Study: Buy IGL when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy IGL when near 200 SMA and above 200 SMA and ADX is Trending" 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
111088.951064604240.6210247.35-3588.69-7082.371.181.770.0591108.9
2680.121055507498.2311764.71-7362.21-17321.021.021.020.001968.01
317105.811055509742.6416010.61-6321.48-17244.031.541.540.0451710.58
419258.891064608780.8217130.23-8356.51-20400.311.051.580.0451925.89
534947.61082807834.8825124.33-13865.73-25173.210.572.260.0723494.76
623195.3910646011447.5720814.15-11372.51-35719.781.011.510.0372319.54
743179.7910828013092.7846925.19-30781.24-50731.330.431.70.0464317.98
848809.1910737013700.1944026.64-15697.37-34180.140.872.040.0664880.92
935828.3810828010655.0933685.86-24706.15-41493.460.431.730.0493582.84
109828.2310737011495.7528593.81-23547.33-62971.520.491.140.011982.82
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
IGL Performance, X=5, Profit Factor:2.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019229 Jan 2019 (12.56%), 12 Feb 2019 (4.75%)
2015125 Mar 2015 (0.29%)
2011216 Feb 2011 (0.43%), 06 Apr 2011 (1.78%)
2009131 Mar 2009 (-1.28%)
2008124 Jan 2008 (2.51%)
2007228 May 2007 (1.41%), 13 Jun 2007 (7.61%)
2006130 May 2006 (-12.59%)

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
atrtrail24.9297955.57127558.3317913.6539914.91-5488-13546.463.264.570.158162.96
atrnil25.3695663.94117463.6417929.2439914.91-7460.18-13546.462.44.210.158696.72
atrtrail-17.570268.34127558.3313958.3427538.46-5488-13546.462.543.560.135855.7
atrtrail36.9269821.22127558.3313894.4627538.46-5488-13546.462.533.540.135818.43
atrnil316.553604.0210555020680.4426187.7-9959.64-19957.452.082.080.0855360.4
200trail2214133.77136746.155670.696338.34-2841.48-3989.9921.710.0641087.21
200nil2210997.99136746.155670.696338.34-3289.45-3989.991.721.480.048846
200trail32.2310773.4134930.778333.29507.51-2506.6-3989.993.321.480.041828.72
200nil32.428739.24124833.338634.999507.51-3225.09-3989.992.681.340.033728.27
200trail-14564.97134930.775781.0910522.78-2506.6-3989.992.311.030.002543.46

In the table above, row 2 shows the best exit criterion. Profit factor is 4.21. Strategy is very good and impressively bullish. Percentage of profitable trades is 63.64%, which is good. Average return per trade is 4.35%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
IGL Performance, Profit Factor:4.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019229 Jan 2019 (5.38%), 12 Feb 2019 (8.73%)
2015125 Mar 2015 (6.23%)
2011316 Feb 2011 (-2.79%), 21 Feb 2011 (-2.97%), 06 Apr 2011 (-2.38%)
2009131 Mar 2009 (6.77%)
2008124 Jan 2008 (19.96%)
2007228 May 2007 (7.36%), 05 Jun 2007 (8.33%)
2006130 May 2006 (-6.77%)



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