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

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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 and RSI is above 50" 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
11701.7351421402564.974995.2-1628.95-6402.831.571.050.004848.62
224551.3135171848.573755.318994.63-2182.72-6898.141.721.620.047701.47
344252.8435171848.575187.112710.71-2440.43-6275.232.132.010.0681264.37
454347.2835201557.145100.9514176.25-3178.12-8964.061.612.140.0741552.78
544187.5635201557.145127.419135.45-3890.7-8456.661.321.760.0531262.5
636691.2935201557.145941.0215907.78-5475.28-14613.581.091.450.0381048.32
723800.9335191654.295703.0917679.45-5284.86-146371.081.280.024680.03
816245.3635181751.436180.1519252.87-5588.08-15347.491.111.170.015464.15
9-12133.735152042.867057.816084.28-5900.04-13928.231.20.9-0.011-346.68
10-29780.4735161945.716144.5617366.11-6741.76-18602.460.910.77-0.026-850.87
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
IGL Performance, X=4, Profit Factor:2.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019116 Jul 2019 (-1.26%)
2018208 Mar 2018 (-3.09%), 16 Apr 2018 (-0.46%)
2017126 May 2017 (3.69%)
2016322 Mar 2016 (1.11%), 02 Jun 2016 (1.43%), 07 Dec 2016 (1.78%)
2015513 Apr 2015 (-3.26%), 18 Sep 2015 (-1.15%), 06 Oct 2015 (-1.82%), 21 Oct 2015 (3.08%), 01 Dec 2015 (-2.91%)
2014121 Nov 2014 (7.09%)
2013615 Jan 2013 (6.12%), 29 Jan 2013 (-1.46%), 12 Feb 2013 (0.1%), 04 Mar 2013 (4.86%), 12 Sep 2013 (-1.04%), 29 Nov 2013 (-0.54%)
2012111 Dec 2012 (0.15%)
2011207 Oct 2011 (-0.81%), 02 Nov 2011 (-0.76%)
2010402 Jun 2010 (0.8%), 15 Oct 2010 (4.12%), 01 Nov 2010 (3.41%), 13 Dec 2010 (3.01%)
2009106 Nov 2009 (0.76%)
2007207 Feb 2007 (-4.48%), 29 Aug 2007 (1.45%)
2006214 Mar 2006 (-0.51%), 07 Apr 2006 (0.36%)
2005409 May 2005 (1.98%), 09 Jun 2005 (0.99%), 29 Jun 2005 (-0.3%), 31 Oct 2005 (4.71%)

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
atrtrail36.0992051.5843172639.5311102.2426025.6-3718.71-6987.252.991.950.0582140.73
atrtrail25.6373853.9243172639.5310031.7917350.4-3718.71-6987.252.71.760.0571717.53
atrnil310.7381596.6737122532.4319722.0828002.07-6202.73-8332.753.181.530.0452205.32
atrnil28.8943524.3137142337.8413213.3818668.05-6150.57-8332.752.151.310.0311176.33
atrtrail-16.8623872.3643172639.537091.6918207.92-3718.71-6987.251.911.250.022555.17
50nil33.0821918.0549133626.539824.2111861.37-2938.8-3982.453.341.210.02447.31
50nil22.4412698.1754193535.196215.827907.58-3011.5-3982.452.061.120.013235.15
50trail22.367481.0555183732.736183.247907.58-2805.87-3982.452.21.070.008136.02
50trail32.671518.2155154027.277255.1311572.53-2682.72-3982.452.71.010.001427.6
50trail-13.35-11542.1255154027.276384.4417969.96-2682.72-3982.452.380.89-0.011-209.86

In the table above, row 1 shows the best exit criterion. Profit factor is 1.95. 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 39.53%, which is not acceptable. Avoid this strategy. Average return per trade is 1.07%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.058, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
IGL Performance, Profit Factor:1.95

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019116 Jul 2019 (-1.32%)
2018208 Mar 2018 (-2.92%), 16 Apr 2018 (-1.13%)
2017126 May 2017 (7.39%)
2016422 Mar 2016 (1.2%), 02 Jun 2016 (-2.28%), 09 Jun 2016 (6.94%), 07 Dec 2016 (8.49%)
2015513 Apr 2015 (-2.84%), 24 Apr 2015 (-3.49%), 18 Sep 2015 (-1.92%), 30 Sep 2015 (0.51%), 01 Dec 2015 (-2.72%)
2014121 Nov 2014 (11.41%)
2013715 Jan 2013 (6.5%), 28 Jan 2013 (-2.73%), 11 Feb 2013 (0.78%), 25 Feb 2013 (-0.9%), 04 Mar 2013 (7.59%), 12 Sep 2013 (0.58%), 29 Nov 2013 (-1.45%)
2012111 Dec 2012 (-2.36%)
2011207 Oct 2011 (-2.2%), 02 Nov 2011 (-1.53%)
2010602 Jun 2010 (-0.74%), 09 Jun 2010 (13.01%), 15 Oct 2010 (10.99%), 01 Nov 2010 (-0.3%), 13 Dec 2010 (0.53%), 24 Dec 2010 (3.21%)
2009206 Nov 2009 (-1.84%), 16 Nov 2009 (2.14%)
2007207 Feb 2007 (-2.27%), 29 Aug 2007 (-0.94%)
2006414 Mar 2006 (-1.7%), 07 Apr 2006 (-1.42%), 17 Apr 2006 (-3.2%), 21 Apr 2006 (-2.54%)
2005509 May 2005 (-0.48%), 18 May 2005 (0.33%), 09 Jun 2005 (-1.47%), 29 Jun 2005 (-1.62%), 31 Oct 2005 (12.75%)



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