Study: Sell IGL when below 200 SMA and near 50 SMA and below 50 SMA

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. 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
1681.8330141646.672470.1910475.62-2118.8-5797.11.171.020.001822.73
2-32101.12301515503457.1115894.04-5597.18-17986.310.620.62-0.044-1070.04
3-7526.76301515504261.8915291.99-4763.67-11386.520.890.89-0.011-250.89
4-34971.0730141646.673974.6916496.09-5663.54-12694.920.70.61-0.047-1165.7
5-13574.08301515505176.7918462.77-6081.73-14858.260.850.85-0.016-452.47
67915.94301515506157.8917922.31-5630.16-21378.781.091.090.0088263.86
76393.1830141646.677203.9816982.84-5903.91-20100.71.221.070.0068213.11
8-12887.08301515506375.5415682.02-7234.68-19597.210.880.88-0.013-429.57
9-35003.79301218407917.716454.55-7223.12-19287.371.10.73-0.033-1166.79
10-45538.930131743.337557.5716727.27-8458.08-21920.990.890.68-0.04-1517.96
Although, strategy looks good but profit factor on day 4 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
atrtrail24.82-75985.6139102925.649462.5921465.48-5883.15-11062.821.610.55-0.061-1948.35
atrnil26.14-929033672919.4415636.2921465.48-6977.83-11062.822.240.54-0.071-2580.64
atrtrail35.61-87648.2938102826.327697.3824034.76-5879.36-11062.821.310.47-0.079-2306.53
50nil32.13-69783.75374613.218500.8610265.88-2810.65-3992.463.020.46-0.086-1316.67
atrnil38.33-1218333342912.1221650.6924913.5-7187.43-11062.823.010.42-0.097-3691.9
50trail32-76345.275364711.328340.4110265.88-2689.1-3753.543.10.4-0.1-1440.48
atrtrail-15.76-10562238102826.325900.0514860.17-5879.36-11062.8210.36-0.11-2779.52
50nil21.8-86583.65484614.815480.036843.92-2835.3-3992.461.930.34-0.13-1603.4
50trail-12.34-86235.54535489.438471.3115143.91-2679-3753.543.160.33-0.11-1627.09
50trail21.72-89990.655474712.965361.66843.92-2713.23-3753.541.980.29-0.15-1666.49

In the table above, row 1 shows the best exit criterion. Profit factor is 0.55. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
IGL Performance, Profit Factor:0.555

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018311 Jun 2018 (7.16%), 10 Jul 2018 (0.65%), 13 Dec 2018 (-2.53%)
2014408 Jan 2014 (-1.16%), 14 Jan 2014 (5.08%), 05 Feb 2014 (0.41%), 10 Mar 2014 (-2.72%)
2013518 Sep 2013 (-3.71%), 30 Sep 2013 (-3.56%), 30 Oct 2013 (-2.8%), 13 Nov 2013 (0.5%), 05 Dec 2013 (5.39%)
2012901 Jun 2012 (-5.53%), 12 Jun 2012 (-5.52%), 26 Jul 2012 (-3.4%), 29 Aug 2012 (-3.71%), 04 Sep 2012 (-2.93%), 19 Oct 2012 (0.02%), 12 Nov 2012 (-2.85%), 21 Nov 2012 (-2.87%), 12 Dec 2012 (-1.1%)
2011101 Apr 2011 (-2.22%)
2009301 Jan 2009 (-2.99%), 13 Jan 2009 (-4.72%), 23 Mar 2009 (-3.27%)
2008520 May 2008 (-4.14%), 23 May 2008 (-1.56%), 04 Aug 2008 (-4.21%), 06 Aug 2008 (-2.09%), 18 Nov 2008 (10.73%)
2007223 Jan 2007 (-2.28%), 04 May 2007 (-0.34%)
2006519 Oct 2006 (-3.34%), 06 Nov 2006 (8.01%), 30 Nov 2006 (-3.42%), 05 Dec 2006 (9.36%), 28 Dec 2006 (-3.87%)
2004227 Oct 2004 (-0.79%), 08 Nov 2004 (-1.66%)



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