Study: Sell ITC when ADX is Trending and there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell ITC when ADX is Trending and there is Dead Cross (50 DMA < 200 DMA)" 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
1-4254.16138561.542529.917959.11-4898.68-14142.530.520.83-0.013-327.24
215164.67138561.544964.5413508.58-4910.32-11793.641.011.620.0381166.51
39906.7137653.856239.0515407.08-5627.77-15650.821.111.290.02762.05
41583.95138561.545074.716158.19-7802.72-24099.770.651.040.0027121.84
5-1426.31138561.546745.9516892.66-11078.78-38784.10.610.97-0.0017-109.72
6-45075.43136746.159001.0815649.72-14154.56-55526.110.640.55-0.04-3467.34
7-24112.97136746.159350.3217159.55-11459.27-43803.590.820.7-0.025-1854.84
8-25985.92137653.857257.4518838.99-12798.02-46391.270.570.66-0.027-1998.92
9-29106.33137653.857400.8518108.8-13485.38-47077.160.550.64-0.029-2238.95
10-18111.1138561.547182.5224388.46-15114.26-42868.280.480.76-0.018-1393.16
Although, strategy looks good but profit factor on day 1 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
atrtrail3713265.411661037.510631.3223775.91-5052.25-7972.062.11.260.018829.09
atrtrail26.383988.351661037.59085.1415850.6-5052.25-7972.061.81.080.0066249.27
atrtrail-17.25-14745.51661037.55962.8310967.32-5052.25-7972.061.180.71-0.031-921.59
atrnil344.27-1374631541126.6715517.7123775.91-18139.42-1270710.860.31-0.056-9164.18
atrnil242.07-1581531541126.6710345.1415850.6-18139.42-1270710.570.21-0.066-10543.54

In the table above, row 1 shows the best exit criterion. Profit factor is 1.26. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 37.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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:1.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019111 Jul 2019 (2.45%)
2017128 Sep 2017 (-0.75%)
2015107 Apr 2015 (-2.58%)
2008123 Jul 2008 (-2.53%)
2007102 Jan 2007 (8.55%)
2005104 Oct 2005 (-0.48%)
2004121 Jun 2004 (-3.16%)
2003111 Mar 2003 (5.56%)
2002118 Apr 2002 (2.59%)
2001208 Jun 2001 (-2.99%), 11 Jun 2001 (0.86%)
1999206 Oct 1999 (-3.99%), 07 Oct 1999 (11.89%)
1997207 Jan 1997 (-3.91%), 08 Jan 1997 (-3.91%)
1995124 Nov 1995 (-0.96%)



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