Study: Buy ITC when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy ITC when 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
190591.3251321962.754974.4619502.47-3610.07-13465.381.382.320.0591776.3
211124751331864.716135.1132919.25-5067.33-24213.241.212.220.0532181.31
315788551371472.557207.4539906.83-7770.77-29269.130.932.450.0633095.79
417540251341766.678680.345600.41-7042.83-23525.371.232.470.0633439.26
522880751341766.6710525.3449741.2-7591.47-25313.841.392.770.0734486.4
628464151361570.5911651.9362137.68-8988.56-39345.541.33.110.0785581.2
730024951371472.5511153.4753881.99-8030.67-24081.181.393.670.095887.24
833917851341766.6713671.357828.67-7390.96-25411.471.853.70.0936650.55
934742551361570.5913005.8254645.45-8052.27-27586.541.623.880.0976812.26
1039609851371472.5513934.3658152.17-8533.79-27295.081.634.320.117766.63

From the table above, we see that best results are achieved by holding positions for 10 trading days. Profit factor is 4.32. Strategy is very good and impressively bullish. Percentage of profitable trades is 72.55%, which is good. Average return per trade is 3.88%, which is very good.
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=10, Profit Factor:4.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018211 Sep 2018 (-1.31%), 04 Oct 2018 (0.82%)
2017218 Jul 2017 (1.16%), 08 Aug 2017 (3.06%)
2016126 Sep 2016 (-3.2%)
2015106 Jan 2015 (3.01%)
2014319 May 2014 (-0.43%), 03 Jun 2014 (0.79%), 14 Oct 2014 (2.28%)
2013607 Jan 2013 (4.48%), 22 Feb 2013 (1.95%), 10 Apr 2013 (11.95%), 13 Jun 2013 (-1.62%), 02 Aug 2013 (-5.3%), 28 Oct 2013 (-3.45%)
2012305 Jun 2012 (10.4%), 17 Sep 2012 (6.61%), 15 Nov 2012 (7.98%)
2011431 Jan 2011 (-3.14%), 05 Aug 2011 (2.85%), 22 Sep 2011 (4.29%), 18 Nov 2011 (2.33%)
2010219 Jul 2010 (7.36%), 28 Oct 2010 (4.97%)
2009221 May 2009 (11.23%), 18 Dec 2009 (3.95%)
2008322 Jan 2008 (12.6%), 26 May 2008 (0.9%), 10 Jun 2008 (-4.99%)
2006117 Nov 2006 (3.3%)
2005213 Jan 2005 (9.41%), 21 Feb 2005 (8.07%)
2004405 Feb 2004 (10.66%), 31 Mar 2004 (4.19%), 07 May 2004 (-12.87%), 19 Oct 2004 (3.38%)
2003122 Jan 2003 (-2.32%)
2001107 Feb 2001 (0.2%)
1999426 Feb 1999 (29.08%), 05 Apr 1999 (7.02%), 20 Jul 1999 (-1.51%), 03 Aug 1999 (-3.35%)
1998228 Jan 1998 (7.61%), 27 May 1998 (-13.65%)
1997531 Mar 1997 (10.17%), 28 Jul 1997 (21.43%), 29 Aug 1997 (11.21%), 28 Oct 1997 (5.21%), 18 Nov 1997 (13.53%)
1996230 Jul 1996 (8.34%), 04 Nov 1996 (-2.6%)

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-11039609851371472.5513934.3658152.17-8533.79-27295.081.634.320.117766.63
atrtrail-16.8528971772314143.0614804.1853668.69-4127.15-9429.533.592.710.064023.84
atrnil39.8527200167264138.8119794.9344112.05-5918.7-10069.153.342.120.0614059.72
atrtrail35.2415411872314143.0610430.0427830.83-4127.15-9429.532.531.910.0492140.53
atrtrail24.1514090872324044.449632.9920138.3-4183.7-9429.532.31.840.051957.05
atrnil25.4817926069313844.9313134.4529408.03-5997.59-9429.532.191.790.0522597.97

In the table above, row 1 shows the best exit criterion. Profit factor is 4.32. Strategy is very good and impressively bullish. Percentage of profitable trades is 72.55%, which is good. Average return per trade is 3.88%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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