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

home > technical-strategy > jindalstel > 17

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
133306.347281959.573441.4312286.62-3318.61-7016.761.041.530.036708.64
2-1600.3546252154.354796.0116582.77-5785.75-14488.640.830.99-0.0012-34.79
335016.5346252154.356353.620491.56-5896.35-21743.391.081.280.022761.23
476979.3346281860.877292.8427302.34-7067.79-23310.481.031.610.0391673.46
562641.4646242252.178404.5125425.34-6321.22-16945.751.331.450.0321361.77
651819.0746242252.179910.1532177.96-8455.66-32812.51.171.280.0211126.5
761924.9946271958.79137.541197.29-9725.65-30727.410.941.340.0231346.2
841568.9946281860.879817.1351194.12-12961.7-48579.820.761.180.012903.67
925321.146252154.3512056.9961793.3-13147.79-67238.540.921.090.0064550.46
1058924.4346291763.0411238.3653244.21-15705.18-69218.080.721.220.0151280.97
Although, strategy looks good but profit factor on day 2 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
50trail-13.25964369175224.6411673.8147344.98-2669.46-3985.84.371.430.02864.39
atrnil39.5343906.2538112728.9525413.4940431.9-8727.49-17350.582.911.190.0161155.43
50trail21.9412174.970234732.866242.917934.41-2796-3985.82.231.090.009173.93
50nil22.0912557.8569244534.786290.387934.41-3075.81-3985.82.051.090.009182
atrtrail-15.8610217.251213041.189037.7146488.28-5985.82-12625.771.511.060.0043200.34
atrtrail25.24-2665.9351213041.188424.2319141.2-5985.82-12625.771.410.99-0.0014-52.27
50trail32.3-2433.3169195027.547033.3711741.29-2721.35-3985.82.580.98-0.0016-35.27
50nil32.76-14529.8767165123.889040.6811741.29-3121.19-3985.82.90.91-0.0092-216.86
atrtrail35.51-17801.7351213041.187703.4728711.79-5985.82-12625.771.290.9-0.0092-349.05
atrnil28.63-49276.5538112728.9516942.3326954.6-8727.49-17350.581.940.79-0.024-1296.75

In the table above, row 1 shows the best exit criterion. Profit factor is 1.43. 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 24.64%, which is not acceptable. Avoid this strategy. Average return per trade is 0.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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:1.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019207 May 2019 (5.44%), 13 Jun 2019 (5.82%)
2018407 Aug 2018 (-1.94%), 27 Aug 2018 (-1.7%), 20 Dec 2018 (-1.04%), 31 Dec 2018 (5.71%)
2017103 Jan 2017 (-1.99%)
2016722 Mar 2016 (-1.42%), 05 Apr 2016 (-1.17%), 11 May 2016 (-1.57%), 12 May 2016 (2.0%), 08 Jun 2016 (-1.1%), 09 Jun 2016 (-1.3%), 10 Jun 2016 (-0.22%)
2015212 Jan 2015 (-1.29%), 13 Jan 2015 (-1.59%)
2014214 Jan 2014 (-1.92%), 26 Dec 2014 (-1.08%)
2013524 Jan 2013 (-1.91%), 25 Oct 2013 (-1.37%), 30 Oct 2013 (-1.11%), 07 Nov 2013 (-0.2%), 19 Dec 2013 (-1.34%)
2012503 Jul 2012 (-1.94%), 23 Oct 2012 (-0.55%), 31 Oct 2012 (-1.82%), 02 Nov 2012 (-1.22%), 07 Nov 2012 (0.82%)
20111601 Mar 2011 (-1.75%), 08 Mar 2011 (0.65%), 16 Mar 2011 (-0.29%), 21 Mar 2011 (-1.18%), 19 Apr 2011 (-1.72%), 01 Jun 2011 (2.63%), 27 Jun 2011 (-1.09%), 11 Jul 2011 (0.49%), 14 Jul 2011 (15.96%), 20 Sep 2011 (-1.54%), 21 Sep 2011 (4.24%), 12 Oct 2011 (-1.16%), 18 Oct 2011 (-1.1%), 01 Dec 2011 (-1.72%), 13 Dec 2011 (-1.65%), 14 Dec 2011 (-1.34%)
2010228 Jul 2010 (-0.1%), 10 Aug 2010 (-1.12%)
2009214 Jan 2009 (-1.98%), 21 Jan 2009 (-1.57%)
2008413 Aug 2008 (0.93%), 22 Aug 2008 (-1.52%), 25 Aug 2008 (-0.14%), 04 Sep 2008 (23.58%)
2004107 Jul 2004 (-1.84%)
2002608 Jan 2002 (1.89%), 07 Feb 2002 (-1.94%), 19 Feb 2002 (-1.73%), 28 Feb 2002 (-1.94%), 18 Mar 2002 (1.24%), 08 Apr 2002 (-1.84%)
2001228 Aug 2001 (-1.32%), 29 Aug 2001 (23.67%)
2000817 Jul 2000 (-1.49%), 27 Sep 2000 (-1.32%), 16 Oct 2000 (4.03%), 30 Oct 2000 (0.13%), 07 Nov 2000 (-1.45%), 08 Nov 2000 (-1.07%), 14 Nov 2000 (-1.34%), 17 Nov 2000 (-0.34%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play