Study: Buy IGL when near 200 SMA and above 200 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy IGL when near 200 SMA and above 200 SMA and RSI is above 50" 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
18015.531912763.162424.6910247.35-3011.53-5777.780.811.380.03421.87
225181.581911857.894425.7612707.31-2937.73-10510.951.512.070.0651325.35
34606.961910952.635087.2816010.61-5140.65-15109.490.991.10.0092242.47
4-989.391910952.634993.1813091.55-5657.91-19481.480.880.98-0.0018-52.07
5-2060.311991047.376501.8615214.51-6057.7-23851.851.070.97-0.0031-108.44
61979.791981142.118616.2920079.61-6086.41-22814.811.421.030.0027104.2
7-7026.211910952.635533.9914683.77-6929.57-19703.70.80.89-0.012-369.8
8-1479.421991047.376297.9414772.22-5816.09-14740.741.080.97-0.0027-77.86
9-7710.111991047.377881.8218855.47-7864.65-16074.0710.9-0.011-405.8
10-39267.391991047.377089.4513887.66-10307.24-27934.580.690.62-0.05-2066.7
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:2.07

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Jan 2019 (0.98%)
2018225 Jul 2018 (0.12%), 01 Nov 2018 (1.7%)
2015129 Jun 2015 (6.35%)
2014112 Mar 2014 (0.18%)
2013426 Aug 2013 (-5.26%), 12 Sep 2013 (-1.68%), 01 Oct 2013 (0.87%), 29 Nov 2013 (0.81%)
2012203 Jan 2012 (2.74%), 30 Nov 2012 (-0.36%)
2011106 Apr 2011 (-1.37%)
2009131 Mar 2009 (-0.91%)
2008128 Mar 2008 (-1.52%)
2007403 Jan 2007 (1.74%), 29 Jan 2007 (-0.38%), 28 May 2007 (2.96%), 13 Jun 2007 (5.88%)
2006111 Oct 2006 (-0.28%)

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
atrtrail25.4331053.4123101343.489810.3916654.96-5157.73-14602.251.91.460.041350.15
atrtrail36.5224997.8623101343.489204.8420306.63-5157.73-14602.251.781.370.0311086.86
atrnil21025985.591881044.4412767.5616654.96-7615.49-14602.251.681.340.0351443.64
200nil22.2417962.3634142041.185644.847415.5-3053.27-3954.221.851.290.031528.3
200trail22.1815576.734132138.245685.397415.5-2777.78-3954.222.051.270.028458.14
200trail32.5510750.8533102330.37192.5111123.25-2659.75-3954.222.71.180.017325.78
200nil33.036106.452982127.598668.7811123.25-3011.61-3892.232.881.10.01210.57
atrnil313.716131.11751229.4118754.3222079.47-7303.37-14602.252.571.070.0075360.65
atrtrail-16.874512.2323101343.487156.2818488.67-5157.73-14602.251.391.070.0066196.18
200trail-13.84-14956.2332824255708.3510522.78-2525.96-3954.222.260.75-0.029-467.38

In the table above, row 1 shows the best exit criterion. Profit factor is 1.46. 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 43.48%, which is not acceptable. Avoid this strategy. Average return per trade is 0.68%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, 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:1.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019201 Jan 2019 (-0.15%), 08 Jan 2019 (5.0%)
2018225 Jul 2018 (6.07%), 01 Nov 2018 (-2.74%)
2015129 Jun 2015 (6.05%)
2014112 Mar 2014 (5.88%)
2013426 Aug 2013 (-4.13%), 12 Sep 2013 (0.58%), 01 Oct 2013 (2.58%), 29 Nov 2013 (-1.45%)
2012303 Jan 2012 (-0.6%), 11 Jan 2012 (-3.05%), 30 Nov 2012 (-2.51%)
2011206 Apr 2011 (-1.22%), 18 Apr 2011 (0.44%)
2009131 Mar 2009 (6.77%)
2008128 Mar 2008 (-7.3%)
2007403 Jan 2007 (-2.02%), 29 Jan 2007 (-2.58%), 28 May 2007 (7.36%), 05 Jun 2007 (8.33%)
2006211 Oct 2006 (-2.74%), 12 Oct 2006 (-3.03%)



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