Study: Buy JINDALSTEL when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy JINDALSTEL when RSI is above 50 and there is Bullish 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: 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
152688.3542241857.145417.3218844.46-4295.96-14258.151.261.680.0421254.48
251287.69422121508565.4626256.46-6123.19-19269.591.41.40.0291221.14
314149142241857.1412268.4583962.56-8497.34-23320.921.441.930.0453368.83
416162142231954.7613407.3791736.8-7723.63-25882.721.742.10.0483848.11
520194542251759.5215140.81102512-10386.78-31876.711.462.140.0524808.21
614172542192345.2419655.74105893-10075.37-29741.131.951.610.0343374.42
791494.5242202247.6217068.990657.28-11358.34-37745.081.51.370.0242178.44
8-23117.4242152735.7119386.877643.22-11626.64-30885.191.670.93-0.0064-550.41
9-40712.4742142833.3320886.2156153.17-11897.12-35739.61.760.88-0.012-969.34
10-60942.5641162539.0218999.0350500.91-14597.08-38665.361.30.83-0.016-1486.4
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
JINDALSTEL Performance, X=5, Profit Factor:2.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020521 Jan 2020 (-5.54%), 06 Feb 2020 (-1.95%), 13 Jul 2020 (4.44%), 03 Aug 2020 (5.66%), 05 Oct 2020 (-1.88%)
2019501 Apr 2019 (0.68%), 16 Apr 2019 (-11.7%), 27 May 2019 (-4.44%), 16 Jul 2019 (0.96%), 25 Nov 2019 (3.0%)
2017127 Jul 2017 (-7.03%)
2016123 Aug 2016 (0.52%)
2015117 Nov 2015 (5.3%)
2014216 May 2014 (11.43%), 03 Dec 2014 (-3.16%)
2013107 May 2013 (-8.6%)
2012114 Sep 2012 (19.13%)
2010309 Sep 2010 (-0.92%), 04 Oct 2010 (-0.43%), 03 Dec 2010 (2.55%)
2009318 May 2009 (6.73%), 10 Jun 2009 (3.44%), 21 Jul 2009 (7.84%)
2008128 Mar 2008 (-15.94%)
2007404 Jun 2007 (-7.73%), 01 Aug 2007 (-3.5%), 26 Oct 2007 (51.26%), 26 Nov 2007 (0.47%)
2006227 Mar 2006 (7.52%), 30 Nov 2006 (2.58%)
2005303 Mar 2005 (9.15%), 06 Jul 2005 (8.05%), 28 Sep 2005 (3.49%)
2004311 Feb 2004 (-2.71%), 31 Mar 2004 (-1.7%), 27 Dec 2004 (10.33%)
2003304 Apr 2003 (2.66%), 05 Sep 2003 (-6.58%), 06 Oct 2003 (10.85%)
2002123 Dec 2002 (8.73%)
2001104 Dec 2001 (2.48%)
2000118 Feb 2000 (-4.48%)

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
atrnil35.7661227.846143230.4326225.6843125.64-9560.36-19863.192.741.20.0171331.04
atrtrail-14.3927343.8746182839.1314199.6470138.12-8151.77-19863.191.741.120.0085594.43
atrtrail33.8710350.3647182938.313669.5243125.64-8127.62-19863.191.681.040.0036220.22
atrtrail23.314730.3348183037.513682.9628750.43-8052.1-19863.191.71.020.001898.55
atrnil24.26-1788.0247163134.0418029.0128750.43-9362.98-19863.191.930.99-0.00062-38.04

In the table above, row 1 shows the best exit criterion. Profit factor is 1.2. 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 30.43%, which is not acceptable. Avoid this strategy. Average return per trade is 0.67%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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:1.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020621 Jan 2020 (-3.88%), 24 Jan 2020 (-3.88%), 06 Feb 2020 (-4.44%), 13 Jul 2020 (13.15%), 04 Aug 2020 (11.42%), 05 Oct 2020 (-5.81%)
2019501 Apr 2019 (-3.78%), 16 Apr 2019 (-3.64%), 27 May 2019 (-5.32%), 16 Jul 2019 (-5.08%), 25 Nov 2019 (-5.07%)
2017127 Jul 2017 (-3.34%)
2016123 Aug 2016 (-4.91%)
2015117 Nov 2015 (16.43%)
2014216 May 2014 (13.72%), 03 Dec 2014 (-5.49%)
2013107 May 2013 (-3.86%)
2012114 Sep 2012 (13.79%)
2010309 Sep 2010 (-2.82%), 04 Oct 2010 (-2.33%), 03 Dec 2010 (-3.59%)
2009318 May 2009 (16.68%), 10 Jun 2009 (-5.15%), 21 Jul 2009 (15.04%)
2008128 Mar 2008 (-8.51%)
2007504 Jun 2007 (-3.85%), 05 Jun 2007 (-4.15%), 01 Aug 2007 (-4.84%), 26 Oct 2007 (21.56%), 26 Nov 2007 (-9.93%)
2006227 Mar 2006 (11.92%), 30 Nov 2006 (-3.21%)
2005403 Mar 2005 (10.61%), 04 Mar 2005 (-3.73%), 06 Jul 2005 (9.05%), 28 Sep 2005 (-3.33%)
2004311 Feb 2004 (-5.7%), 31 Mar 2004 (-5.32%), 27 Dec 2004 (8.45%)
2003404 Apr 2003 (12.38%), 05 Sep 2003 (-6.24%), 08 Sep 2003 (-6.45%), 06 Oct 2003 (-5.62%)
2002123 Dec 2002 (9.37%)
2001104 Dec 2001 (-3.99%)
2000118 Feb 2000 (-5.7%)



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