Study: Buy LICHSGFIN when RSI is above 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy LICHSGFIN when RSI is above 50 and there is Bullish Crossover in MACD" 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
125503.07126557143.654864.7815752.26-3409.29-12629.251.431.110.0076202.41
218760.08126557143.656660.9426041.67-4895.66-18685.381.361.050.004148.89
3123673126685853.977758.3148541.67-6963.65-22408.841.111.310.019981.53
4196762126705655.569040.0767533.92-7786.48-27685.951.161.450.0261561.61
5316566126715556.3510675.3465303.85-8025.15-26725.41.331.720.0392512.42
6258071126685853.9711449.9364263.15-8974.56-30914.311.281.50.032048.18
7271953126656151.5913336.8953617.33-9753.2-25652.621.371.460.0292158.36
8333110126725457.1413720.8764709.16-12125.8-37708.331.131.510.0322643.73
9276417126675953.1715436.0965736.32-12844.09-45764.731.21.360.0242193.78
10256899126675953.1714679.1364928.39-12315.29-52949.641.191.350.0232038.88
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
atrnil37.82537419129517839.5322733.7544669.38-7974.38-19198.862.851.860.0534166.04
atrtrail34.76306510139588141.7314110.544669.38-6319.74-19198.862.231.60.0352205.11
atrnil25.13356524140657546.4314672.1129779.59-7962.18-19198.861.841.60.0432546.6
atrtrail-15.5256666138578141.313483.657391.09-6319.74-19198.862.131.50.0291859.9
atrtrail24.15257263144638143.7512336.7829779.59-6419.18-19198.861.921.490.0351786.55

In the table above, row 1 shows the best exit criterion. Profit factor is 1.86. 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 39.53%, which is not acceptable. Avoid this strategy. Average return per trade is 2.08%, which is very good. Sharpe Ratio is 0.053, 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:1.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019321 Feb 2019 (9.55%), 17 May 2019 (8.85%), 27 Jun 2019 (-2.46%)
2018522 Jan 2018 (-2.2%), 14 Mar 2018 (8.39%), 10 Jul 2018 (7.99%), 23 Aug 2018 (-2.42%), 14 Dec 2018 (-3.58%)
2017316 Jan 2017 (-2.52%), 25 Jan 2017 (7.46%), 31 May 2017 (6.88%)
2016701 Mar 2016 (11.6%), 12 May 2016 (-2.48%), 27 May 2016 (7.68%), 12 Aug 2016 (-2.56%), 04 Oct 2016 (-2.93%), 18 Oct 2016 (-2.99%), 30 Dec 2016 (-2.49%)
2015602 Jan 2015 (-3.38%), 25 Feb 2015 (-3.02%), 17 Jun 2015 (9.01%), 13 Jul 2015 (8.47%), 27 Nov 2015 (-2.68%), 16 Dec 2015 (-2.59%)
2014822 Jan 2014 (-2.7%), 28 Mar 2014 (-2.67%), 31 Mar 2014 (8.59%), 13 May 2014 (9.79%), 19 Aug 2014 (9.12%), 01 Oct 2014 (-3.16%), 14 Oct 2014 (-3.29%), 10 Dec 2014 (-3.1%)
2013231 Oct 2013 (-3.73%), 20 Dec 2013 (-3.02%)
2012504 Jan 2012 (10.68%), 20 Mar 2012 (-3.59%), 02 Aug 2012 (-3.18%), 06 Nov 2012 (-2.97%), 29 Nov 2012 (7.21%)
2011921 Jan 2011 (-5.17%), 25 Mar 2011 (10.39%), 24 May 2011 (10.73%), 30 Aug 2011 (-4.03%), 19 Sep 2011 (-3.63%), 30 Sep 2011 (11.2%), 31 Oct 2011 (-3.7%), 02 Dec 2011 (-3.81%), 23 Dec 2011 (-3.8%)
2010604 Jan 2010 (-3.11%), 13 May 2010 (-3.3%), 04 Jun 2010 (10.99%), 15 Jul 2010 (-2.64%), 16 Sep 2010 (8.18%), 10 Nov 2010 (-3.26%)
2009915 Jan 2009 (-6.2%), 13 Feb 2009 (-5.38%), 16 Mar 2009 (14.86%), 19 May 2009 (-6.79%), 20 May 2009 (22.33%), 05 Aug 2009 (-5.49%), 20 Aug 2009 (15.66%), 20 Oct 2009 (-3.75%), 09 Nov 2009 (-5.19%)
2008418 Feb 2008 (-7.8%), 31 Mar 2008 (20.49%), 04 Nov 2008 (-9.41%), 04 Dec 2008 (-9.6%)
2007510 Apr 2007 (10.58%), 21 Jun 2007 (8.89%), 28 Aug 2007 (13.33%), 23 Oct 2007 (19.55%), 06 Dec 2007 (-6.23%)
2006406 Feb 2006 (-2.78%), 04 Apr 2006 (8.85%), 29 Sep 2006 (7.57%), 27 Oct 2006 (-2.84%)
2005803 Feb 2005 (10.61%), 08 Mar 2005 (-3.68%), 13 Apr 2005 (-3.32%), 15 Apr 2005 (-3.55%), 07 Jun 2005 (-3.11%), 06 Jul 2005 (-4.42%), 04 Oct 2005 (-3.3%), 02 Nov 2005 (-4.56%)
2004226 Mar 2004 (-5.35%), 28 Oct 2004 (-3.34%)
20031314 Jan 2003 (-3.22%), 19 Feb 2003 (7.56%), 28 Mar 2003 (-3.19%), 04 Apr 2003 (9.15%), 21 May 2003 (9.74%), 19 Jun 2003 (-5.97%), 20 Jun 2003 (20.57%), 17 Jul 2003 (-5.91%), 13 Aug 2003 (-5.31%), 30 Sep 2003 (13.68%), 17 Nov 2003 (-5.44%), 01 Dec 2003 (15.45%), 24 Dec 2003 (13.6%)
2002517 Jan 2002 (7.74%), 18 Jan 2002 (9.08%), 25 Feb 2002 (-5.41%), 02 May 2002 (-4.02%), 29 May 2002 (12.92%)
2001304 Jan 2001 (-3.36%), 07 Feb 2001 (8.74%), 24 May 2001 (8.01%)
2000621 Feb 2000 (11.22%), 29 Mar 2000 (-5.92%), 12 Jul 2000 (-2.93%), 02 Aug 2000 (-2.99%), 20 Oct 2000 (8.38%), 11 Dec 2000 (-3.01%)
1999217 Aug 1999 (-4.48%), 22 Dec 1999 (-4.16%)
1998424 Feb 1998 (-5.37%), 01 Jun 1998 (21.76%), 10 Sep 1998 (-4.69%), 01 Dec 1998 (-4.25%)
1997301 Mar 1997 (-3.73%), 17 Apr 1997 (11.17%), 12 Sep 1997 (-3.2%)
1996612 Feb 1996 (14.23%), 29 Mar 1996 (16.1%), 10 Jun 1996 (-3.71%), 11 Jun 1996 (-4.22%), 17 Jul 1996 (11.99%), 12 Dec 1996 (13.17%)
1995108 May 1995 (-4.21%)



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