Study: Buy LICHSGFIN when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy LICHSGFIN when below 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
1-6481.55106485845.285403.2335845.04-4583.39-17910.451.180.98-0.0018-61.15
2-27868.14106495746.236639.2552958.71-6196.34-25985.81.070.92-0.0056-262.91
3112343106466043.410803.1766538.95-6410.04-22902.261.691.290.0181059.84
496057.02106495746.2311270.8870242.66-8003.79-32463.441.411.210.013906.2
5161531106545250.9412057.861132.4-9415.2-49899.631.281.330.021523.87
6269346106584854.7212336.5869783.07-9295.33-33438.491.331.60.0332541
7296591106565052.8313941.6380354.41-9682.8-42460.11.441.610.0342798.03
8438536106584854.7215112.2871005.19-9124.5-27870.791.6620.054137.13
9516270106594755.6616812.5962267.03-10120.71-37679.791.662.090.0544870.47
10432505106584854.7217722.5368041.24-12404.21-43716.11.431.730.044080.23
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
LICHSGFIN Performance, X=9, Profit Factor:2.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019625 Jan 2019 (2.97%), 07 May 2019 (12.24%), 06 Aug 2019 (-4.29%), 22 Aug 2019 (-4.63%), 19 Sep 2019 (-0.13%), 04 Oct 2019 (3.33%)
2018916 Jan 2018 (-2.91%), 31 Jan 2018 (-1.85%), 08 Mar 2018 (7.74%), 03 May 2018 (-4.67%), 17 May 2018 (-3.37%), 28 Jun 2018 (5.29%), 04 Sep 2018 (-7.28%), 19 Sep 2018 (-10.87%), 10 Dec 2018 (12.08%)
2017404 Jan 2017 (2.89%), 22 Sep 2017 (4.04%), 31 Oct 2017 (-2.36%), 01 Dec 2017 (-4.54%)
2016403 Feb 2016 (-7.01%), 24 Feb 2016 (16.01%), 22 Apr 2016 (-2.41%), 20 May 2016 (6.64%)
2015309 Jun 2015 (16.88%), 24 Aug 2015 (-2.63%), 09 Dec 2015 (6.96%)
2014127 Jan 2014 (1.1%)
2013914 Feb 2013 (-2.32%), 28 Feb 2013 (1.76%), 20 Mar 2013 (0.68%), 03 Jul 2013 (-7.93%), 17 Jul 2013 (-18.84%), 31 Jul 2013 (9.32%), 20 Aug 2013 (7.38%), 27 Nov 2013 (0.25%), 13 Dec 2013 (9.46%)
2012405 Jun 2012 (7.39%), 25 Jul 2012 (6.8%), 31 Aug 2012 (3.12%), 30 Oct 2012 (4.23%)
2011410 Jan 2011 (14.05%), 03 May 2011 (4.45%), 02 Aug 2011 (2.26%), 24 Aug 2011 (10.34%)
2010224 Nov 2010 (-6.35%), 09 Dec 2010 (5.81%)
2009223 Jan 2009 (1.02%), 03 Mar 2009 (3.46%)
2008922 Jan 2008 (29.14%), 17 Mar 2008 (16.6%), 13 Jun 2008 (-1.98%), 27 Jun 2008 (-3.46%), 14 Jul 2008 (25.26%), 12 Sep 2008 (-6.68%), 29 Sep 2008 (-3.03%), 24 Oct 2008 (19.79%), 28 Nov 2008 (31.13%)
2007213 Feb 2007 (-5.11%), 28 Feb 2007 (-3.53%)
2006616 Mar 2006 (-2.87%), 30 Mar 2006 (16.24%), 18 May 2006 (-4.09%), 08 Jun 2006 (4.18%), 19 Jul 2006 (1.01%), 11 Dec 2006 (-2.97%)
2005427 Jun 2005 (6.03%), 23 Aug 2005 (3.09%), 19 Oct 2005 (0.63%), 23 Dec 2005 (0.18%)
2004422 Mar 2004 (22.49%), 10 May 2004 (-14.54%), 11 Aug 2004 (-2.6%), 11 Oct 2004 (-5.83%)
2003108 Jan 2003 (13.59%)
2002223 Oct 2002 (-0.55%), 07 Nov 2002 (-5.18%)
2001213 Mar 2001 (1.02%), 17 Sep 2001 (4.35%)
2000724 Jan 2000 (-3.77%), 03 Mar 2000 (-5.53%), 28 Apr 2000 (-6.9%), 03 Jul 2000 (2.25%), 24 Jul 2000 (5.86%), 19 Sep 2000 (1.12%), 11 Oct 2000 (3.65%)
