Study: Sell JINDALSTEL when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell JINDALSTEL when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA" 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
120270.77149564.294378.1113299.49-3826.44-5852.481.142.060.0631447.91
238696.8148657.146718.3526852.79-2508.33-8719.022.683.570.0792764.06
332703.68149564.297552.3418274.11-7053.48-12988.511.071.930.0592335.98
427957.1148657.147470.7123845.22-5301.43-9195.41.411.880.0541996.94
546512.06148657.1410433.623893.59-6159.45-11666.671.692.260.0753322.29
657188.83149564.2911560.5625102.78-9371.25-12758.621.232.220.084084.92
763626.44149564.2912113.8733663.85-9079.68-11724.141.332.40.0794544.75
851174.1214775014956.5339854.9-7645.94-14885.061.961.960.0593655.29
91038771410471.4312827.5448222.49-6099.55-13793.12.15.260.127419.8
101149811410471.4313685.9336227.33-5469.49-11609.22.56.260.168212.95

From the table above, we see that best results are achieved by holding positions for 10 trading days. Profit factor is 6.26. Strategy is very good and impressively bearish. Percentage of profitable trades is 71.43%, which is good. Average return per trade is 4.11%, which is very good.
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=10, Profit Factor:6.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2014227 Jan 2014 (4.06%), 19 Feb 2014 (-3.04%)
2013131 Jan 2013 (7.12%)
2012129 Mar 2012 (8.56%)
2011211 Jan 2011 (-1.92%), 27 Jan 2011 (8.81%)
2010324 May 2010 (5.2%), 16 Nov 2010 (1.59%), 02 Dec 2010 (-0.17%)
2008109 Jun 2008 (7.16%)
2005116 Jun 2005 (2.72%)
2001216 Mar 2001 (5.1%), 12 Jun 2001 (18.11%)
2000107 Jul 2000 (-5.8%)

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-1101149811410471.4313685.9336227.33-5469.49-11609.22.56.260.168212.95
atrtrail35.95105825201195514650.2339336.02-6147.5-9189.392.382.910.0845291.25
atrtrail-16.65100172201195514136.2736953.82-6147.5-9189.392.32.810.0825008.58
atrtrail24.9589403.88201195513157.426224.02-6147.5-9189.392.142.620.0884470.19
200trail-13.1754039.672481633.3311673.3526812.4-2459.19-3928.324.752.370.0612251.65
200nil32.334874.862381534.789673.711718.26-2834.32-3928.323.411.820.0561516.3
200trail31.8828042.212481633.338423.6611718.26-2459.19-3928.323.431.710.0481168.43
atrnil39.1834228.341751229.4128400.3939336.02-8981.14-27524.043.161.320.0252013.43
200trail21.6711202.222481633.336318.677812.18-2459.19-3928.322.571.280.025466.76
200nil21.879078.312381534.786449.147812.18-2834.32-3928.322.281.210.02394.71
atrnil26.2816171.751871138.8916947.1526224.02-9314.39-27524.041.821.160.014898.43

In the table above, row 1 shows the best exit criterion. Profit factor is 6.26. Strategy is very good and impressively bearish. Percentage of profitable trades is 71.43%, which is good. Average return per trade is 4.11%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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