Study: Buy ITC when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy ITC when below 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
124178.6882443853.663521.3416006.52-3441.06-15884.591.021.180.012294.86
253485.7982513162.24446.7731169.02-5590.3-19326.660.81.310.018652.27
312557782473557.326014.1839150.07-4488.29-17469.881.341.80.0371531.42
414380482532964.636860.1145413.49-7578.68-31658.210.911.650.0341753.71
512623682473557.327787.5147989.93-6850.79-37159.161.141.530.0281539.46
613976482453754.888878.7645517.14-7021.1-24128.091.261.540.0291704.43
725293082463656.110708.774666.67-6657.52-21337.11.612.060.0443084.51
826276082443853.6612219.1481207.55-7233.75-26714.431.691.960.0433204.39
922667582433952.4412173.1489962.26-7609.49-32609.381.61.760.0352764.33
1019419282453754.8811511.5792830.19-8752.12-33322.761.321.60.032368.2
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
ITC Performance, X=7, Profit Factor:2.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019723 Jan 2019 (1.28%), 13 May 2019 (3.61%), 31 May 2019 (0.5%), 27 Jun 2019 (1.44%), 15 Jul 2019 (-0.04%), 05 Aug 2019 (-2.62%), 21 Aug 2019 (1.74%)
2018619 Feb 2018 (0.36%), 06 Mar 2018 (3.53%), 05 Jun 2018 (-0.09%), 21 Jun 2018 (0.84%), 05 Oct 2018 (2.22%), 06 Dec 2018 (2.49%)
2017215 Sep 2017 (-2.54%), 09 Nov 2017 (-0.33%)
2016406 Jan 2016 (-0.38%), 21 Jan 2016 (5.83%), 11 Feb 2016 (0.44%), 16 Nov 2016 (-0.91%)
2015914 Jan 2015 (0.47%), 02 Mar 2015 (0.99%), 19 Mar 2015 (-1.74%), 30 Apr 2015 (0.59%), 26 May 2015 (-3.95%), 11 Jun 2015 (4.49%), 29 Jul 2015 (6.73%), 13 Nov 2015 (1.85%), 07 Dec 2015 (1.82%)
2014320 Feb 2014 (6.35%), 04 Jun 2014 (0.5%), 23 Jun 2014 (4.57%)
2013321 Aug 2013 (2.61%), 05 Nov 2013 (-1.43%), 21 Nov 2013 (2.73%)
2011204 Feb 2011 (2.68%), 24 Feb 2011 (14.14%)
2010126 Feb 2010 (9.47%)
2009103 Mar 2009 (-1.13%)
2008423 Jun 2008 (-7.93%), 15 Jul 2008 (18.73%), 07 Oct 2008 (-8.94%), 27 Oct 2008 (13.22%)
2007405 Jan 2007 (3.84%), 23 Feb 2007 (-2.99%), 09 Mar 2007 (-8.63%), 06 Jun 2007 (-3.45%)
2006419 May 2006 (-1.89%), 24 Jul 2006 (5.51%), 20 Nov 2006 (3.34%), 12 Dec 2006 (-1.53%)
2005221 Sep 2005 (-2.46%), 06 Oct 2005 (-2.47%)
2004111 May 2004 (-5.01%)
2003227 Jan 2003 (-0.43%), 17 Mar 2003 (0.44%)
2002527 Mar 2002 (-6.37%), 25 Apr 2002 (4.26%), 23 May 2002 (6.79%), 24 Jul 2002 (8.06%), 30 Oct 2002 (0.64%)
2001601 Mar 2001 (-7.37%), 14 May 2001 (0.19%), 04 Jun 2001 (-1.17%), 08 Aug 2001 (-2.11%), 07 Sep 2001 (-3.62%), 25 Sep 2001 (2.18%)
2000303 Mar 2000 (27.19%), 17 Apr 2000 (-8.85%), 22 Sep 2000 (-0.08%)
1999417 Sep 1999 (-10.67%), 04 Oct 1999 (3.05%), 20 Oct 1999 (-4.06%), 10 Dec 1999 (-1.45%)
1998408 Jun 1998 (8.1%), 03 Aug 1998 (-4.54%), 17 Aug 1998 (9.91%), 26 Nov 1998 (3.36%)
1996409 Jan 1996 (-1.46%), 23 Jan 1996 (37.33%), 18 Mar 1996 (-2.77%), 05 Nov 1996 (-4.42%)
1995123 Nov 1995 (5.88%)

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
atrnil327.281.00303e+06101346733.6643211.06704980-6957.4-18574.66.213.150.0289931
atrnil221.88688640102445843.1424973.85469986-7072.58-18574.63.532.680.0296751.37
atrtrail35.22240142145529335.8613976.3162187.57-5232.54-18574.62.671.490.0271656.15
atrtrail24.54149689145539236.5511920.8941458.38-5240.41-18574.62.271.310.021032.34
atrtrail-15.9995144.71145519435.1711581.8135640.55-5271.57-18574.62.21.190.013656.17

