Study: Sell LICHSGFIN when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell LICHSGFIN when RSI is below 50 and there is Bearish Crossover in MACD" 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
1-13696.43115575849.573604.9917564.4-3778.98-9380.230.950.94-0.005-119.1
2-5393.52115536246.095382.8222716.63-4688.44-11967.951.150.98-0.0015-46.9
3-6036.27115595651.35576.9733021.08-5983.52-16624.940.930.98-0.0014-52.49
41626.29115585750.436969.0333021.08-7062.76-20731.710.9910.0003114.14
5-2961.47115595651.37029.6521313.71-7459.13-23414.630.940.99-0.00056-25.75
6-7360.58115556047.838022.8828805.62-7476.98-33658.541.070.98-0.0013-64.01
716596.93115605552.179139.6639224.82-9668.78-28361.280.951.030.0024144.32
8-8648.28115575849.579626.0442622.95-9609.18-35103.2410.98-0.0012-75.2
930057.99115625353.9110006.1960114.17-11138.22-53982.30.91.050.0037261.37
1055200.08115625353.9111513.1157635.39-12426.66-74336.280.931.080.006480
Although, strategy looks good but profit factor on day 1 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
atrnil26.92107332119457437.8215824.7641096.51-8172.73-24843.831.941.180.015901.95
atrtrail-15.7431928.99121477438.8410295.5248241.86-6107.58-15768.241.691.070.0051263.88
atrtrail35.159377.43121477438.849815.728620.55-6107.58-15768.241.611.020.001777.5
atrtrail24.65-82.27123487539.029434.9728160.28-6039.48-15768.241.561-1.5e-05-0.67
atrnil312.68-39226.56108288025.9322510.1839713.65-8368.89-24843.832.690.94-0.0052-363.21

In the table above, row 1 shows the best exit criterion. Profit factor is 1.18. 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 37.82%, which is not acceptable. Avoid this strategy. Average return per trade is 0.45%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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:1.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019111 Jul 2019 (-3.21%)
2018717 Jan 2018 (-2.14%), 29 Jan 2018 (4.8%), 08 Mar 2018 (-2.96%), 20 Apr 2018 (-2.72%), 27 Jun 2018 (-2.43%), 27 Aug 2018 (6.25%), 04 Dec 2018 (6.93%)
2017803 Jan 2017 (-2.92%), 20 Jan 2017 (-2.61%), 14 Feb 2017 (-2.35%), 02 Mar 2017 (-2.03%), 20 Sep 2017 (4.39%), 25 Sep 2017 (-2.58%), 25 Oct 2017 (5.48%), 04 Dec 2017 (4.9%)
2016407 Jan 2016 (-2.54%), 20 May 2016 (-2.6%), 26 Oct 2016 (5.74%), 20 Dec 2016 (-2.96%)
2015610 Mar 2015 (6.75%), 21 Apr 2015 (6.31%), 26 May 2015 (-2.99%), 04 Jun 2015 (-3.22%), 12 Aug 2015 (-3.36%), 04 Dec 2015 (-2.75%)
2014308 Jan 2014 (6.05%), 16 Sep 2014 (-2.88%), 08 Oct 2014 (-3.23%)
2013320 Mar 2013 (-4.27%), 31 May 2013 (-3.45%), 11 Nov 2013 (-4.06%)
2012502 Jan 2012 (-3.7%), 20 Apr 2012 (7.04%), 08 Aug 2012 (6.21%), 10 Oct 2012 (7.91%), 19 Nov 2012 (-2.75%)
2011812 Jan 2011 (10.15%), 07 Jul 2011 (6.82%), 26 Aug 2011 (-4.32%), 14 Sep 2011 (-3.99%), 23 Sep 2011 (-3.73%), 21 Oct 2011 (-4.17%), 14 Nov 2011 (-4.85%), 13 Dec 2011 (-4.22%)
2010522 Jan 2010 (5.84%), 23 Feb 2010 (-3.7%), 19 May 2010 (-3.79%), 01 Jul 2010 (-2.86%), 12 Nov 2010 (6.92%)
2009221 Jan 2009 (13.24%), 18 Feb 2009 (-6.24%)
2008210 Mar 2008 (-7.04%), 19 Nov 2008 (-12.42%)
2007207 Feb 2007 (-3.1%), 03 Apr 2007 (-4.07%)
2006602 Feb 2006 (-2.78%), 23 Feb 2006 (-2.87%), 08 Mar 2006 (5.6%), 27 Apr 2006 (-4.16%), 20 Jul 2006 (-4.31%), 12 Sep 2006 (-3.14%)
2005903 May 2005 (-4.6%), 17 Jun 2005 (7.23%), 29 Jul 2005 (-4.52%), 19 Aug 2005 (-3.94%), 22 Sep 2005 (-3.73%), 07 Oct 2005 (6.33%), 24 Nov 2005 (-3.5%), 30 Nov 2005 (-3.4%), 20 Dec 2005 (5.71%)
2004616 Mar 2004 (9.54%), 22 Apr 2004 (7.7%), 31 May 2004 (-7.88%), 25 Jun 2004 (-5.56%), 03 Aug 2004 (-4.12%), 16 Sep 2004 (-4.57%)
2003428 Jan 2003 (-3.77%), 10 Mar 2003 (-3.07%), 01 Apr 2003 (-3.34%), 20 Nov 2003 (-5.65%)
2002306 May 2002 (7.73%), 17 Sep 2002 (-3.06%), 08 Oct 2002 (5.41%)
2001120 Jun 2001 (-4.5%)
2000511 Jan 2000 (8.32%), 03 Mar 2000 (-7.29%), 17 Apr 2000 (14.08%), 18 Jul 2000 (-2.89%), 15 Sep 2000 (5.36%)
1999815 Mar 1999 (11.17%), 26 Apr 1999 (-6.1%), 21 May 1999 (11.8%), 27 Jul 1999 (-5.61%), 01 Sep 1999 (10.53%), 01 Nov 1999 (-5.43%), 02 Nov 1999 (-5.47%), 10 Dec 1999 (-4.28%)
1998522 Jan 1998 (8.91%), 10 Jun 1998 (20.55%), 03 Sep 1998 (-5.2%), 28 Nov 1998 (7.64%), 30 Nov 1998 (-4.22%)
1997525 Mar 1997 (8.12%), 23 May 1997 (7.5%), 08 Aug 1997 (9.47%), 10 Nov 1997 (-5.43%), 11 Nov 1997 (11.75%)
1996609 Jan 1996 (-4.77%), 11 Mar 1996 (-5.98%), 25 Jun 1996 (-6.51%), 30 Jul 1996 (-4.52%), 07 Oct 1996 (7.11%), 29 Nov 1996 (7.42%)
1995530 May 1995 (7.34%), 01 Aug 1995 (-3.0%), 03 Aug 1995 (5.9%), 12 Oct 1995 (8.05%), 14 Nov 1995 (8.07%)



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