Study: Sell LICHSGFIN when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell LICHSGFIN when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA" 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
1-27105.3831131841.943335.1611421.32-3914.58-8165.140.850.62-0.041-874.37
2-27886.2131102132.266364.5525985.8-4358.65-9962.071.460.7-0.026-899.56
3-11368.331141745.166409.9122902.26-5947.48-13918.371.080.89-0.0093-366.72
4-20204.3131151648.397720.719289.34-8500.93-20087.120.910.85-0.013-651.75
5-27258.3831161551.616948.4718020.3-9228.93-15711.720.750.8-0.02-879.3
6-33547.7331141745.168043.426649.75-8597.37-18942.940.940.77-0.022-1082.18
78702.4431141745.1611082.0821319.8-8614.51-25354.361.291.060.0049280.72
8-8458.2331131841.9411702.4230588.24-8921.65-28009.581.310.95-0.0041-272.85
9-8946.6531151648.3911203.6727057.18-11062.6-24975.81.010.95-0.0042-288.6
10-29329.0131161551.619784.8724292.85-12392.46-27589.550.790.84-0.014-946.1
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
atrnil25.57-18755.6135102528.5717425.5124481.95-7720.43-12193.712.260.9-0.0093-535.87
atrnil39.58-62194.453152616.1328338.4536722.93-7841.8-12193.713.610.69-0.03-2006.27
atrtrail23.58-67526.254010302511848.1724481.95-6200.27-11530.911.910.64-0.038-1688.16
200trail21.5-45590.9348113722.925493.797659.12-2865.47-3998.651.920.57-0.054-949.81
200nil21.54-48516.0348113722.925493.797659.12-2944.53-3998.651.870.55-0.057-1010.75
200trail31.78-50702.864673915.228167.2810427.57-2765.99-3998.652.950.53-0.056-1102.24
200nil31.83-57106.034673915.228167.2810427.57-2930.18-3998.652.790.5-0.062-1241.44
atrtrail33.8-102015401030258399.2929525.16-6200.27-11530.911.350.45-0.066-2550.38
atrtrail-13.9-114152401030257185.5517387.77-6200.27-11530.911.160.39-0.086-2853.81
200trail-12.17-90820.584673915.222436.175271.29-2765.99-3998.650.880.16-0.19-1974.36

In the table above, row 1 shows the best exit criterion. Profit factor is 0.9. 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 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is -0.27%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
LICHSGFIN Performance, Profit Factor:0.903

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019308 May 2019 (-3.09%), 15 May 2019 (-3.04%), 08 Aug 2019 (-3.53%)
2017304 Jan 2017 (-3.05%), 22 Sep 2017 (4.84%), 03 Oct 2017 (-2.56%)
2016121 Nov 2016 (-5.0%)
2015303 Jun 2015 (-3.19%), 27 Aug 2015 (8.9%), 09 Dec 2015 (-2.66%)
2012402 Jan 2012 (-3.7%), 22 May 2012 (-4.08%), 26 Jul 2012 (-3.35%), 27 Aug 2012 (-2.64%)
2011612 Jul 2011 (-3.71%), 20 Jul 2011 (7.03%), 10 Aug 2011 (-4.18%), 13 Sep 2011 (-4.05%), 23 Sep 2011 (-3.73%), 24 Nov 2011 (-4.49%)
2010124 Nov 2010 (12.24%)
2005230 Jun 2005 (-4.54%), 01 Aug 2005 (8.67%)
2001320 Mar 2001 (-6.1%), 17 Sep 2001 (-3.13%), 21 Sep 2001 (-3.23%)
1999419 Mar 1999 (-5.77%), 05 Apr 1999 (10.9%), 31 May 1999 (-5.29%), 22 Sep 1999 (9.84%)
1997403 Apr 1997 (-4.62%), 24 Jun 1997 (8.23%), 18 Sep 1997 (-3.78%), 22 Sep 1997 (8.04%)
1996115 Jan 1996 (8.44%)



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