In the table above, row 1 shows the best exit criterion. Profit factor is 3.15. Strategy is very good and impressively bullish. Percentage of profitable trades is 33.66%, which is not acceptable. Avoid this strategy. Average return per trade is 4.97%, which is very good. Sharpe Ratio is 0.028, 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:3.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191023 Jan 2019 (-2.18%), 13 May 2019 (6.43%), 31 May 2019 (-2.45%), 15 Jul 2019 (-1.79%), 22 Jul 2019 (-1.7%), 05 Aug 2019 (-1.85%), 07 Aug 2019 (-1.9%), 13 Aug 2019 (-2.15%), 21 Aug 2019 (-2.38%), 23 Aug 2019 (7.39%)
2018719 Feb 2018 (-2.45%), 06 Mar 2018 (6.13%), 05 Jun 2018 (-1.9%), 21 Jun 2018 (5.03%), 05 Oct 2018 (-2.9%), 09 Oct 2018 (9.11%), 06 Dec 2018 (6.37%)
2017515 Sep 2017 (-1.8%), 25 Sep 2017 (-1.96%), 27 Sep 2017 (6.07%), 09 Nov 2017 (-1.73%), 15 Nov 2017 (5.71%)
2016521 Jan 2016 (-2.25%), 11 Feb 2016 (-2.46%), 24 Feb 2016 (-2.8%), 16 Nov 2016 (-3.3%), 24 Nov 2016 (8.69%)
20151114 Jan 2015 (7.1%), 02 Mar 2015 (-4.0%), 20 Mar 2015 (-3.05%), 27 Mar 2015 (8.31%), 30 Apr 2015 (-2.6%), 26 May 2015 (-2.36%), 03 Jun 2015 (-2.86%), 11 Jun 2015 (8.19%), 29 Jul 2015 (6.2%), 13 Nov 2015 (6.97%), 07 Dec 2015 (-2.85%)
2014204 Jun 2014 (-2.55%), 23 Jun 2014 (7.44%)
2013321 Aug 2013 (-4.16%), 05 Nov 2013 (-2.79%), 22 Nov 2013 (7.8%)
2005121 Sep 2005 (352.49%)
2004311 May 2004 (-3.77%), 14 May 2004 (-4.55%), 17 May 2004 (16.87%)
2003427 Jan 2003 (-2.02%), 29 Jan 2003 (-2.12%), 17 Mar 2003 (-1.93%), 24 Mar 2003 (5.76%)
2002827 Mar 2002 (-2.62%), 05 Apr 2002 (-2.57%), 08 Apr 2002 (-2.82%), 09 Apr 2002 (-3.0%), 25 Apr 2002 (-2.78%), 23 May 2002 (8.5%), 24 Jul 2002 (10.25%), 30 Oct 2002 (7.65%)
20011101 Mar 2001 (-4.09%), 05 Mar 2001 (-4.32%), 13 Mar 2001 (15.43%), 14 May 2001 (-3.38%), 04 Jun 2001 (-2.96%), 05 Jun 2001 (-3.08%), 08 Aug 2001 (-3.8%), 07 Sep 2001 (13.35%), 14 Sep 2001 (-5.93%), 17 Sep 2001 (-6.19%), 26 Sep 2001 (20.03%)
2000503 Mar 2000 (31.09%), 17 Apr 2000 (-8.37%), 20 Apr 2000 (-9.29%), 25 Apr 2000 (30.43%), 22 Sep 2000 (12.45%)
19991017 Sep 1999 (-3.31%), 21 Sep 1999 (-3.41%), 27 Sep 1999 (-3.8%), 04 Oct 1999 (-4.02%), 20 Oct 1999 (-5.85%), 29 Oct 1999 (-5.88%), 01 Nov 1999 (19.62%), 10 Dec 1999 (-4.35%), 14 Dec 1999 (-4.69%), 17 Dec 1999 (15.15%)
1998508 Jun 1998 (-4.91%), 03 Aug 1998 (-4.6%), 11 Aug 1998 (12.48%), 26 Nov 1998 (-2.21%), 28 Nov 1998 (-2.18%)
19961009 Jan 1996 (-3.92%), 19 Jan 1996 (-3.51%), 23 Jan 1996 (-4.04%), 24 Jan 1996 (13.43%), 18 Mar 1996 (-5.53%), 22 Mar 1996 (-6.03%), 25 Mar 1996 (20.19%), 05 Nov 1996 (-4.69%), 06 Nov 1996 (-5.22%), 07 Nov 1996 (16.49%)
1995123 Nov 1995 (-4.18%)



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