Study: Sell JINDALSTEL when there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell JINDALSTEL when there is Bearish Crossover in MACD and ADX is Trending" 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
1-78194.9459243540.684580.311779.47-5374.92-16791.710.850.58-0.045-1325.34
2-14210759233638.987367.5916215.44-8654.49-31430.160.850.54-0.051-2408.6
3-14006059283147.466767.3923062.6-10630.53-36666.20.640.57-0.045-2373.89
4-16278059293049.157711.3820580.47-12880.33-42725.320.60.58-0.047-2758.98
5-17738159263344.079065.3420443.66-12517.57-570680.720.57-0.046-3006.46
6-36217659243540.688362.4619231.9-16082.15-73397.510.520.36-0.082-6138.58
7-31001859263344.079739.8427560.91-17068.3-90816.480.570.45-0.061-5254.55
8-39170959273245.7611291.8439793.44-21768.4-1649880.520.44-0.053-6639.14
9-45499059233638.9813232.9652612.39-21093-1749810.630.4-0.059-7711.69
10-44127259273245.7612849.4951518.83-24631.51-1888300.520.44-0.052-7479.19

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.58. This strategy is not profitable and we advice you not to use it.

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
atrnil37.85-94454.973185524.6629180.4252160.41-11267.32-28804.612.590.85-0.016-1293.9
atrnil25.79-14486276235330.2619925.0834773.61-11379.97-28804.611.750.76-0.028-1906.08
atrtrail23.57-16268476255132.8911997.7534773.61-9071.14-28804.611.320.65-0.039-2140.59
atrtrail33.97-18342874225229.7312677.1952160.41-8890.89-28804.611.430.6-0.042-2478.76
nilnil-11-78194.9459243540.684580.311779.47-5374.92-16791.710.850.58-0.045-1325.34
atrtrail-14.59-23309174225229.7310419.7845859.38-8890.89-28804.611.170.5-0.059-3149.88

In the table above, row 1 shows the best exit criterion. Profit factor is 0.85. 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 24.66%, which is not acceptable. Avoid this strategy. Average return per trade is -0.65%, 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:0.848

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019320 Mar 2019 (-4.0%), 11 Apr 2019 (-3.97%), 22 Apr 2019 (12.91%)
2017325 Jul 2017 (-3.28%), 04 Aug 2017 (-4.7%), 07 Aug 2017 (13.67%)
2016210 Aug 2016 (-5.65%), 26 Aug 2016 (-4.75%)
2015611 Mar 2015 (18.31%), 28 May 2015 (17.24%), 17 Aug 2015 (-7.19%), 21 Aug 2015 (-7.65%), 04 Nov 2015 (-5.28%), 09 Dec 2015 (-5.64%)
2014510 Apr 2014 (10.84%), 16 Jun 2014 (14.89%), 27 Aug 2014 (17.33%), 01 Dec 2014 (-5.94%), 17 Dec 2014 (-5.92%)
2013508 Apr 2013 (-4.13%), 29 Apr 2013 (-4.44%), 26 Jul 2013 (-5.79%), 29 Jul 2013 (-5.65%), 12 Dec 2013 (10.29%)
2012224 Feb 2012 (11.54%), 11 Oct 2012 (-4.92%)
2010303 Sep 2010 (-3.24%), 15 Sep 2010 (-2.59%), 12 Oct 2010 (7.5%)
2009508 May 2009 (-5.55%), 08 Jun 2009 (-5.45%), 18 Jun 2009 (-6.7%), 05 Aug 2009 (-5.15%), 28 Oct 2009 (12.69%)
2008211 Feb 2008 (-14.4%), 04 Mar 2008 (-9.22%)
2007913 Feb 2007 (-4.89%), 23 May 2007 (-3.66%), 11 Jun 2007 (-4.54%), 30 Jul 2007 (-4.85%), 02 Aug 2007 (-4.95%), 19 Oct 2007 (-8.81%), 12 Nov 2007 (-10.15%), 13 Nov 2007 (-9.8%), 17 Dec 2007 (-8.45%)
2006520 Mar 2006 (-4.43%), 13 Apr 2006 (-5.49%), 17 Apr 2006 (-5.33%), 21 Nov 2006 (-3.51%), 08 Dec 2006 (11.07%)
2005710 Jan 2005 (-5.19%), 22 Feb 2005 (-3.44%), 17 Mar 2005 (12.96%), 30 Jun 2005 (-3.3%), 26 Sep 2005 (-3.55%), 30 Sep 2005 (-3.21%), 06 Oct 2005 (10.52%)
2004212 Jan 2004 (18.48%), 10 Dec 2004 (-3.23%)
2003629 Jan 2003 (-4.94%), 31 Mar 2003 (-4.82%), 12 Jun 2003 (-5.13%), 03 Sep 2003 (-6.73%), 12 Sep 2003 (-6.92%), 21 Oct 2003 (-6.05%)
2002206 May 2002 (-5.77%), 15 Jul 2002 (21.78%)
2001316 Feb 2001 (-7.16%), 19 Feb 2001 (-6.79%), 14 Dec 2001 (14.54%)
2000308 Feb 2000 (-6.36%), 01 Mar 2000 (-7.19%), 06 Mar 2000 (26.08%)



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