Study: Buy IGL when RSI is above 50 and ADX is Trending and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy IGL when RSI is above 50 and ADX is Trending and there is Golden 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: 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
1-335.96633502860.825260.89-2972.81-3829.160.960.96-0.0043-55.99
221316.4964266.676894.2822250.97-3130.31-3380.572.24.40.13552.75
3-9725.67633504275.168796.9-7517.05-12502.050.570.57-0.06-1620.94
4-12141.5261516.6726735.6626735.66-7775.44-20749.473.440.69-0.035-2023.59
55154.6562433.3321619.4240707.2-9521.05-23727.72.271.140.011859.11
615807.9862433.3323705.9846399.31-7901-20945.8431.50.0322634.66
713727.7862433.3325428.0849590.34-9282.1-15349.372.741.370.0272287.96
84523.8462433.3319866.0236567.49-8802.05-15054.822.261.130.011753.97
98918.0362433.3319440.3736222.51-7490.68-13451.152.61.30.0231486.34
10-1177.4162433.3314892.3927253.13-7740.55-15349.371.920.96-0.0037-196.24
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=2, Profit Factor:4.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019105 Feb 2019 (-1.44%)
2015106 Aug 2015 (1.22%)
2014117 Apr 2014 (-1.69%)
2009114 May 2009 (11.13%)
2007109 Jul 2007 (0.75%)
2004102 Dec 2004 (0.7%)

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
atrnil35.438402.4772528.5720882.1422876.38-6672.36-7123.953.131.250.0241200.35
atrtrail24-2664.2172528.5713921.4315250.92-6101.41-6900.12.280.91-0.011-380.6
atrnil24-5518.9572528.5713921.4315250.92-6672.36-7123.952.090.83-0.021-788.42
atrtrail34.57-1177472528.579366.5313678.7-6101.41-6900.11.540.61-0.058-1682
atrtrail-14.57-1177472528.579366.5313678.7-6101.41-6900.11.540.61-0.058-1682

In the table above, row 1 shows the best exit criterion. Profit factor is 1.25. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is 0.6%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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:1.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019105 Feb 2019 (-2.98%)
2015106 Aug 2015 (-3.47%)
2014117 Apr 2014 (-3.22%)
2009114 May 2009 (11.44%)
2007209 Jul 2007 (-3.45%), 10 Jul 2007 (-3.56%)
2004102 Dec 2004 (9.44%)



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