1999502 Feb 1999 (0.14%), 26 Mar 1999 (-3.67%), 15 Apr 1999 (-0.73%), 23 Sep 1999 (-6.06%), 10 Dec 1999 (9.04%)
1998527 Jan 1998 (-3.52%), 10 Feb 1998 (9.31%), 11 Jun 1998 (-2.05%), 03 Sep 1998 (6.85%), 05 Oct 1998 (-6.7%)
1997824 Feb 1997 (23.73%), 01 Apr 1997 (9.37%), 24 Jun 1997 (2.46%), 18 Sep 1997 (-11.9%), 09 Oct 1997 (-5.11%), 24 Oct 1997 (-8.03%), 10 Nov 1997 (-9.21%), 17 Dec 1997 (-2.5%)
1996322 Jan 1996 (25.48%), 29 Oct 1996 (-5.37%), 03 Dec 1996 (12.05%)

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
atrtrail34.525182191997612338.1917839.7776633.81-6809.78-22702.142.621.620.0332604.12
atrtrail-15.354565391997612338.1917028.1975350.63-6809.78-22702.142.51.550.032294.17
atrnil38.535430571755512031.4329522.1876633.81-9005.52-24896.753.281.50.0323103.19
atrtrail23.893224531997612338.1915263.8951089.2-6809.78-22702.142.241.380.0251620.36
atrnil25.213191341856911637.319624.6351089.2-8922.12-23063.152.21.310.0231725.05

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 38.19%, which is not acceptable. Avoid this strategy. Average return per trade is 1.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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:1.62

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191125 Jan 2019 (-3.25%), 30 Jan 2019 (4.01%), 07 May 2019 (9.27%), 06 Aug 2019 (-0.35%), 16 Aug 2019 (-3.61%), 21 Aug 2019 (-3.67%), 22 Aug 2019 (-0.85%), 05 Sep 2019 (-1.19%), 19 Sep 2019 (11.76%), 04 Oct 2019 (-3.07%), 14 Oct 2019 (2.15%)
20181816 Jan 2018 (-2.08%), 18 Jan 2018 (1.91%), 30 Jan 2018 (-2.47%), 02 Feb 2018 (-2.82%), 06 Feb 2018 (2.56%), 08 Mar 2018 (8.88%), 03 May 2018 (-2.81%), 09 May 2018 (-2.62%), 17 May 2018 (-2.46%), 18 May 2018 (-2.6%), 24 May 2018 (3.76%), 28 Jun 2018 (-2.41%), 04 Jul 2018 (7.99%), 04 Sep 2018 (-3.03%), 10 Sep 2018 (-2.99%), 18 Sep 2018 (-3.0%), 21 Sep 2018 (-4.05%), 10 Dec 2018 (11.36%)
2017904 Jan 2017 (2.02%), 22 Sep 2017 (-2.42%), 25 Sep 2017 (-2.58%), 27 Sep 2017 (7.96%), 31 Oct 2017 (-1.09%), 08 Nov 2017 (0.83%), 01 Dec 2017 (-2.14%), 06 Dec 2017 (-0.18%), 12 Dec 2017 (-2.46%)
2016703 Feb 2016 (-2.34%), 09 Feb 2016 (-2.32%), 11 Feb 2016 (1.04%), 24 Feb 2016 (12.2%), 22 Apr 2016 (-2.07%), 04 May 2016 (0.03%), 20 May 2016 (-2.6%)
2015409 Jun 2015 (9.56%), 24 Aug 2015 (0.3%), 02 Sep 2015 (-0.36%), 09 Dec 2015 (7.99%)
2014227 Jan 2014 (-2.85%), 30 Jan 2014 (-1.4%)
20131814 Feb 2013 (-3.26%), 15 Feb 2013 (-3.27%), 21 Feb 2013 (0.03%), 28 Feb 2013 (-1.85%), 20 Mar 2013 (-4.27%), 21 Mar 2013 (5.46%), 03 Jul 2013 (-4.12%), 08 Jul 2013 (1.82%), 16 Jul 2013 (-4.38%), 17 Jul 2013 (-2.14%), 24 Jul 2013 (-4.73%), 25 Jul 2013 (-5.0%), 29 Jul 2013 (-5.33%), 30 Jul 2013 (-5.73%), 31 Jul 2013 (-2.94%), 20 Aug 2013 (5.65%), 27 Nov 2013 (-0.7%), 13 Dec 2013 (9.25%)
2012405 Jun 2012 (10.37%), 25 Jul 2012 (10.01%), 31 Aug 2012 (8.27%), 30 Oct 2012 (2.43%)
