Study: Sell IGL when ADX is Trending and there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell IGL when ADX is Trending and there is Dead Cross (50 DMA < 200 DMA)" 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
1-10786.15303000-3595.38-6914.0800-0.37-3595.38
2-7774.16303000-2591.39-4677.1700-0.35-2591.39
3-5428.5231233.333748.913748.91-4588.72-5795.630.820.41-0.11-1809.51
4-131031233.3310374.8910374.89-5842.44-8032.541.780.89-0.014-436.67
59423.8931233.3316739.3216739.32-3657.71-4880.534.582.290.0833141.3
614136.6631233.3319180.4719180.47-2521.9-2806.97.613.80.124712.22
76973.3131233.3312118.5712118.57-2572.63-2908.354.712.360.0852324.44
8-3488.2531233.336364.436364.43-4926.34-5287.241.290.65-0.055-1162.75
9-4681.9131233.337061.97061.9-5871.9-7676.71.20.6-0.063-1560.64
101220.4431233.3310287.7110287.71-4533.63-7237.062.271.130.014406.81
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=6, Profit Factor:3.8

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2011122 Mar 2011 (-1.4%)
2007107 Mar 2007 (-1.12%)
2006121 Jun 2006 (9.59%)

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
atrnil211.3318176.1231233.3332353.9132353.91-7088.89-8672.124.562.280.0836058.71
atrtrail24-8329.7731233.335848.025848.02-7088.89-8672.120.820.41-0.11-2776.59
atrtrail34-8329.7731233.335848.025848.02-7088.89-8672.120.820.41-0.11-2776.59
atrtrail-14-8329.7731233.335848.025848.02-7088.89-8672.120.820.41-0.11-2776.59
atrnil320.67-30354.74303000-10118.25-16176.9500-0.57-10118.25

In the table above, row 1 shows the best exit criterion. Profit factor is 2.28. Number of signals (total trades) generated is small and can't conculde anything from this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
IGL Performance, Profit Factor:2.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2011122 Mar 2011 (-2.75%)
2007107 Mar 2007 (-4.34%)
2006121 Jun 2006 (16.18%)



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