Study: Sell LICHSGFIN when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell LICHSGFIN when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell LICHSGFIN 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
116902.6262332953.233576.1311691.02-3486.54-8165.141.031.170.013272.62
214997.29623131505788.6625985.8-5304.88-26362.181.091.090.0066241.89
3-8501.3262342854.845547.5422902.26-7039.92-31370.190.790.96-0.0033-137.12
47029.7262382461.295770.4219289.34-8843.59-27724.360.651.030.0026113.38
5-7863.2562372559.685445.3718020.3-8373.68-18028.850.650.96-0.0033-126.83
6-36819.4662323051.616229.3326649.75-7871.93-23036.860.790.84-0.013-593.86
711283.162352756.457372.5721319.8-9139.14-29086.540.811.050.0035181.99
85868.2662332953.238271.9730588.24-9210.58-28009.580.91.020.001694.65
9-26030.2262323051.619526.7427057.18-11029.53-40464.740.860.92-0.0066-419.84
10-87185.64623131509405.824292.85-12218.24-54647.440.770.77-0.02-1406.22

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.17. 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 53.23%, which is not acceptable. Avoid this strategy. Average return per trade is 0.14%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, which is low, don't trade solely on the basis of this study.

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-1116902.6262332953.233576.1311691.02-3486.54-8165.141.031.170.013272.62
atrnil26.27-42468.2864194529.6915537.924481.95-7504.19-12193.712.070.87-0.012-663.57
200nil21.86-27297.1696306631.255666.447726.46-2989.25-3998.651.90.86-0.014-284.35
200trail21.8-29329.2496296730.215430.927726.46-2788.45-3998.651.950.84-0.016-305.51
atrnil39.38-62348.2958124620.6923782.8736722.93-7559.62-12193.713.150.82-0.017-1074.97
200trail32.15-51086.5893217222.586800.4311517.75-2693-3998.652.530.74-0.026-549.32
atrtrail23.91-78144.02802456308992.324481.95-5249.27-11530.911.710.73-0.025-976.8
200nil32.32-75161.1892187419.578068.4511517.75-2978.29-3998.652.710.66-0.037-816.97
atrtrail-14.53-113656802456307512.6442451.62-5249.27-11530.911.430.61-0.036-1420.7
200trail-12.87-82329.3492217122.835152.744754.84-2683.61-3998.651.920.57-0.032-894.88
atrtrail34.22-127195802456306948.5329525.16-5249.27-11530.911.320.57-0.045-1589.93

In the table above, row 1 shows the best exit criterion. Profit factor is 1.17. 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 53.23%, which is not acceptable. Avoid this strategy. Average return per trade is 0.14%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, 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.
LICHSGFIN Performance, X=1, Profit Factor:1.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019404 Jan 2019 (1.79%), 01 Mar 2019 (-2.1%), 08 May 2019 (0.38%), 08 Aug 2019 (-2.3%)
2018324 Jul 2018 (2.2%), 27 Aug 2018 (1.72%), 20 Dec 2018 (3.78%)
2017204 Jan 2017 (-1.19%), 22 Sep 2017 (2.45%)
2016510 Mar 2016 (-0.85%), 21 Apr 2016 (0.94%), 09 May 2016 (0.51%), 27 May 2016 (-1.39%), 21 Nov 2016 (-3.47%)
2015403 Jun 2015 (0.26%), 27 Aug 2015 (1.43%), 21 Sep 2015 (3.06%), 09 Dec 2015 (-2.46%)
2013431 May 2013 (-0.98%), 20 Jun 2013 (-0.53%), 01 Nov 2013 (0.4%), 27 Dec 2013 (0.12%)
2012602 Jan 2012 (-4.08%), 22 May 2012 (-0.21%), 26 Jul 2012 (-1.71%), 27 Aug 2012 (-0.48%), 12 Sep 2012 (0.57%), 06 Nov 2012 (-0.67%)
2011713 May 2011 (2.38%), 12 Jul 2011 (-0.57%), 26 Jul 2011 (0.3%), 10 Aug 2011 (1.43%), 29 Aug 2011 (-2.42%), 14 Sep 2011 (-1.86%), 24 Nov 2011 (0.58%)
2010124 Nov 2010 (1.53%)
2009106 Apr 2009 (-0.42%)
2008112 Sep 2008 (3.94%)
2007101 Feb 2007 (0.24%)
2006227 Oct 2006 (-4.0%), 16 Nov 2006 (2.81%)
2005230 Jun 2005 (-3.46%), 01 Aug 2005 (-1.41%)
2003127 Feb 2003 (-2.81%)
2001220 Mar 2001 (1.51%), 17 Sep 2001 (-2.18%)
2000103 Nov 2000 (-0.36%)
1999519 Mar 1999 (-1.07%), 05 Apr 1999 (-2.29%), 31 May 1999 (2.41%), 22 Jun 1999 (0.41%), 22 Sep 1999 (5.71%)
1998317 Aug 1998 (2.59%), 01 Sep 1998 (-1.23%), 16 Sep 1998 (0.99%)
1997502 Jan 1997 (1.75%), 03 Feb 1997 (1.29%), 03 Apr 1997 (-1.22%), 24 Jun 1997 (2.02%), 18 Sep 1997 (-2.83%)
1996215 Jan 1996 (1.67%), 19 Mar 1996 (5.85%)



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