Study: Buy IGL when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy IGL when there is Bullish Crossover in MACD" 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
173541.21135686750.373576.5425443.22-2532.29-12107.11.411.430.032544.75
2103371135795658.524211.0817979.45-4094.72-14160.71.031.450.035765.71
3126108135726353.335654.530479.45-4460.57-14847.721.271.450.034934.13
4199630135716452.597552.6861436.33-5259.54-25571.071.441.590.0381478.74
5241140135775857.047679.8562160.53-6038.09-38052.11.271.690.0431786.22
6158112135736254.078115.0743934.82-7004.64-64779.161.161.360.0271171.2
7164704135765956.38078.1743089.92-7614.18-45979.611.061.370.0291220.03
8170188135746154.818734.6155280.63-7806.12-35447.341.121.360.0291260.65
9181266135726353.339165.6443572.72-7597.78-34201.591.211.380.031342.71
10167419135756055.568781.3532347.62-8186.37-37372.591.071.340.0281240.14
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
atrtrail35.65162831147648343.549836.3732465.14-5622.85-15702.511.751.350.0291107.69
atrtrail24.97130516150658543.339405.6622361.73-5657.08-15702.511.661.270.025870.11
atrtrail-16.23116655145638243.45911251784.55-5578.06-15702.511.631.260.021804.52
atrnil310.31142699135429331.1120033.7132465.14-7513.08-15702.512.671.20.021057.03
atrnil26.97104653145568938.6213661.7322361.73-7420.27-15702.511.841.160.017721.75

In the table above, row 1 shows the best exit criterion. Profit factor is 1.35. 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 43.54%, which is not acceptable. Avoid this strategy. Average return per trade is 0.55%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.029, 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:1.35

