Study: Sell JINDALSTEL when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell JINDALSTEL when RSI is below 50 and there is Bearish Crossover in MACD" 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
1-73454.2289325735.964310.0614601.2-3708.35-10160.571.160.65-0.039-825.33
2-12292589375241.575294.7215316.12-6131.33-26529.110.860.61-0.042-1381.18
3-14354889424747.197354.119709.11-9625.97-34212.090.760.68-0.033-1612.9
4-76745.589444549.449073.430970.8-10577.23-31104.160.860.84-0.015-862.31
5-73752.1289444549.4410365.5235401.21-11774.11-34490.120.880.86-0.013-828.68
6-11126689424747.1911928.6744504.38-13027.03-46465.640.920.82-0.017-1250.18
7-11729589404944.9414007.1746023.82-13828.2-42210.21.010.83-0.017-1317.92
8-18605389375241.5715200.7347076.12-14393.85-43040.531.060.75-0.026-2090.49
9-16494088404845.4514602.2756811.5-15604.8-54091.550.940.78-0.022-1874.31
10-18455988385043.1815659.2246422.74-15592.18-52616.6310.76-0.024-2097.26
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
atrnil26.27-140280102297328.4320436.9934773.61-10040.45-28804.612.040.81-0.021-1375.3
atrtrail24.2-133483103307329.1314390.5234773.61-7742.45-28804.611.860.76-0.024-1295.95
atrnil39.72-18027188187020.4529814.6652160.41-10241.93-28804.612.910.75-0.027-2048.54
atrtrail-15.16-172578102287427.4514238.5445859.38-7719.69-28804.611.840.7-0.03-1691.94
atrtrail34.67-174007102287427.4514187.4952160.41-7719.69-28804.611.840.7-0.031-1705.95

In the table above, row 1 shows the best exit criterion. Profit factor is 0.81. 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 28.43%, which is not acceptable. Avoid this strategy. Average return per trade is -0.69%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
JINDALSTEL Performance, Profit Factor:0.809

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019703 Jan 2019 (-5.07%), 04 Jan 2019 (9.93%), 10 Jun 2019 (-4.82%), 18 Jun 2019 (-5.12%), 19 Jun 2019 (11.56%), 31 Jul 2019 (10.67%), 03 Oct 2019 (-7.28%)
2018702 May 2018 (-4.01%), 18 May 2018 (8.99%), 19 Jun 2018 (-4.4%), 16 Jul 2018 (-5.78%), 16 Aug 2018 (-5.19%), 28 Sep 2018 (15.02%), 22 Nov 2018 (10.94%)
2017523 May 2017 (-4.72%), 24 May 2017 (-4.63%), 23 Jun 2017 (-3.81%), 04 Aug 2017 (-4.7%), 25 Sep 2017 (-4.59%)
2016629 Mar 2016 (-6.88%), 04 May 2016 (12.31%), 27 Jun 2016 (-4.23%), 07 Oct 2016 (8.64%), 16 Nov 2016 (-5.93%), 22 Dec 2016 (-4.48%)
2015714 Jan 2015 (-5.17%), 03 Feb 2015 (-4.3%), 21 Apr 2015 (11.11%), 28 May 2015 (11.5%), 17 Aug 2015 (-7.19%), 21 Aug 2015 (15.3%), 01 Sep 2015 (-8.61%)
2014527 Jan 2014 (-2.97%), 28 Jan 2014 (6.02%), 26 Aug 2014 (-6.12%), 01 Dec 2014 (-5.94%), 16 Dec 2014 (-5.76%)
2013808 Apr 2013 (-4.13%), 29 Apr 2013 (-4.44%), 13 May 2013 (-3.86%), 23 May 2013 (-3.7%), 31 May 2013 (-3.74%), 26 Jul 2013 (-5.79%), 29 Jul 2013 (-5.65%), 26 Sep 2013 (-5.06%)
2012623 Apr 2012 (-4.52%), 10 May 2012 (-5.07%), 01 Jun 2012 (-4.42%), 13 Jul 2012 (7.64%), 27 Aug 2012 (7.37%), 28 Aug 2012 (8.74%)
20111010 Jan 2011 (-2.7%), 17 Mar 2011 (-3.31%), 13 Apr 2011 (-2.56%), 13 Jun 2011 (-2.32%), 20 Jun 2011 (-2.4%), 12 Jul 2011 (-2.73%), 26 Sep 2011 (-4.4%), 27 Sep 2011 (8.8%), 15 Nov 2011 (9.34%), 19 Dec 2011 (9.86%)
2010329 Jun 2010 (-3.31%), 02 Aug 2010 (-2.38%), 12 Nov 2010 (4.73%)
2009212 Jan 2009 (-8.87%), 26 Nov 2009 (-4.4%)
2008611 Feb 2008 (-14.4%), 04 Mar 2008 (-9.22%), 10 Apr 2008 (-9.09%), 09 May 2008 (-6.01%), 27 May 2008 (-5.54%), 13 Aug 2008 (13.48%)
2007114 Feb 2007 (-5.17%)
2006417 Jan 2006 (-3.54%), 06 Feb 2006 (-4.28%), 24 Feb 2006 (-3.85%), 24 Jul 2006 (-7.12%)
2005218 May 2005 (7.37%), 30 Jun 2005 (-3.3%)
2004519 Feb 2004 (10.04%), 15 Mar 2004 (10.65%), 11 May 2004 (-4.62%), 31 May 2004 (-8.08%), 24 Jun 2004 (-6.09%)
2003231 Mar 2003 (-4.82%), 24 Apr 2003 (-3.66%)
2002415 Jan 2002 (-4.03%), 21 Feb 2002 (-3.41%), 01 Mar 2002 (-4.37%), 04 Mar 2002 (-4.72%)
2001307 Sep 2001 (6.92%), 30 Oct 2001 (-4.33%), 18 Dec 2001 (9.6%)
2000906 Mar 2000 (17.39%), 15 May 2000 (13.54%), 22 Jun 2000 (10.41%), 31 Jul 2000 (8.47%), 29 Aug 2000 (-4.33%), 30 Aug 2000 (-4.22%), 20 Sep 2000 (-4.99%), 12 Oct 2000 (-5.88%), 26 Dec 2000 (-5.97%)



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