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

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In this study, we evaluate the performance of strategy "Buy IGL when RSI is above 50 and there is Bullish 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: 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
17089.4185362.53324.528524.82-3177.72-6391.351.051.740.055886.18
28857.5485362.53618.8911649.82-3078.97-5604.721.181.960.0591107.19
39007.95844506194.413855.7-3942.41-7276.31.571.570.0451125.99
47497.5585362.53445.8411833.64-3243.88-5506.391.061.770.049937.19
58461.6685362.54914.818111.21-5370.8-10898.990.921.530.0451057.71
66719.98844506870.998765.24-5191-9822.981.321.320.032840
77597.78844508553.1614334.38-6653.71-9341.21.291.290.029949.72
818872.988445012414.7916977.79-7696.54-11940.31.611.610.0562359.12
931036.298445015111.4217332.06-7352.35-16140.232.062.060.0823879.54
1033413.338445014461.6119664.63-6108.28-12773.342.372.370.0924176.67
Although, strategy looks good but profit factor on day 7 is less than minimum accepted value so avoid this, see below for further analysis.
IGL Performance, X=10, Profit Factor:2.37

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018129 Aug 2018 (-6.39%)
2016102 Jun 2016 (8.68%)
2014220 Aug 2014 (7.68%), 22 Dec 2014 (2.72%)
2010128 May 2010 (-0.3%)
2007201 Feb 2007 (-4.01%), 29 Oct 2007 (9.83%)
2005115 Jun 2005 (-1.52%)

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
atrnil310.3310261495455.5624771.4133848.36-5310.74-6849.74.665.830.1811401.57
atrnil2661328.4395455.5616514.2822565.57-5310.74-6849.73.113.890.156814.27
atrtrail-16.7824712.8293633.3317721.5238119.47-4741.96-5849.813.741.870.0512745.87
atrtrail35.6724551.0393633.3317667.5933848.36-4741.96-5849.813.731.860.0552727.89
atrtrail24.5620085.1393633.3316178.9622565.57-4741.96-5849.813.411.710.0552231.68

In the table above, row 1 shows the best exit criterion. Profit factor is 5.83. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bullish. Percentage of profitable trades is 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 5.7%, which is very good. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
IGL Performance, Profit Factor:5.83

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018129 Aug 2018 (-3.42%)
2016202 Jun 2016 (-2.28%), 06 Jun 2016 (7.17%)
2014220 Aug 2014 (10.92%), 22 Dec 2014 (12.31%)
2010128 May 2010 (14.6%)
2007201 Feb 2007 (-2.47%), 29 Oct 2007 (16.92%)
2005115 Jun 2005 (-2.44%)



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