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

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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 and ADX is Trending" 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
19785.0441221953.664412.813866.37-4594.55-9380.230.961.110.0086238.66
24940.5541212051.224798.3213709.91-4791.2-11967.9511.050.004120.5
3-9953.2641221953.665578.2325504.78-6982.86-16624.940.80.92-0.0061-242.76
4-3282.1141212051.227569.4917755.44-8112.07-20731.710.930.98-0.0017-80.05
523312.9541221953.667883.9417458.28-7901.78-23414.6311.160.012568.61
6-11895.7841202148.788208.2720121.21-8383.87-33658.540.980.93-0.0053-290.14
7-40181.241221953.668342.8723315.63-11774.96-28361.280.710.82-0.017-980.03
8-78302.3141212051.227121.617454.55-11392.8-27574.290.630.66-0.034-1909.81
9-83363.7541212051.227066.9818424.24-11588.51-33761.280.610.64-0.035-2033.26
10-64199.0841202148.789176.323076.92-11796.43-47190.380.780.74-0.023-1565.83
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
atrnil26.93-59953.444133129.5516596.9223600.63-8893.98-24843.831.870.78-0.022-1362.58
atrtrail-15.53-44944.8143152834.889189.1742451.62-6527.94-15768.241.410.75-0.021-1045.23
atrtrail34.95-5626843152834.888434.322251.63-6527.94-15768.241.290.69-0.03-1308.56
atrtrail24.61-65959.6944152934.097801.8120292.8-6309.89-15768.241.240.64-0.037-1499.08
atrnil39.65-1143084383518.624761.6335263.47-8925.73-24843.832.770.63-0.039-2658.32

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 29.55%, which is not acceptable. Avoid this strategy. Average return per trade is -0.68%, 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:0.783

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019111 Jul 2019 (-3.21%)
2018417 Jan 2018 (-2.14%), 08 Mar 2018 (-2.96%), 27 Aug 2018 (6.25%), 04 Dec 2018 (6.93%)
2017403 Jan 2017 (-2.92%), 20 Sep 2017 (4.39%), 25 Sep 2017 (-2.58%), 04 Dec 2017 (4.9%)
2016120 Dec 2016 (-2.96%)
2015226 May 2015 (-2.99%), 04 Jun 2015 (-3.22%)
2013220 Mar 2013 (-4.27%), 31 May 2013 (-3.45%)
2011212 Jan 2011 (10.15%), 26 Aug 2011 (-4.32%)
2010223 Feb 2010 (-3.7%), 19 May 2010 (-3.79%)
2008119 Nov 2008 (-12.42%)
2007103 Apr 2007 (-4.07%)
2006227 Apr 2006 (-4.16%), 20 Jul 2006 (-4.31%)
2005303 May 2005 (-4.6%), 24 Nov 2005 (-3.5%), 30 Nov 2005 (-3.4%)
2004331 May 2004 (-7.88%), 25 Jun 2004 (-5.56%), 16 Sep 2004 (-4.57%)
2001120 Jun 2001 (-4.5%)
2000103 Mar 2000 (-7.29%)
1999515 Mar 1999 (11.17%), 21 May 1999 (11.8%), 27 Jul 1999 (-5.61%), 01 Sep 1999 (10.53%), 10 Dec 1999 (-4.28%)
1997210 Nov 1997 (-5.43%), 11 Nov 1997 (11.75%)
1996309 Jan 1996 (-4.77%), 11 Mar 1996 (-5.98%), 29 Nov 1996 (7.42%)
1995412 Jun 1995 (6.47%), 01 Aug 1995 (-3.0%), 12 Oct 1995 (8.05%), 14 Nov 1995 (8.07%)



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