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

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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 and RSI is below 50" 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
1-19683.1634151944.122615.895067.57-3101.13-12508.780.840.67-0.032-578.92
2-35399.28341717503310.68996.87-5392.91-18411.810.610.61-0.037-1041.16
3-39289.1334151944.124877.7812968.3-5918.73-18775.960.820.65-0.034-1155.56
415327.7734151944.127700.7213818.18-5272.79-19939.081.461.150.012450.82
524349.2134191555.886774.123032.41-6957.24-16782.050.971.230.016716.15
6-21915.77341717507261.6319849.54-8550.79-16071.010.850.85-0.014-644.58
7-5775.1534181652.948086.1717579.25-9457.89-28191.30.850.96-0.0033-169.86
8-23971.04341717508526.9715277.78-9937.03-31355.630.860.86-0.013-705.03
9-23916.1634142041.1810608.424310.78-8621.68-30276.881.230.86-0.012-703.42
10-4608.1134161847.069900.0327067.67-9056.03-34016.541.090.97-0.0022-135.53
Although, strategy looks good but profit factor on day 2 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
atrtrail24.2-38172.0844143031.829508.4215667.28-5709.67-14142.951.670.78-0.022-867.55
atrnil26-58594.7538122631.581266816936.71-8100.41-16913.011.560.72-0.031-1541.97
atrtrail34.64-52311.7744143031.828498.4423500.91-5709.67-14142.951.490.69-0.029-1188.9
50nil21.84-50917.1158124620.696540.967875.87-2813.23-3990.952.330.61-0.046-877.88
atrtrail-14.86-71635.444143031.827118.1819222.4-5709.67-14142.951.250.58-0.045-1628.08
50trail21.76-54449.259114818.646613.917875.87-2650.05-3990.952.50.57-0.051-922.87
50nil32.32-61751.165784914.049654.0711452.83-2836.4-3990.953.40.56-0.05-1083.35
atrnil37.97-1360633753213.5121607.525405.06-7628.14-16913.012.830.44-0.072-3677.38
50trail32.05-84939.835875112.07686011452.83-2607.06-3990.952.630.36-0.086-1464.48
50trail-12.26-94947.255765110.536115.9218164.35-2581.23-3990.952.370.28-0.1-1665.74

In the table above, row 1 shows the best exit criterion. Profit factor is 0.78. 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 31.82%, which is not acceptable. Avoid this strategy. Average return per trade is -0.43%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
LICHSGFIN Performance, Profit Factor:0.777

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016204 May 2016 (-2.06%), 13 May 2016 (5.14%)
2014207 Jan 2014 (0.25%), 17 Jan 2014 (6.04%)
2013424 Jun 2013 (-2.92%), 28 Jun 2013 (7.83%), 26 Nov 2013 (-1.32%), 29 Nov 2013 (-0.32%)
2011424 Feb 2011 (-5.56%), 03 May 2011 (0.37%), 10 May 2011 (-3.81%), 20 May 2011 (-3.33%)
2009227 Jan 2009 (-7.07%), 11 Feb 2009 (-5.9%)
2008116 Sep 2008 (-4.33%)
2007107 Feb 2007 (-3.1%)
2006522 Feb 2006 (-1.97%), 28 Feb 2006 (-3.02%), 09 Mar 2006 (5.53%), 20 Nov 2006 (-3.55%), 30 Nov 2006 (5.97%)
2005206 Dec 2005 (-3.23%), 21 Dec 2005 (5.58%)
2004203 Aug 2004 (2.28%), 25 Aug 2004 (-3.21%)
2003503 Jan 2003 (5.47%), 10 Jan 2003 (-3.25%), 30 Jan 2003 (-1.57%), 11 Feb 2003 (-1.1%), 01 Apr 2003 (-3.34%)
2000705 Jan 2000 (-0.37%), 04 Jul 2000 (-3.17%), 18 Jul 2000 (-2.89%), 21 Jul 2000 (5.71%), 27 Jul 2000 (-2.03%), 18 Sep 2000 (-0.8%), 21 Sep 2000 (-0.55%)
1999108 Dec 1999 (1.73%)
1998519 May 1998 (-1.18%), 04 Sep 1998 (-5.04%), 18 Sep 1998 (-2.7%), 24 Sep 1998 (7.56%), 09 Dec 1998 (-2.96%)
1997118 Feb 1997 (7.11%)



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