Study: Buy LICHSGFIN when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy LICHSGFIN when near 200 SMA and above 200 SMA" 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
16895370383254.294735.0425413.92-3468.08-15283.271.371.620.034985.04
267875.5170373352.866224.8630400.96-4922.55-29249.011.261.420.025969.65
347748.8370383254.297365.6526770.4-7254.55-42687.751.021.210.014682.13
487996.01704228608010.3329600-8872.78-35309.620.91.350.0241257.09
562973.3170393155.718970.8848000-9254.55-46376.810.971.220.014899.62
685262.577035355011325.3634666.67-8889.29-45849.81.271.270.0191218.04
755142.9870412958.579566.8537333.33-11624.06-56653.490.821.160.012787.76
878634.470383254.2910971.9640000-10571.87-56126.481.041.230.0161123.35
973414.2170383254.2911934.9153580.69-11878.52-56653.4911.190.0131048.77
1010792370393155.7112621.2475244.36-12396.93-54545.451.021.280.0171541.76

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.62. 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 54.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.49%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, which is low, don't trade solely on the basis of this study.

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
nilnil-116895370383254.294735.0425413.92-3468.08-15283.271.371.620.034985.04
200trail31.9387701.0496356136.467421.6211713.41-2820.59-3955.342.631.510.035913.55
200nil32.1989201.1893316233.338983.6311822.07-3053.09-3955.342.941.470.034959.15
atrnil310.5813829266204630.325549.8245826.21-8102.27-18240.673.151.370.0262095.33
200trail21.5849889.8997385939.185696.577881.38-2823.39-3955.342.021.30.024514.33
200trail-13.1144850.5194306431.917423.6729680-2779.06-3955.342.671.250.015477.13
200nil21.6443427.1895375838.955954.447881.38-3049.78-3955.341.951.250.021457.13
atrtrail34.9849685.1183344940.9611099.1231424.01-6687.45-18240.671.661.150.011598.62
atrnil26.8937873.7373264735.6216095.4830550.81-8098.06-18240.671.991.10.0087518.82
atrtrail-15.5419988.7983344940.9610225.736924.52-6687.45-18240.671.531.060.0046240.83
atrtrail24.29-17543.5883344940.969121.8120949.34-6687.45-18240.671.360.95-0.0046-211.37

In the table above, row 1 shows the best exit criterion. Profit factor is 1.62. 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 54.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.49%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, 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, X=1, Profit Factor:1.62

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019417 Jan 2019 (-2.99%), 28 Feb 2019 (-0.19%), 03 May 2019 (0.19%), 05 Aug 2019 (-2.36%)
2018103 Aug 2018 (2.33%)
2017405 Jan 2017 (0.29%), 19 Jan 2017 (-1.68%), 04 Oct 2017 (0.53%), 23 Oct 2017 (-2.63%)
2016520 Jan 2016 (1.58%), 09 Mar 2016 (-0.57%), 05 Apr 2016 (0.01%), 12 May 2016 (-2.24%), 17 Nov 2016 (2.36%)
2015526 May 2015 (2.31%), 17 Jun 2015 (3.2%), 29 Sep 2015 (4.51%), 05 Nov 2015 (1.96%), 04 Dec 2015 (1.02%)
2013403 Jun 2013 (1.3%), 21 Jun 2013 (-1.77%), 05 Nov 2013 (-2.27%), 31 Dec 2013 (1.12%)
2012614 May 2012 (3.51%), 30 May 2012 (-0.29%), 10 Aug 2012 (2.14%), 28 Aug 2012 (-1.3%), 12 Oct 2012 (0.16%), 07 Nov 2012 (-1.17%)
20111028 Mar 2011 (0.68%), 11 Apr 2011 (1.83%), 27 May 2011 (4.0%), 23 Jun 2011 (2.57%), 11 Jul 2011 (-1.25%), 12 Aug 2011 (-0.33%), 12 Sep 2011 (-1.64%), 28 Sep 2011 (2.76%), 28 Nov 2011 (1.64%), 13 Dec 2011 (-0.25%)
2009108 Apr 2009 (12.71%)
2008226 Mar 2008 (-1.14%), 28 Jul 2008 (-4.15%)
2007109 Feb 2007 (-4.59%)
2006315 May 2006 (-3.54%), 06 Nov 2006 (0.56%), 27 Nov 2006 (-0.82%)
2005205 Jul 2005 (7.52%), 02 Aug 2005 (-0.66%)
2004103 May 2004 (0.34%)
2003104 Apr 2003 (1.15%)
2001316 Mar 2001 (-2.17%), 02 Apr 2001 (5.49%), 20 Sep 2001 (-0.86%)
2000129 Feb 2000 (-7.64%)
1999605 Jan 1999 (0.0%), 20 Mar 1999 (0.13%), 07 Apr 1999 (-3.97%), 04 May 1999 (4.67%), 09 Jun 1999 (-0.13%), 21 Sep 1999 (-1.13%)
1998429 Apr 1998 (1.34%), 13 Aug 1998 (-0.12%), 28 Aug 1998 (2.2%), 15 Sep 1998 (-0.49%)
1997401 Jan 1997 (-1.13%), 04 Apr 1997 (0.6%), 27 May 1997 (6.01%), 02 Jul 1997 (0.61%)
1996201 Apr 1996 (4.58%), 16 Oct 1996 (0.09%)



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