Study: Sell IGL when there is Bearish Centerline Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell IGL when there is Bearish Centerline 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
1-1747.73413256695.656695.65-2814.46-3996.742.380.79-0.025-436.93
24038.76431751590.951911.24-734.09-734.092.176.50.241009.69
33630.52431752053.023037.31-2528.55-2528.550.812.440.1907.63
47468.68431753880.865668.93-4173.91-4173.910.932.790.121867.17
517536.644401004384.168286.5600infinf0.444384.16
626219.144401006554.7911174.5500infinf0.386554.79
719940.24431756668.3411663.95-64.79-64.79102.93308.780.294985.06
828472.034401007118.0112398.0400infinf0.537118.01
930310.054317510459.6815579.12-1069-10699.7829.350.277577.51
1031887.444317511007.0818678.63-1133.79-1133.799.7129.120.247971.86
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=5, Profit Factor:inf

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019124 Jul 2019 (1.81%)
2018112 Mar 2018 (4.14%)
2008127 May 2008 (2.2%)
2006111 Dec 2006 (0.61%)

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
atrnil38.6-12459.985142018379.8318379.83-7709.95-9333.132.380.6-0.06-2492
atrtrail24.4-9404.94523404010.945087.22-5808.94-8663.720.690.46-0.091-1880.99
atrtrail34.4-9404.94523404010.945087.22-5808.94-8663.720.690.46-0.091-1880.99
atrtrail-14.4-9404.94523404010.945087.22-5808.94-8663.720.690.46-0.091-1880.99
atrnil28.4-18586.595142012253.2212253.22-7709.95-9333.131.590.4-0.12-3717.32

In the table above, row 1 shows the best exit criterion. Profit factor is 0.6. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
IGL Performance, Profit Factor:0.596

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019224 Jul 2019 (-3.08%), 25 Jul 2019 (-3.35%)
2018112 Mar 2018 (9.19%)
2008127 May 2008 (-4.33%)
2006111 Dec 2006 (-4.67%)



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