Study: Buy LICHSGFIN when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy LICHSGFIN when near 200 SMA and above 200 SMA and ADX is Trending" 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
143051.4328181064.294842.415039.02-4411.18-15283.271.11.980.0521537.55
263583.672820871.435689.2118331.62-6275.07-29249.010.912.270.0572270.85
325054.4828151353.578277.7821406.21-7624.02-42687.751.091.250.016894.8
453380.772819967.867597.2918035.16-10107.52-35309.620.751.590.0341906.46
5-555.2528171160.716779.4719552.13-10527.83-46376.810.641-0.00031-19.83
617402.062814145010181.4820154.11-8938.47-45849.81.141.140.0092621.5
717841.1328181064.298464.6922369.35-13452.32-56653.490.631.130.0085637.18
821276.7228181064.299325.720477.65-14658.58-56126.480.641.150.01759.88
932673.522819967.8610508.4523362.5-18554.1-56653.490.571.20.0141166.91
1058723.62820871.4311072.7325510.91-20341.38-54545.450.541.360.0242097.27

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.27. 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 71.43%, which is good. Average return per trade is 1.14%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.057, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
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=2, Profit Factor:2.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019203 May 2019 (-2.12%), 07 Aug 2019 (1.4%)
2018103 Aug 2018 (4.45%)
2017205 Jan 2017 (0.25%), 04 Oct 2017 (2.79%)
2016209 Mar 2016 (0.27%), 17 Nov 2016 (-1.1%)
2015326 May 2015 (1.64%), 17 Jun 2015 (5.89%), 29 Sep 2015 (2.83%)
2013103 Jun 2013 (3.64%)
2012214 May 2012 (2.96%), 30 May 2012 (-1.62%)
2011211 Apr 2011 (2.23%), 28 Nov 2011 (3.23%)
2008128 Jul 2008 (0.35%)
2006315 May 2006 (0.67%), 06 Nov 2006 (-0.78%), 27 Nov 2006 (-1.83%)
2005105 Jul 2005 (2.77%)
2001316 Mar 2001 (-0.17%), 02 Apr 2001 (4.83%), 20 Sep 2001 (1.29%)
2000129 Feb 2000 (-14.62%)
1998129 Apr 1998 (9.17%)
1997101 Jan 1997 (-2.86%)
1996201 Apr 1996 (6.04%), 16 Oct 1996 (0.18%)

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-1263583.672820871.435689.2118331.62-6275.07-29249.010.912.270.0572270.85
200trail31.7540651.7136122433.338949.1511713.41-2780.75-3708.853.221.610.041129.21
atrnil313.8376737.4230102033.3324936.7636990.91-8631.51-18240.672.891.440.0312557.91
200nil31.7831959.9336112530.569525.9611713.41-2913.02-3708.853.271.440.031887.78
200trail21.4417762.3936132336.116271.187808.94-2772.3-3708.852.261.280.023493.4
200nil21.4714533.8236132336.116271.187808.94-2912.67-3708.852.151.220.018403.72
atrtrail35.0914008.2233141942.4211096.2731424.01-7438.93-18240.671.491.10.0073424.49
atrnil26.845303.131112035.4816175.7524660.61-8631.51-18240.671.871.030.0028171.07
200trail-12.831770.1636122433.335709.0216927.52-2780.75-3708.852.051.030.00249.17
atrtrail-15.64-671.433141942.4210047.7331287.62-7438.93-18240.671.351-0.00038-20.35
atrtrail23.97-5044.7833141942.429735.3420949.34-7438.93-18240.671.310.96-0.003-152.87

In the table above, row 1 shows the best exit criterion. Profit factor is 2.27. 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 71.43%, which is good. Average return per trade is 1.14%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.057, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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