Study: Sell LICHSGFIN when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell LICHSGFIN when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)" 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
12543.29179852.944837.5511101.86-5124.33-12970.170.941.060.005149.61
245911.121710758.828314.3416070.69-5318.9-14007.781.562.230.0692700.65
363680.2179852.9413913.6242170.16-7692.8-12970.171.812.030.0523745.89
453282.59179852.9415125.9653884.09-10356.38-25496.621.461.640.0373134.27
540381.93178947.0616953.0943814.22-10582.53-28901.991.61.420.0292375.41
678787.921710758.8218097.4952938.76-14598.13-58982.751.241.770.0414634.58
766097.171711664.7115621.1639580.76-17622.59-63392.270.891.630.0363888.07
814582.661711664.7111084.3617073.17-17890.88-67146.910.621.140.009857.8
9-2248.51710758.8211342.7120121.95-16525.08-71643.750.690.98-0.0013-132.26
1017286.581710758.8212192.5822967.48-14948.45-60379.830.821.170.0111016.86
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
LICHSGFIN Performance, X=2, Profit Factor:2.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019111 Sep 2019 (-0.16%)
2017130 Oct 2017 (3.38%)
2013221 Mar 2013 (-2.6%), 08 Jul 2013 (-1.74%)
2012131 Oct 2012 (-3.02%)
2011107 Jan 2011 (6.13%)
2008215 Jul 2008 (-2.18%), 21 Oct 2008 (8.04%)
2006123 May 2006 (0.64%)
2005123 Aug 2005 (3.04%)
2004126 May 2004 (4.69%)
2002101 Nov 2002 (0.78%)
1999101 Nov 1999 (-1.91%)
1998115 Jul 1998 (-7.0%)
1997123 Oct 1997 (6.3%)
1996217 Jan 1996 (3.75%), 14 Nov 1996 (4.82%)

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
atrnil321.831335711881044.4429848.7852996.88-10521.93-15124.372.842.270.0697420.61
atrnil25.6193924.4418995020647.4435331.25-10211.39-15124.372.022.020.0645218.02
atrtrail35.0674520.0518995017961.5752996.88-9681.57-14723.91.861.860.0484140
atrtrail23.6155823.3418995015884.1635331.25-9681.57-14723.91.641.640.0423101.3
atrtrail-15.545149.4318995014698.1735563.22-9681.57-14723.91.521.520.0362508.3

In the table above, row 1 shows the best exit criterion. Profit factor is 2.27. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 44.44%, which is not acceptable. Avoid this strategy. Average return per trade is 3.71%, which is very good. Sharpe Ratio is 0.069, which is low, don't trade solely on the basis of this study. 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:2.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019111 Sep 2019 (-4.1%)
2017130 Oct 2017 (8.02%)
2013221 Mar 2013 (-4.64%), 08 Jul 2013 (-4.32%)
2012131 Oct 2012 (-3.46%)
2011107 Jan 2011 (13.51%)
2008215 Jul 2008 (-7.56%), 21 Oct 2008 (26.5%)
2006123 May 2006 (24.47%)
2005123 Aug 2005 (-4.1%)
2004126 May 2004 (-6.66%)
2002101 Nov 2002 (8.36%)
1999201 Nov 1999 (-5.43%), 02 Nov 1999 (-5.47%)
1998115 Jul 1998 (-6.86%)
1997123 Oct 1997 (14.45%)
1996217 Jan 1996 (12.35%), 14 Nov 1996 (11.73%)



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