Study: Sell LICHSGFIN when RSI is below 50 and there is Bearish Centerline 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 Centerline 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
1788.37514204874.974874.97-1021.65-2318.844.771.190.013157.67
2-3885.81532602854.345868.9-6224.41-7692.310.460.69-0.033-777.16
310116.39541802529.16373.7500inf00.172023.28
410368.645501002073.734938.0800infinf0.252073.73
526290.65501005258.1211090.9500infinf0.275258.12
623438.855501004687.7711532.700infinf0.254687.77
718568.795501003713.768929.5600infinf0.243713.76
812753.65541803913.057998.74-2898.55-2898.551.355.40.142550.73
914798.94532605637.788582.47-1057.2-1159.425.3380.162959.79
1024065.02550100481310191.6900infinf0.34813
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
LICHSGFIN Performance, X=4, Profit Factor:inf

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017124 Oct 2017 (2.47%)
2005121 Jul 2005 (0.59%)
2002109 Sep 2002 (1.5%)
2000107 Jan 2000 (0.14%)
1995131 Jul 1995 (0.48%)

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
atrnil210.433292.445326015337.2418619.07-6359.65-6696.162.413.620.126658.49
atrnil32321554.155234021479.7427928.61-7135.11-8686.043.012.010.064310.83
atrtrail36.8849.255142015030.8715030.87-3545.4-6004.994.241.060.0045169.85
atrtrail-18.2-1406.275142012775.3512775.35-3545.4-6004.993.60.9-0.0084-281.25
atrtrail25.6-4161.045142010020.5810020.58-3545.4-6004.992.830.71-0.029-832.21

In the table above, row 1 shows the best exit criterion. Profit factor is 3.62. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bearish. Percentage of profitable trades is 60%, which is not acceptable. Avoid this strategy. Average return per trade is 3.33%, which is very good. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
LICHSGFIN Performance, Profit Factor:3.62

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017124 Oct 2017 (5.01%)
2005121 Jul 2005 (9.31%)
2002109 Sep 2002 (-3.35%)
2000107 Jan 2000 (8.69%)
1995131 Jul 1995 (-3.01%)



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