Study: Buy LICHSGFIN when RSI is below 50 and there is Bullish Crossover in MACD

home > technical-strategy > lichsgfin > 64

In this study, we evaluate the performance of strategy "Buy LICHSGFIN when RSI is below 50 and there is Bullish Crossover in MACD" 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
117016983463755.425640.7941654.78-2413.72-8875.742.342.910.062050.22
219977883463755.427484.2143081.31-3905.29-22945.431.922.380.0552406.96
324435883453854.229544.159629.1-4871.74-16260.161.962.320.0532944.07
434962383483557.8311446.4956776.03-5708.82-16802.172.012.750.0664212.32
528779383503360.2410801.2148502.14-7644.46-21058.621.412.140.0543467.39
635031383473656.6313156.5568758.92-7445.7-23385.31.772.310.0584220.64
737096283463755.4214247.8163013.7-7687.5-28038.971.852.30.0584469.42
832218683483557.8313622.9457534.25-9477.59-40237.191.441.970.0493881.76
933619683513261.4513358.8859322.36-10784.59-48496.41.241.970.0514050.56
1033439383513261.4514155.1865335.24-12110.03-59000.421.171.860.0474028.83

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.91. 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 55.42%, which is not acceptable. Avoid this strategy. Average return per trade is 1.03%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.06, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
LICHSGFIN Performance, X=1, Profit Factor:2.91

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019112 Sep 2019 (-0.71%)
2018415 Feb 2018 (-1.34%), 13 Mar 2018 (0.96%), 09 Jul 2018 (3.21%), 10 Oct 2018 (-4.18%)
2017417 Jan 2017 (-0.44%), 04 Oct 2017 (0.53%), 17 Nov 2017 (0.17%), 19 Dec 2017 (0.75%)
2016329 Feb 2016 (4.11%), 13 May 2016 (0.94%), 25 Nov 2016 (0.92%)
2015407 Apr 2015 (1.94%), 18 May 2015 (0.02%), 16 Jun 2015 (3.21%), 11 Sep 2015 (2.35%)
2014210 Feb 2014 (-0.74%), 18 Aug 2014 (1.53%)
2013307 Mar 2013 (3.19%), 01 Apr 2013 (2.69%), 12 Aug 2013 (1.08%)
2012428 May 2012 (-0.29%), 22 Aug 2012 (-1.55%), 08 Sep 2012 (-0.1%), 27 Nov 2012 (3.47%)
2011220 Jan 2011 (11.36%), 12 Aug 2011 (-0.33%)
2010217 Feb 2010 (0.67%), 21 Dec 2010 (3.34%)
2009316 Feb 2009 (-1.91%), 17 Mar 2009 (1.12%), 31 Dec 2009 (2.27%)
2008515 Feb 2008 (6.38%), 28 Mar 2008 (4.06%), 21 Jul 2008 (1.51%), 05 Nov 2008 (-4.15%), 03 Dec 2008 (10.44%)
2007315 Mar 2007 (-0.97%), 09 Apr 2007 (1.88%), 27 Aug 2007 (0.78%)
2006430 Jan 2006 (-0.05%), 20 Jun 2006 (1.84%), 27 Jul 2006 (-1.42%), 27 Dec 2006 (-0.4%)
2005507 Jul 2005 (0.35%), 12 Aug 2005 (-1.21%), 01 Sep 2005 (-0.65%), 05 Oct 2005 (-1.44%), 01 Nov 2005 (3.73%)
2004504 Mar 2004 (-1.31%), 27 May 2004 (-4.44%), 29 Jun 2004 (0.66%), 26 Aug 2004 (-0.79%), 29 Oct 2004 (-0.14%)
2002313 Aug 2002 (-0.68%), 19 Sep 2002 (0.21%), 22 Nov 2002 (1.16%)
2001228 Mar 2001 (-0.16%), 04 Oct 2001 (0.84%)
2000520 Jan 2000 (-1.59%), 22 Feb 2000 (5.24%), 30 Mar 2000 (7.85%), 17 May 2000 (-0.4%), 23 Oct 2000 (0.75%)
1999523 Feb 1999 (-0.55%), 21 Apr 1999 (-2.44%), 22 Jun 1999 (-0.41%), 08 Oct 1999 (-0.14%), 11 Nov 1999 (-1.69%)
1998326 Jun 1998 (0.25%), 26 Oct 1998 (-1.3%), 02 Dec 1998 (-1.07%)
1997304 Jul 1997 (1.21%), 04 Nov 1997 (0.22%), 24 Nov 1997 (2.27%)
1996202 Feb 1996 (20.83%), 14 Nov 1996 (-0.69%)
1995605 May 1995 (4.24%), 07 Jun 1995 (-0.86%), 13 Jul 1995 (0.95%), 25 Sep 1995 (-0.85%), 23 Oct 1995 (-3.28%), 27 Nov 1995 (2.25%)

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
nilnil-1117016983463755.425640.7941654.78-2413.72-8875.742.342.910.062050.22
atrtrail-16.8742786092474551.0915211.5249672.49-6379.58-18987.442.382.490.0634650.66
atrtrail36.0436634692474551.0913902.740679.12-6379.58-18987.442.182.280.0643982.02
atrtrail25.1333257892484452.1712885.3727119.41-6498.17-18987.441.982.160.0663614.98
atrnil27.9428687687414647.1317140.2841387.96-9040.76-20408.971.91.690.0483297.43
atrnil312.0425641484315336.924148.7542607.25-9286.75-20693.982.61.520.0373052.54

In the table above, row 1 shows the best exit criterion. Profit factor is 2.91. 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 55.42%, which is not acceptable. Avoid this strategy. Average return per trade is 1.03%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.06, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play