Study: Sell IGL when RSI is above 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell IGL when RSI is above 50 and there is Bearish Crossover in MACD" 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
1-15942.2480423852.52230.9113120.44-2885.27-9638.550.770.85-0.015-199.28
2-35547.6680384247.53343.1416105.52-3871.12-11492.420.860.78-0.024-444.35
3-80507.9680314938.754606.4122214.51-4557.28-14042.731.010.64-0.042-1006.35
4-14013580314938.754291.6916799.72-5575.05-19974.390.770.49-0.068-1751.69
5-139547803248404489.6214857.14-5900.31-24339.270.760.51-0.063-1744.34
6-20878280354543.755371.8721047.62-8817.72-66256.910.610.47-0.06-2609.78
7-26533980354543.756017.2919809.52-10576.54-66994.470.570.44-0.068-3316.74
8-235188803644456681.323931.32-10811.71-48432.70.620.51-0.061-2939.85
9-293712803644456017.2722666.67-11598.5-47572.220.520.42-0.075-3671.4
10-32238780344642.56390.3726032.63-11731.73-59987.710.540.4-0.08-4029.84

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.85. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 52.5%, which is not acceptable. Avoid this strategy. Average return per trade is -0.1%, we advise you not to use this strategy.

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
nilnil-11-15942.2480423852.52230.9113120.44-2885.27-9638.550.770.85-0.015-199.28
atrnil26.46-19385889216823.613821.9724669.13-7119.41-14208.411.940.6-0.06-2178.18
atrtrail24.51-203990901872209031.1324669.13-5090.98-13886.581.770.44-0.083-2266.56
atrtrail34.89-22192790177318.898847.526017.5-5100.47-13886.581.730.4-0.09-2465.85
atrnil38.61-33472589117812.3620081.326017.5-7123.32-14208.412.820.4-0.1-3760.95
atrtrail-15.12-26434690177318.896352.2616070.72-5100.47-13886.581.250.29-0.13-2937.17

In the table above, row 1 shows the best exit criterion. Profit factor is 0.85. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 52.5%, which is not acceptable. Avoid this strategy. Average return per trade is -0.1%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
IGL Performance, X=1, Profit Factor:0.855

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019614 Mar 2019 (0.1%), 02 Apr 2019 (-0.87%), 24 Apr 2019 (-0.34%), 14 Jun 2019 (0.61%), 12 Sep 2019 (-0.8%), 23 Oct 2019 (-2.78%)
2018204 Jan 2018 (-0.24%), 19 Nov 2018 (0.19%)
2017713 Jan 2017 (1.18%), 23 Feb 2017 (-0.33%), 04 May 2017 (2.09%), 24 Aug 2017 (0.73%), 26 Sep 2017 (1.8%), 01 Nov 2017 (0.72%), 13 Dec 2017 (0.81%)
2016618 Jan 2016 (-0.06%), 03 May 2016 (-0.19%), 19 May 2016 (0.9%), 05 Jul 2016 (1.33%), 09 Sep 2016 (1.73%), 26 Oct 2016 (1.64%)
2015408 Jan 2015 (0.69%), 30 Jan 2015 (0.12%), 27 Jul 2015 (-1.33%), 12 Aug 2015 (-0.78%)
2014807 Apr 2014 (0.03%), 29 May 2014 (-2.86%), 13 Jun 2014 (-1.91%), 10 Jul 2014 (1.1%), 06 Aug 2014 (1.8%), 26 Aug 2014 (-2.23%), 25 Sep 2014 (-2.71%), 24 Nov 2014 (-0.8%)
2013530 Jan 2013 (0.13%), 01 Mar 2013 (0.52%), 10 May 2013 (-0.03%), 25 Jul 2013 (-0.7%), 25 Oct 2013 (1.57%)
2012311 Jul 2012 (0.67%), 08 Oct 2012 (0.88%), 11 Dec 2012 (0.97%)
2011603 May 2011 (-1.93%), 03 Jun 2011 (-0.5%), 12 Jul 2011 (-3.06%), 08 Aug 2011 (-0.84%), 29 Aug 2011 (-2.43%), 14 Sep 2011 (0.77%)
2010919 Jan 2010 (2.11%), 15 Feb 2010 (-1.25%), 17 Mar 2010 (0.36%), 27 Apr 2010 (-1.76%), 21 Jul 2010 (-0.46%), 05 Aug 2010 (-0.34%), 09 Sep 2010 (-0.46%), 08 Nov 2010 (1.64%), 13 Dec 2010 (0.05%)
2009412 May 2009 (1.54%), 02 Jun 2009 (-2.86%), 17 Jun 2009 (4.12%), 03 Sep 2009 (0.19%)
2008117 Sep 2008 (0.56%)
2007516 Jan 2007 (0.67%), 07 Jun 2007 (-2.42%), 27 Jun 2007 (0.5%), 13 Sep 2007 (-3.51%), 29 Nov 2007 (-4.82%)
2006416 Feb 2006 (1.07%), 17 Apr 2006 (-0.75%), 17 May 2006 (6.56%), 04 Sep 2006 (-2.32%)
2005615 Feb 2005 (1.83%), 15 Mar 2005 (-0.0%), 09 Aug 2005 (-1.13%), 02 Sep 2005 (-1.79%), 06 Dec 2005 (0.5%), 21 Dec 2005 (0.04%)
2004404 Aug 2004 (-0.71%), 17 Sep 2004 (0.53%), 12 Oct 2004 (1.49%), 24 Dec 2004 (-2.52%)



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