Study: Sell LICHSGFIN when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell LICHSGFIN when below 200 SMA and near 50 SMA and below 50 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
1-19261.3661313050.822770.956448.7-3505.36-12508.780.790.82-0.016-315.76
2-72305.7761303149.183380.798996.87-5604.18-18411.810.60.58-0.043-1185.34
3-10471861263542.624526.9511397.62-6354.82-19261.640.710.53-0.049-1716.69
4-21490.4461243739.347556.1814571.43-5482.13-22543.511.380.89-0.009-352.3
532585.1661303149.187749.1223032.41-6448.02-16782.051.21.160.012534.18
6-39916.4561273444.267862.9420401.72-7418.11-16071.011.060.84-0.015-654.37
7-17202.2161283345.98443.6920571.43-7685.62-28191.31.10.93-0.0058-282
8-37192.9561273444.269162.0324261.03-8369.64-31355.631.090.87-0.012-609.72
9-50165.961233837.710468.2124310.78-7656.18-30276.881.370.83-0.015-822.39
10-4800.1161263542.6210363.6127067.67-7835.83-34016.541.320.98-0.0014-78.69
Although, strategy looks good but profit factor on day 3 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
50nil32.28-83586.6797178017.538734.0311452.83-2900.81-3990.953.010.64-0.039-861.72
50nil21.85-79452.5698237523.475971.947875.87-2890.76-3990.952.070.63-0.043-810.74
atrtrail34.42-1226097619572510090.223500.91-5514.43-14142.951.830.61-0.04-1613.27
50trail21.76-81183.071002179215974.977875.87-2615.92-3990.952.280.61-0.046-811.83
atrtrail24.11-130739761957259662.2815667.28-5514.43-14142.951.750.58-0.047-1720.25
atrnil25.62-1793346817512512789.5819888.96-7779.55-18084.891.640.55-0.057-2637.27
atrtrail-14.82-156011761957258332.1719222.4-5514.43-14142.951.510.5-0.058-2052.78
atrnil37.03-21614864105415.6219991.6529833.44-7704.9-18084.892.590.48-0.065-3377.32
50trail32.03-11231699158415.156784.0811452.83-2548.54-3990.952.660.48-0.064-1134.5
50trail-12.38-12452598148414.296302.4819810.54-2532.86-3990.952.490.41-0.067-1270.66

In the table above, row 1 shows the best exit criterion. Profit factor is 0.64. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
LICHSGFIN Performance, Profit Factor:0.64

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 Feb 2019 (-1.92%), 26 Feb 2019 (-1.76%)
2018309 Jan 2018 (3.34%), 24 Jan 2018 (4.2%), 22 Mar 2018 (-1.49%)
2016404 May 2016 (-1.87%), 13 May 2016 (-1.74%), 17 May 2016 (4.22%), 27 May 2016 (-1.34%)
2014407 Jan 2014 (-1.89%), 17 Jan 2014 (-1.48%), 19 Feb 2014 (-1.55%), 03 Mar 2014 (-1.44%)
20131022 Apr 2013 (-1.83%), 24 Jun 2013 (-1.6%), 28 Jun 2013 (-1.82%), 01 Jul 2013 (5.73%), 16 Sep 2013 (-1.13%), 26 Nov 2013 (3.29%), 28 Nov 2013 (-1.75%), 29 Nov 2013 (-1.28%), 02 Dec 2013 (4.51%), 20 Dec 2013 (-1.43%)
2012106 Nov 2012 (4.61%)
2011424 Feb 2011 (-1.35%), 03 May 2011 (-1.97%), 10 May 2011 (-1.67%), 20 May 2011 (-1.22%)
2009327 Jan 2009 (-1.31%), 11 Feb 2009 (-1.4%), 12 Feb 2009 (-1.54%)
2008216 Sep 2008 (-1.14%), 11 Dec 2008 (3.43%)
2007316 Jan 2007 (-1.48%), 07 Feb 2007 (-1.3%), 20 Apr 2007 (-1.94%)
2006906 Feb 2006 (-1.56%), 22 Feb 2006 (-1.52%), 28 Feb 2006 (-1.12%), 09 Mar 2006 (5.67%), 10 Aug 2006 (-1.91%), 20 Nov 2006 (-1.62%), 22 Nov 2006 (-1.05%), 30 Nov 2006 (-1.14%), 05 Dec 2006 (4.3%)
2005815 Sep 2005 (-1.42%), 20 Sep 2005 (3.64%), 04 Oct 2005 (5.23%), 02 Nov 2005 (-1.63%), 06 Dec 2005 (-1.39%), 08 Dec 2005 (-1.01%), 21 Dec 2005 (-1.0%), 22 Dec 2005 (5.46%)
2004514 Jul 2004 (-1.78%), 03 Aug 2004 (-1.05%), 10 Aug 2004 (-1.09%), 25 Aug 2004 (-1.92%), 26 Aug 2004 (-1.59%)
2003603 Jan 2003 (-1.27%), 06 Jan 2003 (-1.1%), 10 Jan 2003 (-1.49%), 30 Jan 2003 (-1.55%), 11 Feb 2003 (-1.28%), 01 Apr 2003 (-1.7%)
2002302 Dec 2002 (-1.63%), 16 Dec 2002 (-1.29%), 17 Dec 2002 (-1.19%)
20001705 Jan 2000 (-1.35%), 10 Jan 2000 (-1.6%), 06 Apr 2000 (-1.62%), 05 Jun 2000 (-1.21%), 04 Jul 2000 (-1.11%), 18 Jul 2000 (-1.32%), 21 Jul 2000 (-1.37%), 27 Jul 2000 (-1.13%), 04 Aug 2000 (-1.29%), 07 Aug 2000 (-1.7%), 11 Aug 2000 (-1.27%), 14 Aug 2000 (-1.24%), 17 Aug 2000 (-1.09%), 18 Sep 2000 (-1.3%), 21 Sep 2000 (4.55%), 20 Oct 2000 (-1.65%), 31 Oct 2000 (-1.25%)
1999108 Dec 1999 (5.12%)
19981005 Jan 1998 (3.79%), 08 Jan 1998 (3.16%), 19 May 1998 (-1.71%), 12 Aug 1998 (-1.44%), 04 Sep 1998 (-1.88%), 18 Sep 1998 (-1.1%), 21 Sep 1998 (-1.08%), 24 Sep 1998 (-1.17%), 25 Sep 1998 (-1.61%), 09 Dec 1998 (-2.0%)
1997218 Feb 1997 (-1.09%), 28 Feb 1997 (-1.51%)



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