Study: Buy JINDALSTEL when there is Bullish Crossover in MACD

home > technical-strategy > jindalstel > 29

In this study, we evaluate the performance of strategy "Buy JINDALSTEL when there is Bullish Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. sell 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
1254744166848250.66625.4951496.62-3680.45-16610.41.81.840.0431534.6
2300819165897653.947962.3550080.46-5366.18-20519.351.481.740.0421823.15
3470168165897653.9411444.8783962.56-7216.13-37328.381.591.860.0452849.5
4647589165897653.9414123.3991736.8-8018.32-35939.271.762.060.0533924.78
5767928165897653.9416405.74102512-9107.67-34862.911.82.110.0564654.11
6851445165907554.5517326.46116258-9439.15-30803.271.842.20.0575160.27
7864228165927355.7617751.38111302-10532.85-37745.081.692.120.0585237.75
8677701165848150.9118532.187585.34-10851.79-37671.961.711.770.0464107.28
9661356165848150.9119365.4370290.77-11917.78-36048.881.621.690.0444008.22
10636942165917455.1518422.6883775.25-14047.59-38665.361.311.610.0413860.25

From the table above, we see that best results are achieved by holding positions for 6 trading days. Profit factor is 2.2. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 54.55%, which is not acceptable. Avoid this strategy. Average return per trade is 2.58%, which is very good. Sharpe Ratio is 0.057, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
JINDALSTEL Performance, X=6, Profit Factor:2.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019707 Feb 2019 (1.72%), 01 Apr 2019 (0.66%), 16 Apr 2019 (-7.5%), 27 May 2019 (-3.69%), 12 Jun 2019 (-10.2%), 15 Jul 2019 (3.82%), 26 Aug 2019 (-5.54%)
2018802 Apr 2018 (8.84%), 09 May 2018 (-2.04%), 07 Jun 2018 (-4.31%), 09 Jul 2018 (-10.06%), 27 Jul 2018 (1.69%), 20 Aug 2018 (5.97%), 30 Oct 2018 (8.02%), 13 Dec 2018 (3.29%)
2017904 Jan 2017 (13.27%), 11 May 2017 (-2.01%), 25 May 2017 (2.83%), 03 Jul 2017 (7.89%), 27 Jul 2017 (-9.49%), 01 Sep 2017 (0.32%), 06 Oct 2017 (7.76%), 21 Nov 2017 (-0.43%), 19 Dec 2017 (12.5%)
2016908 Feb 2016 (-3.51%), 01 Apr 2016 (3.7%), 31 May 2016 (1.9%), 29 Jun 2016 (4.66%), 26 Jul 2016 (0.25%), 23 Aug 2016 (-2.18%), 05 Oct 2016 (-9.22%), 01 Nov 2016 (-9.79%), 28 Nov 2016 (0.0%)
2015820 Jan 2015 (1.32%), 18 Feb 2015 (18.64%), 15 Apr 2015 (-2.72%), 15 May 2015 (-0.88%), 23 Jun 2015 (-6.29%), 19 Aug 2015 (-5.27%), 14 Sep 2015 (-5.3%), 17 Nov 2015 (10.24%)
2014722 Jan 2014 (-4.47%), 18 Feb 2014 (-5.47%), 15 May 2014 (16.48%), 12 Aug 2014 (5.16%), 22 Oct 2014 (1.03%), 03 Dec 2014 (-6.57%), 22 Dec 2014 (4.36%)
2013816 Apr 2013 (-6.74%), 06 May 2013 (-6.8%), 17 May 2013 (-1.92%), 01 Jul 2013 (-2.93%), 30 Jul 2013 (0.52%), 10 Sep 2013 (5.11%), 11 Oct 2013 (-2.89%), 19 Nov 2013 (-1.78%)
2012705 Jan 2012 (1.19%), 19 Apr 2012 (-6.9%), 18 May 2012 (-3.71%), 08 Jun 2012 (-2.32%), 07 Aug 2012 (2.8%), 13 Sep 2012 (30.04%), 23 Nov 2012 (8.78%)
2011716 Feb 2011 (-5.72%), 25 Mar 2011 (6.91%), 18 May 2011 (0.09%), 15 Jun 2011 (-3.62%), 30 Aug 2011 (3.71%), 13 Oct 2011 (6.09%), 05 Dec 2011 (-1.18%)
