Study: Buy IGL when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy IGL when below 200 SMA" 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
1911.64402020503593.3711775.97-3547.79-13655.191.011.010.001122.79
258001.57402020507441.3551412.71-4541.27-29238.221.641.640.0351450.04
352457.3540172342.57997.2438244.2-3630.25-11626.912.21.630.0381311.43
438391.09402218556318.1631432.9-5589.36-18670.191.131.380.029959.78
512130.67402218557354.1532189.71-8314.48-43240.860.881.080.0067303.27
685376.2840251562.58039.230676.08-7706.91-35931.311.041.740.0492134.41
715629640251562.59726.2728203.83-5790.74-29766.621.682.80.0913907.39
813539940251562.58955.7432240.16-5899.65-22457.071.522.530.0853384.97
913523840271367.58769.4832290.62-7810.64-22710.921.122.330.0823380.94
1011890640251562.59567.643945.51-8018.9-23310.681.191.990.0652972.66
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=7, Profit Factor:2.8

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018723 Mar 2018 (2.78%), 03 May 2018 (-0.66%), 21 May 2018 (1.73%), 28 Jun 2018 (9.74%), 05 Sep 2018 (-0.57%), 21 Sep 2018 (-3.56%), 04 Dec 2018 (-1.64%)
2015206 May 2015 (-0.31%), 08 Jun 2015 (4.19%)
2014124 Jan 2014 (4.42%)
2013424 Jun 2013 (5.82%), 30 Jul 2013 (-0.36%), 21 Nov 2013 (5.06%), 16 Dec 2013 (0.06%)
2012713 Jan 2012 (-3.77%), 10 Apr 2012 (1.05%), 14 May 2012 (1.73%), 30 May 2012 (14.1%), 17 Jul 2012 (-1.07%), 25 Oct 2012 (4.34%), 21 Dec 2012 (0.97%)
2011218 Feb 2011 (-2.72%), 09 Dec 2011 (-2.62%)
2009217 Feb 2009 (-1.21%), 04 Mar 2009 (2.92%)
2008617 Mar 2008 (12.03%), 04 Apr 2008 (5.17%), 04 Jun 2008 (0.91%), 01 Jul 2008 (10.15%), 10 Oct 2008 (2.78%), 02 Dec 2008 (-1.14%)
2007512 Feb 2007 (-2.57%), 27 Feb 2007 (-6.35%), 13 Apr 2007 (0.1%), 27 Jul 2007 (1.24%), 16 Aug 2007 (5.53%)
2006306 Jun 2006 (-14.88%), 24 Jul 2006 (9.82%), 20 Nov 2006 (13.4%)
2004125 Oct 2004 (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
atrnil310.1818271655203536.3624873.1367564.43-8992.77-20730.042.771.580.0473322.11
atrtrail25.1197899.7363263741.2711384.7545042.95-5354.16-17114.142.131.490.0371553.96
atrtrail35.6590992.3563263741.2711119.0967564.43-5354.16-17114.142.081.460.031444.32
atrnil26.6911442958253343.116323.8745042.95-8899.03-20730.041.831.390.0361972.91
atrtrail-16.0336343.1363263741.279017.1941058.22-5354.16-17114.141.681.180.015576.88

In the table above, row 1 shows the best exit criterion. Profit factor is 1.58. 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 36.36%, which is not acceptable. Avoid this strategy. Average return per trade is 1.66%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.047, which is low, don't trade solely on the basis of this study. 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:1.58

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20181123 Mar 2018 (-3.0%), 03 May 2018 (-2.85%), 10 May 2018 (-3.24%), 24 May 2018 (12.04%), 28 Jun 2018 (10.39%), 05 Sep 2018 (-3.72%), 18 Sep 2018 (-3.81%), 21 Sep 2018 (-4.5%), 05 Oct 2018 (17.09%), 04 Dec 2018 (-3.24%), 07 Dec 2018 (10.02%)
2015306 May 2015 (-3.72%), 07 May 2015 (-3.83%), 09 Jun 2015 (9.51%)
2014127 Jan 2014 (8.29%)
2013524 Jun 2013 (8.18%), 30 Jul 2013 (-3.85%), 31 Jul 2013 (-4.04%), 21 Nov 2013 (-2.95%), 17 Dec 2013 (-2.58%)
2012816 Jan 2012 (-4.41%), 10 Apr 2012 (-10.37%), 18 May 2012 (-5.12%), 31 May 2012 (13.76%), 17 Jul 2012 (-3.58%), 26 Jul 2012 (11.42%), 25 Oct 2012 (7.39%), 21 Dec 2012 (7.56%)
2011418 Feb 2011 (-2.81%), 25 Feb 2011 (9.56%), 09 Dec 2011 (-3.97%), 13 Dec 2011 (-4.28%)
2009217 Feb 2009 (-3.77%), 03 Mar 2009 (10.65%)
2008617 Mar 2008 (-9.54%), 04 Jun 2008 (-4.62%), 09 Jun 2008 (-4.81%), 01 Jul 2008 (17.05%), 10 Oct 2008 (-7.48%), 02 Dec 2008 (15.18%)
2007812 Feb 2007 (-2.42%), 20 Feb 2007 (-2.99%), 27 Feb 2007 (-2.82%), 28 Feb 2007 (-3.58%), 13 Apr 2007 (-2.6%), 17 Apr 2007 (8.62%), 27 Jul 2007 (-3.63%), 16 Aug 2007 (-3.4%)
2006606 Jun 2006 (-7.7%), 07 Jun 2006 (-8.56%), 08 Jun 2006 (-9.6%), 13 Jun 2006 (33.78%), 24 Jul 2006 (16.64%), 20 Nov 2006 (13.15%)
2004125 Oct 2004 (8.43%)



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