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

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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 ADX is Trending" 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
1-124111751229.413799.418961.96-2617.34-10308.371.450.6-0.044-730.06
219878.311710758.824417.4611476.47-3470.89-10682.821.271.820.061169.31
331793.2179852.946455.9510928.43-3288.79-10991.191.962.210.0851870.19
413486.6179852.945738.6312020.54-4770.13-11718.061.21.350.031793.33
5-2752.56178947.066012.6710460.72-5650.43-18370.761.060.95-0.0055-161.92
628391.371710758.826892.2121802.58-5790.1-12070.481.191.70.0531670.08
730419.62178947.0610546.1926781.12-5994.43-13159.591.761.560.0431789.39
820565.98179852.947149.3624163.09-5472.28-15347.491.311.470.0351209.76
94527.1179852.945847.420901.29-6012.44-13928.230.971.090.0087266.3
10-9847.781771041.186573.1419098.71-5585.98-18602.461.180.82-0.018-579.28
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=3, Profit Factor:2.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019111 Feb 2019 (3.01%)
2018108 Mar 2018 (-2.32%)
2016218 Feb 2016 (-2.35%), 15 Nov 2016 (2.14%)
2015309 Feb 2015 (-5.5%), 24 Aug 2015 (3.28%), 06 Nov 2015 (-0.55%)
2011102 Nov 2011 (-0.55%)
2010407 May 2010 (2.45%), 26 May 2010 (4.3%), 09 Jun 2010 (2.62%), 15 Sep 2010 (5.46%)
2009106 Oct 2009 (3.1%)
2007129 Aug 2007 (2.69%)
2005331 May 2005 (0.0%), 13 Jun 2005 (-1.8%), 29 Jun 2005 (-0.1%)

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
atrnil313.6565961.531761135.2924386.1631208.36-7305.04-107463.341.820.0643880.09
50trail21.7921640.6928111739.296256.157907.58-2775.12-3938.292.251.460.044772.88
50nil21.7819499.627111640.746160.177907.58-3016.39-3938.292.041.40.04722.21
atrnil28.9431635.281871138.8915823.8420805.57-7193.78-107462.21.40.0391757.52
50trail32.2510513.1728101835.715889.9311728.74-2688.12-3938.292.191.220.02375.47
50nil32.657646.942671926.929368.2211861.37-3048.98-3938.293.071.130.013294.11
50trail-12.963184.3928101835.715157.0618344.8-2688.12-3938.291.921.070.0059113.73
atrtrail25.05-8781.032171433.339601.0618961.53-5427.75-107461.770.88-0.013-418.14
atrtrail35.86-22557.172171433.337633.0428442.29-5427.75-107461.410.7-0.032-1074.15
atrtrail-15.95-30711.572171433.336468.1320287.89-5427.75-107461.190.6-0.052-1462.46

In the table above, row 1 shows the best exit criterion. Profit factor is 1.82. 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 35.29%, which is not acceptable. Avoid this strategy. Average return per trade is 1.94%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.064, 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:1.82

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019211 Feb 2019 (-4.09%), 13 Feb 2019 (12.61%)
2018108 Mar 2018 (-2.92%)
2016218 Feb 2016 (-3.79%), 15 Nov 2016 (9.86%)
2015309 Feb 2015 (-3.42%), 24 Aug 2015 (-4.44%), 25 Aug 2015 (13.95%)
2011102 Nov 2011 (-2.82%)
2010407 May 2010 (9.17%), 20 May 2010 (-5.37%), 26 May 2010 (15.6%), 15 Sep 2010 (-4.57%)
2009106 Oct 2009 (-3.31%)
2007129 Aug 2007 (11.96%)
2005231 May 2005 (-2.78%), 29 Jun 2005 (-2.68%)



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