Study: Buy JINDALSTEL when RSI is above 50 and ADX is Trending and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy JINDALSTEL when RSI is above 50 and ADX is Trending and there is Golden Cross (50 DMA > 200 DMA)" 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
118302.64541806834.7416027.63-9036.31-9036.310.763.030.13660.53
223172.43541809057.7118944.84-13058.42-13058.420.692.770.0964634.49
316800.39532608525.2117865.71-4387.62-5217.391.942.910.0923360.08
414271.55326012783.4815347.72-12039.47-15371.331.061.590.0512854.3
512199.915326016336.7919762.35-18405.23-28186.530.891.330.032439.98
623404.665326015369.5720263.79-11352.02-14438.691.352.030.0784680.93
784191.1555010016838.2332463.7700infinf0.3716838.23
888583.6255010017716.7240830.7200infinf0.3217716.72
994146.1955010018829.2449532.3500infinf0.2718829.24
1011481155010022962.1953189.900infinf0.3222962.19
Although, strategy looks good but profit factor on day 5 is less than minimum accepted value so avoid this, see below for further analysis.
JINDALSTEL Performance, X=7, Profit Factor:inf

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017101 Feb 2017 (9.11%)
2016111 Aug 2016 (9.26%)
2010127 Sep 2010 (7.29%)
2009107 May 2009 (16.23%)
2001119 Jan 2001 (0.21%)

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
atrtrail-17.583141.8665183.3318700.8857709.98-10362.55-10362.551.89.020.1513856.98
atrnil23.3380908.3965183.3318254.1922396.24-10362.55-10362.551.768.810.2613484.73
atrtrail35.6780127.1265183.3318097.9333317.96-10362.55-10362.551.758.730.2113354.52
atrtrail23.3367720.4965183.3315616.6122396.24-10362.55-10362.551.517.540.2211286.75
atrnil38.6781751.3864266.6725828.0133317.96-10780.33-11198.122.44.790.1713625.23

In the table above, row 1 shows the best exit criterion. Profit factor is 9.02. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bullish. Percentage of profitable trades is 83.33%, which is excellent. Average return per trade is 6.93%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
JINDALSTEL Performance, Profit Factor:9.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017101 Feb 2017 (5.08%)
2016111 Aug 2016 (4.98%)
2010127 Sep 2010 (4.85%)
2009207 May 2009 (-5.18%), 08 May 2009 (28.85%)
2001119 Jan 2001 (2.99%)



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