Study: Sell JSWENERGY when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell JSWENERGY when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell JSWENERGY 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
12045.41127558.332059.933125-2474.81-6239.460.831.170.022170.45
21970.99127558.333719.15739.51-4812.55-10690.790.771.080.012164.25
3-7897.961266504804.2811318.24-6120.6-11365.430.780.78-0.035-658.16
4-18376.87124833.337135.6912782.96-5864.96-17521.71.220.61-0.068-1531.41
5-35766.19124833.339463.6413715.05-9202.59-20363.061.030.51-0.1-2980.52
6-33369.33124833.338516.8614913.45-8429.6-15153.911.010.51-0.11-2780.78
7-42690.971239258495.6613049.27-7575.33-12993.421.120.37-0.16-3557.58
8-48901.861239257077.4211584.55-7792.68-17177.910.910.3-0.17-4075.16
9-39612.27124833.336128.919720.37-8015.99-14680.350.760.38-0.15-3301.02
10-51673124833.336808.0411185.09-9863.14-15311.760.690.35-0.18-4306.08

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.17. 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 58.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.085%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, which is low, don't trade solely on the basis of this study. 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.

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-112045.41127558.332059.933125-2474.81-6239.460.831.170.022170.45
atrnil39.25-31009.641221016.6724772.2226914.69-8055.41-11471.233.080.62-0.074-2584.14
50trail32.12-15371.221731417.657263.7511412.8-2654.46-3764.712.740.59-0.074-904.19
50nil32.47-26141.791721511.7610715.7211412.8-3171.55-3856.893.380.45-0.12-1537.75
atrnil26.58-47524.451221016.6716514.8117943.12-8055.41-11471.232.050.41-0.15-3960.37
50trail22.12-22515.031731417.654882.487608.54-2654.46-3764.711.840.39-0.14-1324.41
atrtrail24.86-41566.81431121.436620.8415086.5-5584.48-8446.071.190.32-0.17-2969.06
50nil22.47-33285.611721511.767143.827608.54-3171.55-3856.892.250.3-0.21-1957.98
50trail-12.47-26547.11731417.653538.469431.42-2654.46-3764.711.330.29-0.18-1561.59
atrtrail35.64-48761.661431121.434222.557891.64-5584.48-8446.070.760.21-0.27-3482.98
atrtrail-15.64-48761.661431121.434222.557891.64-5584.48-8446.070.760.21-0.27-3482.98

In the table above, row 1 shows the best exit criterion. Profit factor is 1.17. 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 58.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.085%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, which is low, don't trade solely on the basis of this study. 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 using the best exit criterion.
JSWENERGY Performance, X=1, Profit Factor:1.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017523 Jan 2017 (-3.12%), 17 Feb 2017 (-1.73%), 08 Mar 2017 (0.89%), 03 May 2017 (0.71%), 05 Jun 2017 (1.56%)
2016301 Apr 2016 (-0.0%), 02 May 2016 (0.75%), 20 May 2016 (1.18%)
2015110 Nov 2015 (-1.01%)
2013124 May 2013 (-0.34%)
2012126 Jul 2012 (1.33%)
2011128 Apr 2011 (0.8%)



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