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191001 Feb 2019 (8.34%), 27 Feb 2019 (0.04%), 20 Mar 2019 (-1.77%), 08 Apr 2019 (-2.68%), 15 Apr 2019 (-0.89%), 24 May 2019 (9.01%), 15 Jul 2019 (0.39%), 07 Aug 2019 (2.25%), 23 Sep 2019 (-1.21%), 29 Oct 2019 (7.83%)
2018614 Feb 2018 (-3.37%), 06 Apr 2018 (-0.54%), 29 May 2018 (-3.56%), 03 Jul 2018 (-3.33%), 15 Oct 2018 (-2.27%), 18 Dec 2018 (4.36%)
2017930 Jan 2017 (-2.06%), 31 Jan 2017 (6.55%), 12 Apr 2017 (-2.1%), 29 May 2017 (7.66%), 11 Jul 2017 (0.13%), 06 Sep 2017 (8.31%), 16 Oct 2017 (3.03%), 28 Nov 2017 (-3.07%), 27 Dec 2017 (-0.25%)
2016603 Mar 2016 (-3.21%), 22 Mar 2016 (1.2%), 08 Jun 2016 (6.86%), 25 Jul 2016 (6.41%), 04 Oct 2016 (0.66%), 08 Dec 2016 (8.16%)
20151116 Jan 2015 (-1.49%), 28 Feb 2015 (-1.76%), 31 Mar 2015 (-2.97%), 01 Apr 2015 (2.14%), 19 May 2015 (-2.22%), 17 Jun 2015 (-2.99%), 31 Jul 2015 (-2.15%), 18 Sep 2015 (-1.92%), 30 Sep 2015 (0.51%), 24 Nov 2015 (-2.37%), 16 Dec 2015 (3.94%)
20141004 Feb 2014 (-3.52%), 07 Mar 2014 (8.11%), 14 May 2014 (8.79%), 03 Jun 2014 (1.45%), 30 Jun 2014 (0.74%), 04 Aug 2014 (-3.8%), 22 Aug 2014 (10.3%), 11 Nov 2014 (-1.42%), 26 Nov 2014 (0.71%), 23 Dec 2014 (-1.78%)
20131107 Jan 2013 (6.73%), 19 Feb 2013 (-1.26%), 05 Mar 2013 (7.49%), 28 Mar 2013 (1.2%), 10 Jun 2013 (-2.48%), 02 Jul 2013 (-3.06%), 22 Aug 2013 (-0.39%), 05 Sep 2013 (5.83%), 05 Nov 2013 (-2.71%), 29 Nov 2013 (-1.45%), 27 Dec 2013 (-1.22%)
2012730 Jan 2012 (0.22%), 30 Apr 2012 (-4.36%), 07 Aug 2012 (9.4%), 13 Sep 2012 (0.53%), 02 Nov 2012 (0.28%), 16 Nov 2012 (-2.66%), 30 Nov 2012 (-2.51%)
20111023 Feb 2011 (-2.76%), 09 May 2011 (-0.12%), 01 Jun 2011 (8.6%), 28 Jul 2011 (-2.46%), 02 Aug 2011 (-2.65%), 25 Aug 2011 (-3.16%), 02 Sep 2011 (-1.13%), 31 Oct 2011 (0.15%), 01 Dec 2011 (-2.4%), 23 Dec 2011 (-1.09%)
20101515 Jan 2010 (-3.37%), 05 Feb 2010 (12.47%), 06 Feb 2010 (-4.65%), 05 Mar 2010 (-2.86%), 23 Mar 2010 (-3.07%), 07 Apr 2010 (0.58%), 17 May 2010 (1.73%), 31 May 2010 (-3.72%), 11 Jun 2010 (12.02%), 11 Aug 2010 (-3.15%), 12 Aug 2010 (10.29%), 13 Oct 2010 (-3.76%), 29 Nov 2010 (0.77%), 15 Dec 2010 (-3.8%), 31 Dec 2010 (-0.92%)
2009717 Mar 2009 (2.87%), 18 May 2009 (-3.86%), 21 May 2009 (-1.39%), 04 Jun 2009 (-5.19%), 15 Jun 2009 (-5.64%), 17 Jul 2009 (3.68%), 09 Nov 2009 (-1.54%)
2008904 Feb 2008 (-7.85%), 31 Mar 2008 (-5.69%), 11 Apr 2008 (-3.88%), 17 Jun 2008 (1.03%), 10 Jul 2008 (-5.2%), 23 Jul 2008 (-0.66%), 28 Aug 2008 (5.15%), 03 Nov 2008 (-2.94%), 22 Dec 2008 (11.3%)
2007720 Mar 2007 (-3.31%), 19 Apr 2007 (-2.25%), 18 Jun 2007 (-1.99%), 24 Aug 2007 (2.39%), 14 Sep 2007 (10.61%), 31 Oct 2007 (16.23%), 31 Dec 2007 (-1.89%)
20061130 Jan 2006 (-2.61%), 30 Mar 2006 (-2.84%), 05 May 2006 (0.37%), 28 Jul 2006 (-4.59%), 31 Jul 2006 (7.21%), 08 Sep 2006 (-3.63%), 05 Oct 2006 (1.57%), 02 Nov 2006 (-3.76%), 29 Nov 2006 (-4.26%), 30 Nov 2006 (-3.29%), 27 Dec 2006 (1.74%)
20051009 Feb 2005 (-4.74%), 10 Mar 2005 (-3.81%), 05 Apr 2005 (-3.97%), 26 Apr 2005 (1.47%), 29 Jun 2005 (-1.62%), 14 Jul 2005 (8.1%), 19 Aug 2005 (3.85%), 30 Sep 2005 (0.41%), 02 Nov 2005 (4.41%), 19 Dec 2005 (-3.13%)
2004830 Mar 2004 (6.12%), 07 May 2004 (-4.79%), 09 Jun 2004 (-4.98%), 29 Jun 2004 (14.34%), 27 Aug 2004 (4.93%), 05 Oct 2004 (-2.18%), 10 Nov 2004 (2.4%), 28 Dec 2004 (8.4%)



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