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

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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 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: 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
117104.2169756.253308.968198.96-1810.92-2982.251.832.350.0791069.01
2-12619.661688504462.0113970.82-6039.46-10738.970.740.74-0.031-788.73
3-33101.291651131.254425.137202.73-5020.63-11695.910.880.4-0.1-2068.83
4-37476.551651131.254693.1311300.84-5540.2-12227.540.850.39-0.1-2342.28
5-54618.67167943.753789.6812480.6-9016.27-16174.580.420.33-0.11-3413.67
6-78882.7816412257697.5713846.63-9139.42-24133.50.840.28-0.13-4930.17
7-87645.621651131.258623.0124464.45-11887.33-19842.290.730.33-0.12-5477.85
8-122344164122510144.1931791.37-13576.73-29692.830.750.25-0.13-7646.5
9-98799.44164122513172.9739180.38-12624.28-29351.541.040.35-0.1-6174.96
10-97308.121631318.7517006.7836820.86-11409.88-33743.411.490.34-0.098-6081.76

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.35. 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 56.25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.53%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.079, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
IGL Performance, X=1, Profit Factor:2.35

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019228 Jan 2019 (0.44%), 11 Feb 2019 (1.66%)
2015104 Nov 2015 (0.17%)
2014107 Aug 2014 (4.1%)
2012129 Aug 2012 (-0.61%)
2011125 Feb 2011 (-0.21%)
2010226 Mar 2010 (-1.49%), 21 May 2010 (0.52%)
2009102 Feb 2009 (-1.14%)
2008109 Jan 2008 (3.54%)
2007217 Apr 2007 (1.17%), 12 Sep 2007 (-1.41%)
2005231 May 2005 (0.05%), 08 Jul 2005 (-1.02%)
2004222 Jun 2004 (3.24%), 14 Oct 2004 (-0.46%)

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-1117104.2169756.253308.968198.96-1810.92-2982.251.832.350.0791069.01
atrtrail-14.35-39793.741731417.6513889.9137931.41-5818.82-9860.582.390.51-0.056-2340.81
atrtrail33.88-41495.411731417.6513322.6936229.74-5818.82-9860.582.290.49-0.061-2440.91
atrtrail23.82-53571.991731417.659297.1624153.16-5818.82-9860.581.60.34-0.11-3151.29
atrnil34.71-76390.35171165.8836229.7436229.74-7038.76-10974.845.150.32-0.11-4493.55
atrnil24.65-88466.93171165.8824153.1624153.16-7038.76-10974.843.430.21-0.18-5203.94

In the table above, row 1 shows the best exit criterion. Profit factor is 2.35. 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 56.25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.53%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.079, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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