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

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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 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: 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
16904.9147222546.815421.9213119.68-4495.09-12629.251.211.060.0049146.91
2-13714.4547212644.686998.818497.11-6180.35-18685.381.130.91-0.0073-291.8
319407.4147262155.328162.6422543.35-9181.96-20920.50.891.10.008412.92
4-6083.9147281959.576936.8728240.11-10542.96-27685.950.660.97-0.0024-129.44
533777.0747242351.0610026.4327475.59-8993.79-26725.41.111.160.012718.66
635989.2347242351.0611787.1829149.23-10734.92-25844.351.11.150.012765.73
763968.5447242351.0613870.8746238.94-11692.71-25652.621.191.240.0171361.03
896788.7547252253.1915328.5444864.8-13019.3-33093.531.181.340.0242059.34
976545.3847242351.0617377.7446002.09-14805.23-44933.21.171.220.0171628.63
1013092447262155.3217024.647898.23-14843.62-52949.641.151.420.0292785.61
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
atrnil36.6718113248192939.5823138.6544669.38-8913.86-19198.862.61.70.0463773.59
atrnil25.1667648.8851222943.1414951.5629779.59-9009.84-19198.861.661.260.0211326.45
atrtrail34.6953899.6549212842.8612634.4544669.38-7550.85-19198.861.671.250.0171099.99
atrtrail24.0639222.752232944.2311197.9129779.59-7528.6-19198.861.491.180.014754.28
atrtrail-15.4727328.0149212842.8611369.1434215.31-7550.85-19198.861.511.130.0096557.71

In the table above, row 1 shows the best exit criterion. Profit factor is 1.7. 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 39.58%, which is not acceptable. Avoid this strategy. Average return per trade is 1.89%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.046, 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:1.7

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019217 May 2019 (8.85%), 27 Jun 2019 (-2.46%)
2018322 Jan 2018 (-2.2%), 14 Mar 2018 (8.39%), 23 Aug 2018 (-2.42%)
2017216 Jan 2017 (-2.52%), 31 May 2017 (6.88%)
2016201 Mar 2016 (11.6%), 30 Dec 2016 (-2.49%)
2015205 Jan 2015 (-3.32%), 17 Jun 2015 (9.01%)
2014428 Mar 2014 (-2.67%), 31 Mar 2014 (8.59%), 13 May 2014 (9.79%), 10 Dec 2014 (-3.1%)
2011221 Jan 2011 (-5.17%), 30 Aug 2011 (-4.03%)
2010213 May 2010 (-3.3%), 16 Sep 2010 (8.18%)
2009319 May 2009 (-6.79%), 20 May 2009 (22.33%), 20 Oct 2009 (-3.75%)
2008318 Feb 2008 (-7.8%), 04 Nov 2008 (-9.41%), 04 Dec 2008 (-9.6%)
2007210 Apr 2007 (10.58%), 21 Jun 2007 (8.89%)
2006127 Oct 2006 (-2.84%)
2005403 Feb 2005 (10.61%), 08 Mar 2005 (-3.68%), 06 Jul 2005 (-4.42%), 02 Nov 2005 (-4.56%)
2003621 May 2003 (9.74%), 19 Jun 2003 (-5.97%), 20 Jun 2003 (20.57%), 17 Jul 2003 (-5.91%), 13 Aug 2003 (-5.31%), 24 Dec 2003 (13.6%)
2002125 Feb 2002 (-5.41%)
2001204 Jan 2001 (-3.36%), 07 Feb 2001 (8.74%)
2000111 Dec 2000 (-3.01%)
1999122 Dec 1999 (-4.16%)
1998124 Feb 1998 (-5.37%)
1996312 Feb 1996 (14.23%), 29 Mar 1996 (16.1%), 12 Dec 1996 (13.17%)
1995108 May 1995 (-4.21%)



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