2011610 Jan 2011 (-5.16%), 14 Jan 2011 (16.33%), 03 May 2011 (-4.03%), 04 May 2011 (4.93%), 02 Aug 2011 (-1.83%), 24 Aug 2011 (6.36%)
2010324 Nov 2010 (-6.12%), 26 Nov 2010 (5.01%), 09 Dec 2010 (5.9%)
2009423 Jan 2009 (5.91%), 05 Feb 2009 (6.93%), 03 Mar 2009 (-5.24%), 05 Mar 2009 (17.41%)
20081922 Jan 2008 (38.32%), 17 Mar 2008 (-7.91%), 19 Mar 2008 (26.62%), 13 Jun 2008 (-2.24%), 19 Jun 2008 (-6.2%), 27 Jun 2008 (-6.61%), 01 Jul 2008 (-3.34%), 14 Jul 2008 (-7.05%), 15 Jul 2008 (22.69%), 12 Sep 2008 (-3.9%), 15 Sep 2008 (-0.36%), 25 Sep 2008 (-5.03%), 29 Sep 2008 (-0.88%), 06 Oct 2008 (-5.38%), 07 Oct 2008 (-6.42%), 10 Oct 2008 (24.28%), 24 Oct 2008 (-11.35%), 27 Oct 2008 (37.62%), 28 Nov 2008 (35.72%)
2007513 Feb 2007 (-3.37%), 14 Feb 2007 (-1.25%), 23 Feb 2007 (-1.75%), 28 Feb 2007 (-3.29%), 05 Mar 2007 (-4.25%)
20061117 Jan 2006 (0.98%), 16 Mar 2006 (-2.6%), 22 Mar 2006 (-1.82%), 30 Mar 2006 (8.64%), 18 May 2006 (-6.59%), 22 May 2006 (-0.72%), 08 Jun 2006 (-5.76%), 14 Jun 2006 (10.04%), 19 Jul 2006 (7.14%), 11 Dec 2006 (-3.09%), 12 Dec 2006 (11.15%)
2005527 Jun 2005 (-4.59%), 28 Jun 2005 (14.92%), 23 Aug 2005 (4.85%), 19 Oct 2005 (-3.27%), 23 Dec 2005 (-2.71%)
20041122 Mar 2004 (17.7%), 10 May 2004 (-3.97%), 11 May 2004 (-4.28%), 13 May 2004 (-4.51%), 14 May 2004 (-5.91%), 17 May 2004 (9.17%), 11 Aug 2004 (-3.62%), 18 Aug 2004 (10.24%), 11 Oct 2004 (-3.34%), 14 Oct 2004 (-2.14%), 20 Oct 2004 (2.53%)
2003208 Jan 2003 (-2.91%), 09 Jan 2003 (9.52%)
2002423 Oct 2002 (-1.54%), 07 Nov 2002 (-2.98%), 11 Nov 2002 (-3.11%), 18 Nov 2002 (10.17%)
2001213 Mar 2001 (-0.38%), 17 Sep 2001 (0.27%)
20001024 Jan 2000 (-3.49%), 31 Jan 2000 (1.73%), 03 Mar 2000 (-3.01%), 09 Mar 2000 (26.37%), 28 Apr 2000 (-5.66%), 02 May 2000 (-0.44%), 03 Jul 2000 (0.53%), 24 Jul 2000 (10.13%), 19 Sep 2000 (-0.52%), 11 Oct 2000 (-1.6%)
1999902 Feb 1999 (-3.71%), 08 Feb 1999 (13.65%), 26 Mar 1999 (-5.22%), 30 Mar 1999 (6.77%), 15 Apr 1999 (2.2%), 23 Sep 1999 (-4.7%), 28 Sep 1999 (-4.59%), 30 Sep 1999 (2.9%), 10 Dec 1999 (-2.11%)
19981127 Jan 1998 (1.44%), 05 Feb 1998 (-4.17%), 10 Feb 1998 (-0.87%), 12 Feb 1998 (-5.24%), 17 Feb 1998 (18.11%), 11 Jun 1998 (-10.72%), 19 Jun 1998 (6.88%), 03 Sep 1998 (4.92%), 05 Oct 1998 (-4.54%), 06 Oct 1998 (-2.04%), 12 Oct 1998 (0.97%)
19971624 Feb 1997 (11.72%), 01 Apr 1997 (8.11%), 24 Jun 1997 (-4.12%), 26 Jun 1997 (-4.09%), 30 Jun 1997 (12.41%), 18 Sep 1997 (-1.19%), 25 Sep 1997 (-3.7%), 29 Sep 1997 (-4.17%), 09 Oct 1997 (-3.26%), 14 Oct 1997 (-1.0%), 24 Oct 1997 (-4.96%), 28 Oct 1997 (3.07%), 10 Nov 1997 (-5.43%), 17 Nov 1997 (-0.38%), 17 Dec 1997 (-4.03%), 23 Dec 1997 (0.71%)
1996822 Jan 1996 (-4.25%), 23 Jan 1996 (-4.55%), 24 Jan 1996 (-4.82%), 29 Oct 1996 (-3.68%), 04 Nov 1996 (-3.72%), 05 Nov 1996 (1.05%), 03 Dec 1996 (-4.18%), 04 Dec 1996 (14.04%)



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