Study: Sell IGL when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell IGL when RSI is below 50 and there is Bearish Crossover in MACD" 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
190884.4263352855.565269.7367791.72-3341.29-13761.811.581.970.0381442.61
281535.1863342953.976327.5967070.53-4606.99-17315.691.371.610.0311294.21
396519.4263313249.218837.9572436.17-5545.53-13459.361.591.540.031532.05
479434.6963303347.62889170186.07-5675.61-12547.751.571.420.0271260.87
566741.8763313249.218762.3267445.55-6402.81-16174.581.371.330.0231059.39
646335.1363263741.2711219.4567416.7-6631.64-24133.51.691.190.015735.48
7-12210.7963263741.2711902.1961618.35-8693.72-23122.071.370.96-0.0037-193.82
8-82127.1863263741.279841.9666407.04-9135.62-29692.831.080.76-0.024-1303.61
9-66817.9663253839.6811108.8770359.15-9066.83-29351.541.230.81-0.018-1060.6
10-58201.5663273642.8610764.7574253.57-9690.27-33743.411.110.83-0.015-923.83

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.97. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.72%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.038, which is low, don't trade solely on the basis of this study.

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-1190884.4263352855.565269.7367791.72-3341.29-13761.811.581.970.0381442.61
atrtrail-14.79-61000.947021493010547.1454088.31-5765.12-16889.861.830.78-0.02-871.44
atrtrail34.28-74605.3671215029.5810886.4536229.74-6064.42-20730.041.80.75-0.026-1050.78
atrtrail24.03-85891.1672215129.1710608.7424153.16-6052.45-20730.041.750.72-0.033-1192.93
atrnil26.14-11266870185225.7115619.4433390.15-7573.43-20730.042.060.71-0.038-1609.55
atrnil38.09-13058266115516.6725837.750085.23-7541.75-20730.043.430.69-0.038-1978.51

In the table above, row 1 shows the best exit criterion. Profit factor is 1.97. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.72%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.038, 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, X=1, Profit Factor:1.97

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019328 Jan 2019 (0.44%), 11 Feb 2019 (1.66%), 29 Jul 2019 (1.38%)
2018316 Mar 2018 (1.98%), 30 Apr 2018 (2.69%), 19 Jun 2018 (-0.52%)
2017105 May 2017 (1.44%)
2016116 Mar 2016 (-1.09%)
2015707 Jan 2015 (-5.28%), 13 Mar 2015 (-0.5%), 29 Apr 2015 (1.39%), 02 Jun 2015 (-1.29%), 28 Sep 2015 (0.79%), 04 Nov 2015 (0.17%), 07 Dec 2015 (0.89%)
2014317 Jan 2014 (0.38%), 25 Feb 2014 (0.08%), 07 Aug 2014 (4.1%)
2013528 Feb 2013 (-2.35%), 18 Mar 2013 (0.15%), 21 Jun 2013 (3.9%), 28 Oct 2013 (0.49%), 11 Dec 2013 (0.17%)
2012513 Jan 2012 (6.83%), 09 Apr 2012 (33.9%), 29 Aug 2012 (-0.61%), 13 Nov 2012 (-2.23%), 12 Dec 2012 (1.08%)
2011410 Jan 2011 (1.03%), 25 Feb 2011 (-0.21%), 17 Nov 2011 (2.51%), 08 Dec 2011 (1.25%)
2010426 Mar 2010 (-1.49%), 21 May 2010 (0.52%), 09 Nov 2010 (-0.11%), 10 Dec 2010 (-1.45%)
2009102 Feb 2009 (-1.14%)
2008909 Jan 2008 (3.54%), 07 Mar 2008 (-6.88%), 04 Apr 2008 (-0.59%), 02 Jun 2008 (1.44%), 30 Jun 2008 (5.09%), 16 Jul 2008 (-1.18%), 26 Aug 2008 (-2.4%), 16 Sep 2008 (-2.19%), 01 Dec 2008 (1.99%)
2007317 Jan 2007 (-0.25%), 17 Apr 2007 (1.17%), 12 Sep 2007 (-1.41%)
2006613 Apr 2006 (-1.75%), 16 May 2006 (-3.19%), 24 Jul 2006 (-3.17%), 18 Oct 2006 (0.97%), 06 Nov 2006 (-0.38%), 12 Dec 2006 (-2.56%)
2005415 Apr 2005 (2.15%), 31 May 2005 (0.05%), 08 Jul 2005 (-1.02%), 14 Oct 2005 (0.95%)
2004428 Apr 2004 (-1.08%), 12 May 2004 (2.42%), 22 Jun 2004 (3.24%), 14 Oct 2004 (-0.46%)



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