Study: Sell JINDALSTEL when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell JINDALSTEL when below 200 SMA and near 50 SMA and below 50 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
126881.8648282058.333441.4312286.62-3473.9-7016.760.991.390.028560.04
2-7888.6748252352.084796.0116582.77-5556.04-14488.640.860.94-0.0056-164.35
3-3720.3348252352.086353.620491.56-7067.84-29910.480.90.98-0.0019-77.51
434059.348282058.337292.8427302.34-8507.01-42338.070.861.20.014709.57
515458.3248252352.088215.7625425.34-8258.07-50868.880.991.080.0059322.05
6-3628.4648252352.089537.0232177.96-10524.09-56029.490.910.99-0.0011-75.59
7-14455.5648272156.259137.541197.29-12436.57-72985.780.730.94-0.0039-301.16
8-38738.3348282058.339817.1351194.12-15680.9-72353.870.630.88-0.009-807.05
9-61556.3748252352.0812056.9961793.3-15781.78-68351.760.760.83-0.013-1282.42
10-53226.1848291960.4211238.3653244.21-19954.67-88678.250.560.86-0.011-1108.88

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.39. 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 58.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-1126881.8648282058.333441.4312286.62-3473.9-7016.760.991.390.028560.04
50trail-13.1250960.8172175523.6111673.8147344.98-2681.71-3985.84.351.350.016707.79
atrnil39.3516054.2140112927.525413.4940431.9-9086.01-17350.582.81.060.0055401.36
50nil22.063875.6672244833.336290.387934.41-3064.45-3985.82.051.030.002653.83
50trail21.923492.7173235031.516242.917934.41-2801.89-3985.82.231.020.002447.85
atrtrail-15.85-12752.153213239.629037.7146488.28-6329.5-15334.671.430.94-0.005-240.61
50trail32.26-11115.572195326.397033.3711741.29-2731.12-3985.82.580.92-0.0071-154.38
atrtrail25.25-25635.2353213239.628424.2319141.2-6329.5-15334.671.330.87-0.012-483.68
50nil32.7-23212.0670165422.869040.6811741.29-3108.57-3985.82.910.86-0.014-331.6
atrtrail35.51-40771.0353213239.627703.4728711.79-6329.5-15334.671.220.8-0.019-769.26
atrnil28.5-77128.5940112927.516942.3326954.6-9086.01-17350.581.860.71-0.035-1928.21

In the table above, row 1 shows the best exit criterion. Profit factor is 1.39. 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 58.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
JINDALSTEL Performance, X=1, Profit Factor:1.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020120 May 2020 (-3.21%)
2019307 May 2019 (-0.5%), 13 Jun 2019 (2.49%), 15 Oct 2019 (0.68%)
2018307 Aug 2018 (-1.16%), 27 Aug 2018 (-0.8%), 20 Dec 2018 (1.55%)
2017103 Jan 2017 (-1.14%)
2016322 Mar 2016 (-1.06%), 11 May 2016 (-0.63%), 08 Jun 2016 (0.08%)
2015112 Jan 2015 (0.44%)
2014214 Jan 2014 (-1.26%), 26 Dec 2014 (-3.35%)
2013424 Jan 2013 (-3.49%), 25 Oct 2013 (0.02%), 08 Nov 2013 (1.6%), 19 Dec 2013 (0.2%)
2012303 Jul 2012 (-3.51%), 23 Oct 2012 (0.88%), 07 Nov 2012 (0.74%)
20111001 Mar 2011 (0.41%), 16 Mar 2011 (1.78%), 19 Apr 2011 (-2.3%), 01 Jun 2011 (1.09%), 27 Jun 2011 (1.43%), 11 Jul 2011 (3.18%), 25 Jul 2011 (0.43%), 20 Sep 2011 (-0.21%), 12 Oct 2011 (3.36%), 01 Dec 2011 (-2.36%)
2010128 Jul 2010 (1.36%)
2009114 Jan 2009 (-0.01%)
2008213 Aug 2008 (1.35%), 04 Sep 2008 (4.9%)
2004107 Jul 2004 (6.14%)
2002508 Jan 2002 (2.05%), 07 Feb 2002 (-2.56%), 28 Feb 2002 (-1.36%), 18 Mar 2002 (2.03%), 08 Apr 2002 (-2.35%)
2001128 Aug 2001 (0.69%)
2000617 Jul 2000 (0.49%), 27 Sep 2000 (-2.41%), 16 Oct 2000 (6.05%), 30 Oct 2000 (2.41%), 14 Nov 2000 (-1.08%), 29 Nov 2000 (0.36%)



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