Study: Buy LICHSGFIN when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy LICHSGFIN when near 200 SMA and above 200 SMA and above 50 SMA and above 20 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 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. 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
17209.1724111345.835665.3125413.92-4239.17-15283.271.341.130.0082300.38
2-5542.3224111345.837253.0230400.96-6563.5-29249.011.110.94-0.0046-230.93
3-20135.124111345.838652.1226770.4-8869.88-42687.750.980.83-0.014-838.96
4-27599.92241212507881.3917115.5-10181.38-35309.620.770.77-0.021-1150
5-40956.9524131154.177035.7322102.53-12038.32-46376.810.580.69-0.027-1706.54
6-25012.6724111345.8310583.7728126.87-10879.55-45849.80.970.82-0.015-1042.19
7-39156.5924131154.178498.5121224.82-13603.38-56653.490.620.74-0.022-1631.52
8-22750.782412125010543.6839457.41-12439.58-56126.480.850.85-0.011-947.95
9-11021.362412125012712.5853580.69-13631.03-56653.490.930.93-0.0048-459.22
1028008.452412125014932.7175244.36-12598.67-54545.451.191.190.0111167.02
Although, strategy looks good but profit factor on day 5 is less than minimum accepted value so avoid this, see below for further analysis.

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
200trail32.1357522.231151648.396894.9310838.83-2868.86-3955.342.42.250.071855.55
200trail21.6848473.331161551.615712.497355.86-2861.77-3955.3422.130.0721563.65
200nil21.7450798.0731161551.616043.337355.86-3059.68-3955.341.982.110.0721638.65
200nil32.4559893.531131841.948892.4211026.1-3094.89-3955.342.872.080.0661932.05
200trail-13.6336471.54301218407137.2925274.45-2731.99-3955.342.611.740.0351215.72
atrtrail-16.2338478.7426111542.3111632.331287.62-5965.1-10658.861.951.430.0271479.95
atrtrail35.4236558.8326111542.3111457.7630419.34-5965.1-10658.861.921.410.0261406.11
atrtrail24.9216751.1826111542.319657.0720279.56-5965.1-10658.861.621.190.015644.28
atrnil39.39-24593.982351821.7422188.4830419.34-7529.8-12327.452.950.82-0.017-1069.3
atrnil27.68-33906.11257182814441.920279.56-7499.97-12327.451.930.75-0.027-1356.24

In the table above, row 1 shows the best exit criterion. Profit factor is 2.25. 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 48.39%, which is not acceptable. Avoid this strategy. Average return per trade is 0.93%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.07, 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, Profit Factor:2.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019217 Jan 2019 (-1.67%), 28 Feb 2019 (3.41%)
2018103 Aug 2018 (4.55%)
2016409 Mar 2016 (-1.58%), 18 Mar 2016 (1.03%), 05 Apr 2016 (1.52%), 12 May 2016 (-1.8%)
2013305 Nov 2013 (-1.58%), 18 Nov 2013 (-1.98%), 31 Dec 2013 (-1.0%)
2012107 Nov 2012 (-1.01%)
2011328 Mar 2011 (4.5%), 11 Apr 2011 (-1.13%), 27 May 2011 (3.21%)
2009108 Apr 2009 (3.81%)
2008228 Jul 2008 (-1.35%), 30 Jul 2008 (4.43%)
2007109 Feb 2007 (-1.25%)
2006206 Nov 2006 (-1.49%), 14 Nov 2006 (-1.06%)
2003104 Apr 2003 (0.77%)
2000129 Feb 2000 (-1.74%)
1999305 Jan 1999 (4.15%), 06 Jan 1999 (4.39%), 18 Jan 1999 (0.47%)
1998413 Aug 1998 (-1.48%), 25 Aug 1998 (4.8%), 28 Aug 1998 (5.42%), 15 Sep 1998 (-1.1%)
1997101 Jan 1997 (-1.73%)
1996101 Apr 1996 (5.26%)



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