Study: Sell JINDALSTEL when near 200 SMA and below 200 SMA

home > technical-strategy > jindalstel > 1

In this study, we evaluate the performance of strategy "Sell JINDALSTEL when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell JINDALSTEL 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
1-31733.634181652.943308.5413299.49-5705.46-29407.570.580.65-0.03-933.34
2-41512.1234151944.126450.6626852.79-7277.47-51249.110.890.7-0.024-1220.94
3-35287.1634142041.188807.6520491.56-7929.72-42826.551.110.78-0.02-1037.86
4-17899.4334181652.947362.3127302.34-9401.31-38401.140.780.88-0.0097-526.45
5-19239.2634161847.0610236.1423893.59-10167.64-54817.991.010.89-0.0088-565.86
637189.0534191555.8811498.526473.2-12085.5-38543.90.951.210.0171093.8
71146634181652.941126033935.45-11950.87-39286.410.941.060.005337.24
8-9317.73417175011220.2939854.9-11768.39-35484.250.950.95-0.004-274.05
920878.8734211361.769413.2548222.49-13599.96-41560.640.691.120.0084614.08
10-1850.2634211361.7610481.1636227.33-17073.42-60899.070.610.99-0.00064-54.42
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
atrtrail23.8863330.215020304012586.0126224.02-6279.66-10849.121.340.0271266.6
200trail-12.8234201.6457154226.329925.826812.4-2730.6-3928.323.641.30.02600.03
200nil32.0530930.6755163929.099246.4711718.26-3000.33-3928.323.081.260.022562.38
200trail31.8623711.5357164128.078621.4511718.26-2786.14-3928.323.091.210.018415.99
atrtrail34.5829355.75020304010887.2839336.02-6279.66-10849.11.731.160.012587.11
atrtrail-14.9619049.085020304010371.9536953.82-6279.66-10849.11.651.10.008380.98
atrnil25.521647.8540152537.516091.8226224.02-8789.18-27524.041.831.10.0095541.2
atrnil39.0311269.773592625.7125620.9139336.02-8435.32-27524.043.041.050.0046321.99
200trail21.59-6143.3659184130.516094.477812.18-2825.46-3928.322.160.95-0.0055-104.12
200nil21.68-6836.7757183931.586152.467812.18-3014.9-3928.322.040.94-0.0062-119.94

In the table above, row 1 shows the best exit criterion. Profit factor is 1.34. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 40%, which is not acceptable. Avoid this strategy. Average return per trade is 0.63%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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.
JINDALSTEL Performance, Profit Factor:1.34

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019529 Mar 2019 (-3.8%), 11 Apr 2019 (-3.97%), 22 Apr 2019 (0.92%), 26 Apr 2019 (-4.45%), 13 Jun 2019 (9.02%)
2018230 Aug 2018 (8.49%), 12 Sep 2018 (-4.49%)
2017104 Jan 2017 (-3.67%)
2016208 Jul 2016 (-4.02%), 20 Jul 2016 (-1.51%)
2014602 Jan 2014 (-1.72%), 15 Jan 2014 (-3.07%), 27 Jan 2014 (-2.97%), 31 Jan 2014 (6.27%), 19 Feb 2014 (-0.49%), 03 Mar 2014 (-3.2%)
2013418 Jan 2013 (-2.11%), 31 Jan 2013 (6.7%), 10 Dec 2013 (6.75%), 23 Dec 2013 (-1.68%)
2012129 Mar 2012 (9.73%)
20111011 Jan 2011 (-2.87%), 13 Jan 2011 (-2.93%), 27 Jan 2011 (-3.37%), 16 Feb 2011 (-3.58%), 23 Feb 2011 (7.15%), 01 Mar 2011 (0.11%), 28 Mar 2011 (-2.74%), 15 Apr 2011 (-1.06%), 20 Apr 2011 (-2.67%), 28 Apr 2011 (5.16%)
2010624 May 2010 (0.66%), 28 May 2010 (2.87%), 23 Jun 2010 (6.4%), 16 Nov 2010 (5.24%), 02 Dec 2010 (-3.65%), 20 Dec 2010 (-3.54%)
2009106 Apr 2009 (-5.19%)
2008209 Jun 2008 (-4.59%), 13 Jun 2008 (13.11%)
2005216 Jun 2005 (-3.46%), 29 Jun 2005 (5.71%)
2001502 Jan 2001 (-5.42%), 08 Jan 2001 (-0.22%), 16 Mar 2001 (0.3%), 29 Mar 2001 (9.22%), 12 Jun 2001 (12.54%)
2000307 Jul 2000 (-3.33%), 15 Dec 2000 (-4.42%), 21 Dec 2000 (9.51%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play