Study: Buy IGL when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy IGL when RSI is above 50 and there is Bullish 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: 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
1-5704.5443182541.864316.7925443.22-3336.27-12107.11.290.93-0.0058-132.66
29444.9343232053.494941.3115283.27-5210.26-14160.70.951.090.0086219.65
330248.743202346.516942.4420277.61-4721.74-14847.721.471.280.024703.46
484764.143232053.499699.2561436.33-6915.94-25571.071.41.610.0381971.26
576442.6443222151.1610307.0962160.53-7157.78-24873.11.441.510.0331777.74
633325.7543202346.5110943.9543934.82-8067.53-29251.271.361.180.016775.02
713651.2843212248.849790.5643089.92-8725.03-29568.531.121.070.0066317.47
820133.9143212248.8410241.5855280.63-8860.88-22969.541.161.10.0087468.23
925423.7743212248.8410417.3443572.72-8788.2-25813.951.191.130.011591.25
1052447.5843222151.1610445.1532347.62-8445.03-22430.781.241.30.0251219.71
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
atrtrail34.1620188.6349193038.7811315.1224938.3-6493.29-15702.511.741.10.01412.01
atrtrail-14.7711396.9447182938.310938.9151784.55-6396.67-15702.511.711.060.0053242.49
atrnil37.2-13081.8146123426.0920049.128197.37-7460.91-15702.512.690.95-0.0058-284.39
atrnil25.23-28552.648163233.3313327.7918798.25-7556.17-15702.511.760.88-0.015-594.85
atrtrail23.78-27068.84501931389243.2616625.53-6538.41-15702.511.410.87-0.016-541.38

In the table above, row 1 shows the best exit criterion. Profit factor is 1.1. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 38.78%, which is not acceptable. Avoid this strategy. Average return per trade is 0.21%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.01, 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:1.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019301 Feb 2019 (8.34%), 15 Apr 2019 (-0.89%), 29 Oct 2019 (7.83%)
2018114 Feb 2018 (-3.37%)
2017430 Jan 2017 (-2.06%), 31 Jan 2017 (6.55%), 06 Sep 2017 (8.31%), 16 Oct 2017 (3.03%)
2016104 Oct 2016 (0.66%)
2015217 Jun 2015 (-2.99%), 31 Jul 2015 (-2.15%)
2014404 Feb 2014 (-3.52%), 03 Jun 2014 (1.45%), 30 Jun 2014 (0.74%), 04 Aug 2014 (-3.8%)
2012231 Jan 2012 (-2.54%), 07 Aug 2012 (9.4%)
2011328 Jul 2011 (-2.46%), 02 Aug 2011 (-2.65%), 31 Oct 2011 (0.15%)
20101015 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%), 31 May 2010 (-3.72%), 11 Jun 2010 (12.02%), 11 Aug 2010 (-3.15%), 12 Aug 2010 (10.29%)
2009418 May 2009 (-3.86%), 21 May 2009 (-1.39%), 04 Jun 2009 (-5.19%), 15 Jun 2009 (-5.64%)
2008104 Feb 2008 (-7.85%)
2007418 Jun 2007 (-1.99%), 24 Aug 2007 (2.39%), 14 Sep 2007 (10.61%), 31 Dec 2007 (-1.89%)
2006230 Jan 2006 (-2.61%), 29 Nov 2006 (-4.26%)
2005609 Feb 2005 (-4.74%), 10 Mar 2005 (-3.81%), 29 Jun 2005 (-1.62%), 19 Aug 2005 (3.85%), 30 Sep 2005 (0.41%), 19 Dec 2005 (-3.13%)
2004205 Oct 2004 (-2.18%), 28 Dec 2004 (8.4%)



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