Study: Sell LICHSGFIN when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell LICHSGFIN when below 200 SMA and RSI is overbought" 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
1-7180.3596366.672463.894408.89-7321.24-16054.420.340.67-0.027-797.82
2-29088.4495455.564481.498571.43-12873.97-24489.80.350.44-0.06-3232.05
3-26200.5593633.334603.478245.61-6668.49-19603.270.690.35-0.078-2911.17
42875.7895455.564365.139251.7-4737.47-12368.730.921.150.011319.53
540469.4497277.787746.4123673.47-6877.71-12368.731.133.940.14496.6
672159.7297277.7811213.8237551.02-3168.51-3500.583.5412.390.148017.75
736907.297277.788434.1629931.97-11065.95-17736.290.762.670.0714100.8
855062.1896366.6711997.2641360.54-5640.46-10735.122.134.250.096118.02
951751.9795455.5616158.2440816.33-7259.81-10268.382.232.780.0775750.22
1051011.9496366.6714019.0251972.79-11034.06-13768.961.272.540.0635667.99
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=6, Profit Factor:12.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018124 Jul 2018 (3.16%)
2006204 Sep 2006 (5.68%), 03 Oct 2006 (3.21%)
2004103 Sep 2004 (-1.42%)
2000224 Feb 2000 (18.78%), 06 Sep 2000 (1.57%)
1998116 Mar 1998 (-1.75%)
1997102 Jan 1997 (3.33%)
1996114 Feb 1996 (3.52%)

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
atrtrail22.88-21253.851661037.55683.115816.72-5535.24-11180.861.030.62-0.039-1328.37
atrtrail33.56-23038.821661037.55385.613760.52-5535.24-11180.860.970.58-0.044-1439.93
atrtrail-13.69-24045.91661037.55217.7612753.44-5535.24-11180.860.940.57-0.047-1502.87
atrnil24.14-45168.631431121.4311979.1815816.72-7373.29-11259.251.620.44-0.079-3226.33
atrnil36.93-49094.131421214.2918742.823725.08-7214.98-11259.252.60.43-0.075-3506.72

In the table above, row 1 shows the best exit criterion. Profit factor is 0.62. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
LICHSGFIN Performance, Profit Factor:0.616

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018124 Jul 2018 (-0.32%)
2006304 Sep 2006 (0.06%), 03 Oct 2006 (-1.65%), 06 Oct 2006 (-2.57%)
2004303 Sep 2004 (-3.61%), 08 Sep 2004 (-1.69%), 13 Sep 2004 (7.91%)
2000324 Feb 2000 (-3.95%), 06 Sep 2000 (-2.18%), 08 Sep 2000 (4.59%)
1998316 Mar 1998 (-5.56%), 18 Mar 1998 (2.0%), 25 Mar 1998 (-5.59%)
1997102 Jan 1997 (0.5%)
1996214 Feb 1996 (-0.55%), 19 Feb 1996 (1.99%)



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