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

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In this study, we evaluate the performance of strategy "Buy IGL when above 200 SMA and near 50 SMA and above 50 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
1-6475.2267283941.793189.9110810.81-2456.22-10308.371.30.93-0.0064-96.65
253919.9567353252.244405.2620441.13-3133.25-13193.281.411.540.039804.78
385360.4967373055.225383.2624883.5-3794.01-10991.191.421.750.0531274.04
474341.4267392858.215427.9519036.83-4905.3-14134.771.111.540.041109.57
562512.6167392858.215725.6319135.45-5742.39-18370.7611.390.032933.02
611765367412661.196611.1721802.58-5900.2-13359.941.121.770.0591756.01
716056967392858.218267.2927913.13-5780.57-14217.681.431.990.0672396.55
812597467382956.727754.0624163.09-5816.56-15347.491.331.750.0541880.21
990929.6867363153.738069.4321043.86-6437.74-22720.061.251.460.0371357.16
1075149.467343350.758140.0821404.78-6109.5-19509.611.331.370.0311121.63
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
atrnil311.4324661761243739.3420714.7733285.9-6771.27-107463.061.980.0744042.91
atrnil28.316260767303744.7813716.4922190.6-6726.7-107462.041.650.0592426.97
atrtrail36.1514337684335139.2911038.9628442.29-4331.56-107462.551.650.0461706.86
atrtrail25.441387418534514010577.9522190.6-4331.56-107462.441.630.0491632.24
50nil32.7959428.6106327430.198903.6711861.37-3047.15-3982.452.921.260.025560.65
atrtrail-16.9555538.2884335139.298377.230145.17-4331.56-107461.931.250.022661.17
50trail32.3941344.45118378131.367070.5511728.74-2719.33-3982.452.61.190.018350.38
50nil22.1640855.25116447237.935952.167907.58-3070-3982.451.941.180.02352.2
50trail22.0933712.36119437636.135809.037907.58-2843.11-3982.452.041.160.017283.3
50trail-13.252940.05118348428.816654.1119589.93-2658.33-3982.452.51.010.001224.92

In the table above, row 1 shows the best exit criterion. Profit factor is 1.98. 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 39.34%, which is not acceptable. Avoid this strategy. Average return per trade is 2.02%, which is very good. Sharpe Ratio is 0.074, 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.
IGL Performance, Profit Factor:1.98

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019511 Feb 2019 (-4.09%), 13 Feb 2019 (12.61%), 17 May 2019 (9.06%), 16 Jul 2019 (-2.72%), 19 Sep 2019 (8.36%)
2018309 Jan 2018 (-2.51%), 08 Mar 2018 (-2.92%), 16 Apr 2018 (-2.82%)
2017422 Mar 2017 (6.64%), 26 May 2017 (7.39%), 27 Jun 2017 (7.7%), 17 Nov 2017 (10.15%)
2016418 Feb 2016 (-3.79%), 22 Mar 2016 (10.47%), 30 May 2016 (6.9%), 15 Nov 2016 (9.86%)
2015607 Jan 2015 (11.69%), 09 Feb 2015 (-3.42%), 13 Apr 2015 (-2.84%), 24 Apr 2015 (-3.49%), 24 Aug 2015 (-4.44%), 25 Aug 2015 (13.95%)
2014319 Aug 2014 (10.95%), 27 Oct 2014 (-3.42%), 21 Nov 2014 (11.41%)
2013615 Jan 2013 (6.5%), 24 Jan 2013 (9.17%), 15 Mar 2013 (9.45%), 15 May 2013 (-4.0%), 24 Jul 2013 (-3.38%), 12 Sep 2013 (-4.07%)
2012211 Dec 2012 (-2.36%), 19 Dec 2012 (-2.41%)
2011323 Sep 2011 (-3.13%), 28 Sep 2011 (-3.26%), 02 Nov 2011 (-2.82%)
2010707 May 2010 (9.17%), 20 May 2010 (-5.37%), 26 May 2010 (15.6%), 15 Sep 2010 (-4.57%), 15 Oct 2010 (10.99%), 01 Nov 2010 (-3.91%), 13 Dec 2010 (-3.95%)
2009408 Jul 2009 (16.64%), 06 Oct 2009 (-3.31%), 06 Nov 2009 (-3.09%), 16 Nov 2009 (9.19%)
2007307 Feb 2007 (-2.32%), 23 Jul 2007 (-3.43%), 29 Aug 2007 (11.96%)
2006624 Feb 2006 (-2.74%), 14 Mar 2006 (-2.53%), 07 Apr 2006 (-3.25%), 17 Apr 2006 (-4.17%), 21 Apr 2006 (-4.09%), 29 Apr 2006 (-3.92%)
2005509 May 2005 (-2.85%), 03 Jun 2005 (-2.79%), 29 Jun 2005 (-2.68%), 18 Oct 2005 (-4.41%), 31 Oct 2005 (12.75%)



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