apr 2001 (1.44%)
2000410 Jan 2000 (-3.4%), 24 Jul 2000 (2.24%), 12 Oct 2000 (2.53%), 30 Oct 2000 (1.19%)
1998624 Jun 1998 (1.56%), 23 Jul 1998 (-1.64%), 04 Sep 1998 (-0.04%), 22 Sep 1998 (-0.08%), 13 Oct 1998 (3.93%), 15 Dec 1998 (1.5%)
1997119 Nov 1997 (3.21%)
1996401 Mar 1996 (-5.09%), 08 Apr 1996 (1.75%), 18 Nov 1996 (0.94%), 11 Dec 1996 (-1.09%)

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-1187339.4368383055.883826.3314888.62-1935.36-10178.021.982.50.0651284.4
200nil33.51138258102376536.278627.0211841.02-2783.72-3861.213.11.760.0491355.47
200trail32.66105261110397135.457027.5111841.02-2377.63-3804.792.961.620.04956.92
atrnil27.2315193871314043.6612881.2522638.84-6184.51-10215.772.081.610.0432139.98
200nil22.3397192.9108466242.595837.477894.02-2763.4-3804.792.111.570.042899.93
200trail-13.9491814.17107357232.717550.2134831.55-2395.04-3917.93.151.530.027858.08
200trail22.1682821.07111446739.645668.697894.02-2486.59-3804.792.281.50.037746.14
atrnil313.8712642862204232.2619714.9130486.65-6377.86-11319.423.091.470.0322039.16
atrtrail35.2211313692375540.229621.0630420.53-4415.32-10215.772.181.470.0281229.74
atrtrail24.4293574.3392375540.229092.3620324.44-4415.32-10215.772.061.390.0261017.11
atrtrail-15.7778356.0392375540.228681.0545174.27-4415.32-10215.771.971.320.02851.7

In the table above, row 1 shows the best exit criterion. Profit factor is 2.5. 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 55.88%, which is not acceptable. Avoid this strategy. Average return per trade is 0.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.065, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

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