Study: Buy ITC when there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy ITC when there is Golden 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: 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
1-22589.012281436.361852.154023.14-2671.87-9175.210.690.4-0.068-1026.77
28500.622213959.092521.6713544.71-2697.9-7149.830.931.350.02386.39
33062.1322101245.454695.7314283.52-3657.93-10944.981.281.070.005139.19
4-9019.632291340.917157.4619208.87-5648.98-13761.071.270.88-0.011-409.98
5-11131.092281436.369011.9623149.15-5944.77-12338.511.520.87-0.012-505.96
6-19600.832281436.368280.1921209.79-6131.6-10335.321.350.77-0.022-890.95
7-4808.472281436.368332.3319485.92-5104.79-9480.51.630.93-0.0058-218.57
84573.422291340.918447.7217319.96-5496.62-11502.351.541.060.0052207.88
956838.1922101245.4512423.5622502.69-5616.46-10431.342.211.840.0492583.55
1068534.422211115013193.8337944.55-6963.43-15331.381.891.890.0493115.2
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
atrtrail24.5422249.382481633.3311350.7220381.27-4284.77-8078.282.651.320.023927.06
atrnil3828995.07246182522233.5230571.91-5800.34-8260.73.831.280.0191208.13
atrnil25.5817946.652481633.3313901.6520381.27-5829.16-8260.72.381.190.016747.78
atrtrail35.214783.512471729.1710831.7315618.28-4178.74-8078.282.591.070.0055199.31
atrtrail-15.51632.392471729.1710381.5717213.8-4178.74-8078.282.481.020.001968.02

In the table above, row 1 shows the best exit criterion. Profit factor is 1.32. 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 0.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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:1.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019112 Apr 2019 (-1.2%)
2018216 May 2018 (-1.93%), 17 May 2018 (-0.96%)
2017102 Feb 2017 (4.49%)
2016119 May 2016 (5.21%)
2015117 Nov 2015 (-1.39%)
2014124 Mar 2014 (-1.12%)
2009117 Apr 2009 (-0.97%)
2007114 Sep 2007 (6.65%)
2006128 Jul 2006 (9.36%)
2004103 Sep 2004 (4.25%)
2003215 Jan 2003 (-1.92%), 16 May 2003 (-1.63%)
2002228 Feb 2002 (-1.2%), 13 Sep 2002 (-2.97%)
2001127 Apr 2001 (-2.97%)
2000126 Jul 2000 (10.19%)
1998103 Nov 1998 (2.22%)
1997201 Jan 1997 (-3.8%), 14 Jan 1997 (3.03%)
1996229 Apr 1996 (-3.29%), 20 May 1996 (-2.99%)
1995208 Dec 1995 (-4.04%), 11 Dec 1995 (-1.91%)



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