Study: Buy JINDALSTEL when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy JINDALSTEL when near 200 SMA and above 200 SMA" 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
188873.237201754.056647.1717987.15-2592.37-7961.632.563.020.0892401.98
238725.4536171947.228041.724046.27-5157.03-13445.881.561.40.0291075.71
3-22160.2836171947.227087.9320657.47-7508.16-19977.040.940.84-0.015-615.56
4-59618.2136132336.118423.2222849.03-7353.05-27987.91.150.65-0.038-1656.06
5-40229.5336171947.226841.8223762.18-8238.97-28978.190.830.74-0.025-1117.49
6-45645.5436152141.678587.3922463.47-8307.45-32146.961.030.74-0.026-1267.93
7-73314.6836171947.228242.5242870.81-11233.55-31549.940.730.66-0.035-2036.52
8-12145136152141.679590.6435023.92-12633.86-28776.980.760.54-0.056-3373.65
9-13995436112530.5612395.4935661.88-11052.19-31044.261.120.49-0.062-3887.62
10-14257136142238.8912494.9736129.44-14431.85-37322.870.870.55-0.052-3960.31

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.02. Strategy is very good and impressively bullish. Percentage of profitable trades is 54.05%, which is not acceptable. Avoid this strategy. Average return per trade is 1.2%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.089, 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=1, Profit Factor:3.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019114 Nov 2019 (2.79%)
2018327 Jun 2018 (-1.5%), 11 Jul 2018 (0.53%), 18 Sep 2018 (0.0%)
2016421 Apr 2016 (-0.55%), 09 Nov 2016 (8.99%), 28 Nov 2016 (-0.49%), 20 Dec 2016 (-0.28%)
2014313 Jan 2014 (-2.42%), 29 Jan 2014 (-1.59%), 11 Aug 2014 (2.15%)
2013311 Jan 2013 (3.44%), 30 Jan 2013 (-1.25%), 30 Dec 2013 (-0.78%)
2012117 Dec 2012 (1.78%)
2011414 Jan 2011 (-1.58%), 22 Feb 2011 (-0.37%), 29 Mar 2011 (1.33%), 13 Apr 2011 (-1.33%)
2010514 May 2010 (1.04%), 17 Jun 2010 (0.95%), 18 Aug 2010 (2.15%), 15 Nov 2010 (-1.01%), 03 Dec 2010 (2.82%)
2008116 Jun 2008 (2.88%)
2006211 Jul 2006 (4.32%), 06 Sep 2006 (3.5%)
2005214 Jun 2005 (1.44%), 28 Jun 2005 (-1.03%)
2004115 Jul 2004 (7.65%)
2002326 Feb 2002 (-1.84%), 09 Apr 2002 (4.34%), 21 May 2002 (0.13%)
2001214 Mar 2001 (6.25%), 06 Jun 2001 (-3.98%)
2000211 Dec 2000 (8.0%), 29 Dec 2000 (-2.04%)

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-1188873.237201754.056647.1717987.15-2592.37-7961.632.563.020.0892401.98
200trail31.4639714.1357183931.588475.9511879.51-2893.66-3867.762.931.350.029696.74
200nil31.4632844.7257183931.588475.9511879.51-3069.8-3867.762.761.270.024576.22
200trail21.2613393.9858213736.215778.277919.67-2917.56-3867.761.981.120.012230.93
200nil21.2810779.657213636.845778.277919.67-3071.23-3887.241.881.10.0098189.12
200trail-12.25-6912.0255154027.277234.1120982.14-2885.59-3867.762.510.94-0.0052-125.67
atrtrail23.24-70090.4845143131.119508.4122918.14-6555.11-14989.451.450.66-0.039-1557.57
atrtrail33.6-78938.6245143131.118876.434377.21-6555.11-14989.451.350.61-0.043-1754.19
atrtrail-14.02-96592.1745143131.117615.4436262.03-6555.11-14989.451.160.52-0.056-2146.49
atrnil23.95-1347744093122.515724.3922918.14-8912.7-27500.571.760.51-0.068-3369.35
atrnil35-1678123853313.1624482.7334377.21-8794.72-27500.572.780.42-0.081-4416.11

In the table above, row 1 shows the best exit criterion. Profit factor is 3.02. Strategy is very good and impressively bullish. Percentage of profitable trades is 54.05%, which is not acceptable. Avoid this strategy. Average return per trade is 1.2%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.089, 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.

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