Study: Buy LICHSGFIN when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy LICHSGFIN when above 200 SMA and near 50 SMA and above 50 SMA" 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
18290573423157.533952.7818750-2681.02-9248.551.4720.0491135.68
255699.5473413256.165179.0240524.19-4895.01-20184.261.061.360.02763.01
378614.6873442960.275307.441558.44-5341.76-19879.660.991.510.0281076.91
449285.1673442960.275936.7328571.43-7307.97-28303.250.811.230.016675.14
536304.7473393453.427867.4831168.83-7956.67-32154.030.991.130.0098497.33
654665.6973413256.169207.1533766.23-10088.36-29479.770.911.170.012748.85
739369.8573393453.429804.7435664.34-10088.68-42943.550.971.110.0082539.31
8-40018.9273373650.6810248.0646386.95-11644.36-47379.030.880.9-0.0075-548.2
9-10642473353847.9510940.2238228.44-12877.16-562500.850.78-0.019-1457.87
10-14288773334045.2112564.3352375.92-13937.76-69735.20.90.74-0.022-1957.36

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2. 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 57.53%, which is not acceptable. Avoid this strategy. Average return per trade is 0.57%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.049, 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-118290573423157.533952.7818750-2681.02-9248.551.4720.0491135.68
atrnil39.2617869270234732.8623223.4539531.09-7562.7-14964.213.071.50.0342552.75
atrtrail35.2712951986355140.711643.1237101.58-5450.79-12254.942.141.470.0281506.03
atrnil26.8815259676314540.7915641.8529928.42-7384.47-12254.942.121.460.0342007.84
atrtrail24.7690443.9187365141.3810237.7929928.42-5453.27-12254.941.881.330.0221039.59
50trail-13.1267330.75112328028.578658.0530345.04-2621.59-3984.493.31.320.018601.17
atrtrail-15.884026.7286355140.710343.3444132.25-5450.79-12254.941.91.30.019977.05
50trail32.3149984.62112337929.467837.7911990.84-2641.3-3984.492.971.240.017446.29
50nil32.6249742.45108297926.859959.2211990.84-3026.26-3984.493.291.210.016460.58
50trail21.8623803.62115367931.36515.867993.89-2667.94-3984.492.441.110.0097206.99
50nil22.028181.2112367632.146577.757993.89-3008.13-3984.492.191.040.003373.05

In the table above, row 1 shows the best exit criterion. Profit factor is 2. 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 57.53%, which is not acceptable. Avoid this strategy. Average return per trade is 0.57%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.049, 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:2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019224 Apr 2019 (-1.77%), 12 Jul 2019 (0.36%)
2017416 Jan 2017 (-1.69%), 14 Feb 2017 (0.44%), 21 Jul 2017 (0.43%), 09 Oct 2017 (-0.44%)
2016525 Jan 2016 (-0.44%), 30 May 2016 (0.51%), 28 Oct 2016 (0.97%), 05 Dec 2016 (-0.63%), 29 Dec 2016 (0.56%)
2015806 Feb 2015 (-0.86%), 10 Mar 2015 (-0.82%), 15 Apr 2015 (-2.54%), 20 Aug 2015 (-2.34%), 01 Oct 2015 (4.35%), 05 Nov 2015 (1.96%), 20 Nov 2015 (-0.01%), 16 Dec 2015 (1.32%)
2014209 Jul 2014 (3.17%), 08 Oct 2014 (3.53%)
20121006 Jan 2012 (0.29%), 20 Mar 2012 (5.33%), 09 Apr 2012 (1.02%), 30 Apr 2012 (-0.38%), 15 Jun 2012 (-0.83%), 30 Jul 2012 (2.52%), 14 Sep 2012 (4.07%), 15 Oct 2012 (-0.18%), 07 Nov 2012 (-1.17%), 29 Nov 2012 (2.98%)
2011623 Jun 2011 (2.57%), 07 Jul 2011 (-2.89%), 05 Sep 2011 (0.85%), 30 Sep 2011 (1.61%), 14 Nov 2011 (-2.02%), 22 Dec 2011 (0.97%)
2010507 Jan 2010 (0.77%), 10 Mar 2010 (3.23%), 02 Jul 2010 (0.99%), 19 Oct 2010 (0.03%), 08 Nov 2010 (3.85%)
2009210 Aug 2009 (-1.15%), 09 Dec 2009 (-0.29%)
2008308 Jan 2008 (-0.1%), 10 Apr 2008 (1.85%), 06 Jun 2008 (-4.07%)
2006115 May 2006 (-3.54%)
2005406 Apr 2005 (0.06%), 29 Apr 2005 (-1.48%), 07 Jun 2005 (1.13%), 14 Jul 2005 (-0.85%)
2004207 Apr 2004 (1.39%), 22 Apr 2004 (0.29%)
2002610 Jan 2002 (0.12%), 19 Apr 2002 (-0.49%), 29 May 2002 (0.48%), 15 Jul 2002 (-0.72%), 23 Sep 2002 (-1.22%), 10 Oct 2002 (-1.85%)
2001601 Feb 2001 (0.15%), 02 Mar 2001 (-4.62%), 18 Apr 2001 (-1.04%), 21 Jun 2001 (-1.11%), 14 Aug 2001 (0.54%), 11 Oct 2001 (0.0%)
1999306 May 1999 (3.51%), 24 May 1999 (2.08%), 06 Aug 1999 (1.11%)
1998102 Jun 1998 (9.37%)
1997209 Jul 1997 (5.6%), 11 Sep 1997 (0.61%)
1996126 Jun 1996 (6.02%)



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