2010815 Apr 2010 (-1.91%), 31 May 2010 (-6.31%), 13 Jul 2010 (0.58%), 09 Aug 2010 (3.63%), 09 Sep 2010 (-0.32%), 04 Oct 2010 (-2.39%), 05 Nov 2010 (-5.2%), 02 Dec 2010 (4.08%)
20091029 Jan 2009 (17.99%), 16 Mar 2009 (7.88%), 18 May 2009 (4.93%), 10 Jun 2009 (-1.78%), 21 Jul 2009 (11.4%), 24 Aug 2009 (-4.7%), 07 Sep 2009 (5.53%), 14 Oct 2009 (4.8%), 16 Nov 2009 (-0.7%), 09 Dec 2009 (-1.46%)
2008804 Jan 2008 (-3.0%), 06 Feb 2008 (-4.75%), 28 Mar 2008 (-14.87%), 15 Apr 2008 (16.32%), 16 May 2008 (-8.1%), 10 Jul 2008 (-5.97%), 29 Oct 2008 (6.42%), 30 Dec 2008 (5.72%)
2007825 Jan 2007 (11.81%), 21 Mar 2007 (6.83%), 04 Jun 2007 (-11.11%), 06 Jul 2007 (6.9%), 01 Aug 2007 (-7.03%), 31 Aug 2007 (0.46%), 26 Oct 2007 (52.95%), 26 Nov 2007 (9.83%)
20061030 Jan 2006 (-6.99%), 22 Feb 2006 (3.6%), 27 Mar 2006 (9.83%), 05 May 2006 (-0.78%), 22 Jun 2006 (-6.55%), 31 Jul 2006 (-0.57%), 06 Sep 2006 (3.68%), 01 Nov 2006 (8.15%), 30 Nov 2006 (-0.33%), 29 Dec 2006 (-4.77%)
2005902 Feb 2005 (12.63%), 03 Mar 2005 (6.66%), 12 May 2005 (-3.08%), 01 Jun 2005 (-0.67%), 06 Jul 2005 (6.95%), 02 Sep 2005 (13.19%), 28 Sep 2005 (1.21%), 08 Nov 2005 (5.19%), 13 Dec 2005 (3.18%)
20041011 Feb 2004 (-6.07%), 09 Mar 2004 (-7.56%), 31 Mar 2004 (-1.57%), 24 May 2004 (-15.4%), 10 Jun 2004 (-5.01%), 28 Jun 2004 (6.71%), 08 Sep 2004 (-0.82%), 01 Oct 2004 (16.83%), 12 Nov 2004 (4.02%), 27 Dec 2004 (13.68%)
2003822 Mar 2003 (-9.48%), 04 Apr 2003 (-1.71%), 28 Apr 2003 (5.98%), 27 Jun 2003 (10.47%), 07 Aug 2003 (40.8%), 05 Sep 2003 (-8.74%), 06 Oct 2003 (6.4%), 01 Dec 2003 (11.48%)
2002909 Jan 2002 (-2.32%), 23 Jan 2002 (0.16%), 25 Feb 2002 (-2.26%), 05 Apr 2002 (10.54%), 03 Jun 2002 (29.34%), 22 Aug 2002 (-3.9%), 17 Oct 2002 (-5.83%), 18 Nov 2002 (0.65%), 23 Dec 2002 (7.84%)
2001612 Jan 2001 (58.13%), 29 Mar 2001 (-10.36%), 06 Jul 2001 (1.19%), 25 Sep 2001 (2.87%), 09 Nov 2001 (5.58%), 04 Dec 2001 (2.0%)
2000918 Jan 2000 (28.27%), 18 Feb 2000 (-0.08%), 07 Apr 2000 (-6.08%), 30 May 2000 (20.57%), 12 Jul 2000 (0.38%), 04 Sep 2000 (3.42%), 26 Sep 2000 (14.66%), 30 Oct 2000 (0.2%), 07 Dec 2000 (13.66%)

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-16851445165907554.5517326.46116258-9439.15-30803.271.842.20.0575160.27
atrtrail-15.675892241847411040.2219178.6786698.75-7545.44-23593.612.541.710.043202.3
atrtrail34.773745231877511240.1116296.548953.37-7568.88-23593.612.151.440.0322002.8
atrnil384973261745711732.7628724.2791927.56-9743.23-23593.612.951.440.0332858.19
atrtrail24.053011321937811540.4115115.6332635.58-7633.8-23593.611.981.340.0281560.27
atrnil25.142632631907411638.9518789.8961285.04-9717.14-23593.611.931.230.0211385.6

In the table above, row 1 shows the best exit criterion. Profit factor is 2.2. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 54.55%, which is not acceptable. Avoid this strategy. Average return per trade is 2.58%, which is very good. Sharpe Ratio is 0.057, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play