Study: Sell JINDALSTEL when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell JINDALSTEL when below 200 SMA and RSI is overbought" 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
138159.241091906019.2314682.6-16013.82-16013.820.383.380.113815.92
221184.271073708451.0623818.43-12657.72-33294.930.671.560.0342118.43
328466.7210646013789.641994.15-13567.72-35023.041.021.520.0352846.67
441795.6410555017973.0947665.66-9613.96-20161.291.871.870.0524179.56
548565.3710646014010.4742569.93-8874.36-14044.281.582.370.0694856.54
627346.5110646014363.1642550.74-14708.11-19304.930.981.460.0332734.65
735176.4410646015327.7235766.04-14197.47-24137.111.081.620.0453517.64
845780.5610646015535.4234911.95-11857.98-16400.861.311.970.0654578.06
91262.8210555010264.2334393.74-10011.67-16140.741.031.030.002126.28
10-6290.6210373018897.6840621.85-8997.66-21068.172.10.9-0.0086-629.06

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.38. Strategy is very good and impressively bearish. Percentage of profitable trades is 90%, which is excellent. Average return per trade is 1.91%, which is not very high, but percentage of profitable trades compensates for it. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
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:3.38

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019105 Mar 2019 (1.31%)
2015319 Feb 2015 (0.56%), 30 Oct 2015 (1.93%), 20 Nov 2015 (5.3%)
2012224 Sep 2012 (4.4%), 11 Dec 2012 (1.69%)
2009206 Jan 2009 (7.34%), 23 Mar 2009 (1.13%)
2001119 Nov 2001 (3.42%)
2000108 Dec 2000 (-8.01%)

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-1138159.241091906019.2314682.6-16013.82-16013.820.383.380.113815.92
atrtrail3438142.821661037.514718.7734598.7-5016.98-10610.312.931.760.0432383.93
atrtrail23.5634769.561661037.514156.5623065.8-5016.98-10610.312.821.690.0442173.1
atrtrail-15.531862.341661037.513672.0233611.61-5016.98-10610.312.731.640.0381991.4
atrnil25.0630738.151661037.519863.4323065.8-8844.24-11248.132.251.350.0311921.13
atrnil37.1920539.24164122531607.2534598.7-8824.15-11248.133.581.190.0161283.7

In the table above, row 1 shows the best exit criterion. Profit factor is 3.38. Strategy is very good and impressively bearish. Percentage of profitable trades is 90%, which is excellent. Average return per trade is 1.91%, which is not very high, but percentage of profitable trades compensates for it. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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