Study: Sell LICHSGFIN when RSI is above 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell LICHSGFIN when RSI is above 50 and there is Bearish Crossover in MACD" 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
1-13664.1597504751.553670.9210444.44-4195.96-20290.250.870.93-0.0052-140.87
241750.7297534454.645390.8318654.15-5544.62-33744.740.971.170.011430.42
3-58148.6797445345.367642.324042.88-7441.7-41068.761.030.85-0.012-599.47
4-52327.7997465147.427529.8329376.6-7817.64-36240.340.960.87-0.011-539.46
5-93917.8697524553.616856.8934158.84-10010.58-50740.740.680.79-0.017-968.23
6-41189.9997504751.558165.9431938.51-9563.55-34907.410.850.91-0.0075-424.64
7-37880.1497524553.618321.6631775.7-10457.93-53654.740.80.92-0.0062-390.52
8-32947.0997554256.78757.242456.61-12252.22-60301.10.710.94-0.0047-339.66
9-68244.4697544355.6710324.9634671.22-14553.31-76576.70.710.89-0.0081-703.55
10-11318497544355.6710643.9737916.31-15999.02-86179.30.670.84-0.013-1166.84
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
atrnil25.566836.25112407235.7114730.3128280.66-8088.56-14767.731.821.010.001161.04
atrtrail23.85-26857.4113437038.0510083.728280.66-6577.95-14767.731.530.94-0.0051-237.68
atrnil38.34-65356.46111288325.2321468.6942420.99-8029.88-14767.732.670.9-0.0089-588.8
atrtrail34.28-45563.14112427037.59673.2642420.99-6454.86-14767.731.50.9-0.0082-406.81
atrtrail-14.45-160266112427037.56942.2525114.5-6454.86-14767.731.080.65-0.037-1430.94

In the table above, row 1 shows the best exit criterion. Profit factor is 1.01. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 35.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.031%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0011, 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:1.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019503 Jan 2019 (-3.25%), 08 Jan 2019 (6.42%), 10 Apr 2019 (-2.45%), 12 Jun 2019 (-2.61%), 08 Jul 2019 (-2.57%)
2018219 Apr 2018 (5.23%), 16 Aug 2018 (-2.61%)
2017415 Feb 2017 (-2.35%), 03 Mar 2017 (-1.95%), 11 May 2017 (-2.32%), 22 Jun 2017 (3.94%)
2016712 Jan 2016 (5.2%), 06 Apr 2016 (-2.89%), 20 Jul 2016 (-2.73%), 12 Sep 2016 (-2.46%), 14 Sep 2016 (-2.42%), 13 Oct 2016 (-2.96%), 25 Oct 2016 (5.7%)
2015530 Jan 2015 (6.46%), 08 Jul 2015 (-2.97%), 09 Jul 2015 (-2.95%), 11 Aug 2015 (6.19%), 30 Oct 2015 (6.1%)
2014725 Mar 2014 (-2.83%), 29 Apr 2014 (-3.29%), 28 May 2014 (-4.98%), 10 Jun 2014 (8.23%), 17 Sep 2014 (-2.86%), 25 Nov 2014 (-3.21%), 12 Dec 2014 (6.74%)
2013408 Jan 2013 (4.61%), 30 May 2013 (5.98%), 17 Oct 2013 (-4.45%), 08 Nov 2013 (-4.02%)
2012321 Feb 2012 (7.0%), 12 Jul 2012 (5.02%), 09 Oct 2012 (7.69%)
2011213 Apr 2011 (7.08%), 13 Jun 2011 (5.72%)
2010515 Apr 2010 (-3.49%), 11 May 2010 (-3.5%), 20 May 2010 (7.48%), 30 Jun 2010 (-2.77%), 11 Oct 2010 (-3.22%)
20091112 Jan 2009 (-6.65%), 15 May 2009 (-6.69%), 18 May 2009 (-6.47%), 15 Jun 2009 (-6.77%), 18 Jun 2009 (-7.25%), 07 Aug 2009 (-5.63%), 03 Sep 2009 (-4.52%), 06 Oct 2009 (-4.14%), 07 Oct 2009 (-4.16%), 27 Oct 2009 (8.75%), 23 Nov 2009 (9.52%)
2008119 Aug 2008 (-4.62%)
2007508 Feb 2007 (-2.97%), 30 May 2007 (-3.04%), 17 Jul 2007 (7.12%), 12 Nov 2007 (-7.38%), 17 Dec 2007 (-6.32%)
2006624 Feb 2006 (-2.84%), 01 Mar 2006 (-2.88%), 13 Sep 2006 (-3.06%), 13 Oct 2006 (-3.12%), 09 Nov 2006 (-3.44%), 10 Nov 2006 (-3.38%)
2005503 Jan 2005 (-3.19%), 04 Jan 2005 (6.53%), 01 Mar 2005 (-3.82%), 10 Mar 2005 (8.28%), 25 Nov 2005 (-3.46%)
2004505 Jan 2004 (-4.38%), 06 Jan 2004 (-4.27%), 16 Jan 2004 (10.08%), 02 Aug 2004 (-4.14%), 17 Sep 2004 (-4.38%)
2003907 Mar 2003 (-2.75%), 19 May 2003 (-3.04%), 12 Jun 2003 (-5.67%), 02 Jul 2003 (-6.64%), 23 Jul 2003 (13.24%), 25 Aug 2003 (-5.69%), 24 Oct 2003 (-5.13%), 19 Nov 2003 (-5.47%), 18 Dec 2003 (-5.23%)
2002421 Feb 2002 (-5.53%), 12 Mar 2002 (-6.95%), 02 Jul 2002 (8.17%), 27 Dec 2002 (5.85%)
2001512 Jan 2001 (-3.49%), 28 Feb 2001 (8.41%), 15 May 2001 (-3.22%), 03 Sep 2001 (4.1%), 13 Dec 2001 (5.61%)
2000523 Jun 2000 (7.74%), 14 Sep 2000 (5.34%), 05 Dec 2000 (-2.6%), 06 Dec 2000 (-2.63%), 15 Dec 2000 (-3.55%)
1999319 Jan 1999 (9.47%), 26 Jul 1999 (-5.39%), 31 Aug 1999 (10.26%)
1998122 Apr 1998 (14.14%)
1997431 Jan 1997 (7.06%), 21 Mar 1997 (8.0%), 22 May 1997 (7.51%), 07 Aug 1997 (9.6%)
1996412 Mar 1996 (-5.7%), 09 May 1996 (9.06%), 10 May 1996 (-5.06%), 24 Jun 1996 (-6.33%)



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