Study: Buy IGL when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA

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In this study, we evaluate the performance of strategy "Buy IGL when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy IGL 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
112188.071510566.672366.3510247.35-2295.09-4811.961.032.060.061812.54
222065.991596603492.4512707.31-1561.01-3368.112.243.360.0971471.07
34226.92158753.333915.938657.24-3871.51-6964.781.011.160.016281.79
47682.17158753.334324.779684.52-3845.14-9576.571.121.290.025512.14
58041.26157846.675975.0112612.31-4222.97-11713.491.411.240.021536.08
698481569408053.8614273.61-4275.02-13533.831.881.260.023656.53
71324.49158753.334930.3410408.54-5445.47-10605.460.911.030.003788.3
8-1380.64157846.675870.2110198.09-5309.02-10824.521.110.97-0.0037-92.04
99286.74158753.336633.5218855.47-6254.49-11923.891.061.210.02619.12
10-2219.93158753.336239.6712362.44-7448.19-11001.190.840.96-0.0049-148

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 3.36. Strategy is very good and impressively bullish. Percentage of profitable trades is 60%, which is not acceptable. Avoid this strategy. Average return per trade is 0.74%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.097, 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.
IGL Performance, X=2, Profit Factor:3.36

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Jan 2019 (0.98%)
2018225 Jul 2018 (0.12%), 01 Nov 2018 (1.7%)
2015129 Jun 2015 (6.35%)
2014112 Mar 2014 (0.18%)
2013312 Sep 2013 (-1.68%), 01 Oct 2013 (0.87%), 29 Nov 2013 (0.81%)
2012130 Nov 2012 (-0.36%)
2011106 Apr 2011 (-1.37%)
2009131 Mar 2009 (-0.91%)
2007303 Jan 2007 (1.74%), 07 Feb 2007 (-0.08%), 28 May 2007 (2.96%)
2006111 Oct 2006 (-0.28%)

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-1222065.991596603492.4512707.31-1561.01-3368.112.243.360.0971471.07
atrtrail25.5361857.861910952.639810.3916654.96-4027.34-6061.372.442.710.13255.68
atrtrail36.8455802.311910952.639204.8420306.63-4027.34-6061.372.292.540.0892936.96
atrnil21155800.33158753.3312767.5616654.96-6620.03-8983.571.932.20.0963720.02
atrtrail-17.2635316.681910952.637156.2818488.67-4027.34-6061.371.781.970.0681858.77
atrnil315.5735945.84145935.7118754.3222079.47-6425.08-8983.572.921.620.0532567.56
200nil22.4122274.5727121544.445668.157415.5-3049.55-3892.231.861.490.048824.98
200trail22.3319888.927111640.745718.197415.5-2688.2-3884.422.131.460.044736.63
200trail32.7316454.542681830.777788.3411123.25-2547.34-3884.423.061.360.031632.87
200nil33.049324.472471729.178687.6111123.25-3028.75-3892.232.871.180.018388.52
200trail-14.04-11238.3825619245677.099354.71-2384.26-3884.422.380.75-0.03-449.54

In the table above, row 1 shows the best exit criterion. Profit factor is 3.36. Strategy is very good and impressively bullish. Percentage of profitable trades is 60%, which is not acceptable. Avoid this strategy. Average return per trade is 0.74%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.097, 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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