Study: Buy LICHSGFIN when there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy LICHSGFIN when there is Golden 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: 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
114694.87178947.065539.8716073.48-3291.56-10526.321.681.50.028864.4
230984.251710758.826666.7320436.28-5097.58-9700.721.311.870.0491822.6
36458.02179852.945858.615843.86-5783.67-11764.711.011.140.011379.88
4-27336.06178947.065049.2211702.83-7525.54-18575.850.670.6-0.041-1608
533492.68179852.949626.0720775.81-6642.74-11971.11.451.630.0411970.16
646660.25179852.9413854.7627721.99-9754.08-29793.041.421.60.0382744.72
741899.131711664.7112565.1334857.29-16052.88-37753.010.781.440.032464.65
8-3033.28179852.9413615.7930153.28-15696.92-41391.860.870.98-0.002-178.43
9-41198.58178947.0614047.7121802.33-17064.47-37161.70.820.73-0.026-2423.45
10-35937.1178947.0617209.8826717.76-19290.69-51713.080.890.79-0.02-2113.95
Although, strategy looks good but profit factor on day 1 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
atrnil35.964405.04208124020814.3738109.21-8509.16-15793.682.451.630.0433220.25
atrnil24.861537.962181338.113876.2525406.14-8420.93-15793.681.651.010.001373.24
atrtrail23.48-24220.572191242.867096.0514658.34-7340.42-15793.680.970.73-0.028-1153.36
atrtrail33.8-34092.9720911455181.118910.7-7338.45-15793.680.710.58-0.045-1704.65
atrtrail-13.9-36320.6320911454933.5916683.04-7338.45-15793.680.670.55-0.049-1816.03

In the table above, row 1 shows the best exit criterion. Profit factor is 1.63. 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 40%, which is not acceptable. Avoid this strategy. Average return per trade is 1.61%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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:1.63

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019128 Mar 2019 (-2.35%)
2016127 May 2016 (7.68%)
2014121 Mar 2014 (9.57%)
2013104 Jul 2013 (-4.16%)
2012112 Nov 2012 (-2.65%)
2011108 Jun 2011 (-3.07%)
2009111 May 2009 (19.05%)
2008124 Sep 2008 (-4.91%)
2007122 Jun 2007 (8.95%)
2006210 May 2006 (-4.32%), 11 May 2006 (-4.75%)
2004117 Dec 2004 (8.86%)
2003125 Apr 2003 (9.46%)
2000130 Nov 2000 (8.69%)
1999101 Mar 1999 (10.99%)
1998120 May 1998 (-7.9%)
1997217 Mar 1997 (-3.81%), 18 Mar 1997 (-4.1%)
1996226 Apr 1996 (-4.49%), 29 Apr 1996 (-4.55%)



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