Study: Sell JSWENERGY when there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell JSWENERGY when there is Bearish Crossover in MACD and ADX is Trending" 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
151577.5228171160.714839.58424.6-2790.36-12955.471.732.680.141842.05
222787.6828151353.576129.8912619.05-5320.05-22834.011.151.330.038813.85
3-20467.128151353.575857.6515658.09-8333.22-39028.340.70.81-0.025-730.97
4-37351.8628131546.436747.3813993.95-8337.86-41619.430.810.7-0.042-1334
5-30868.87281414507901.9418809.52-10106.86-46315.790.780.78-0.031-1102.46
6-7152.78281414509881.9618944.32-10392.88-28016.190.950.95-0.0076-255.46
7-3281.7828131546.4312446.2321331.32-11005.52-24098.121.130.98-0.0031-117.21
831863.6628161257.1412540.0333333.33-14064.74-39352.230.891.190.0251137.99
922725.8828151353.5712824.6733333.33-13049.56-32323.230.981.130.018811.64
10-20077.6228131546.4313687.2130952.38-13200.76-31746.031.040.9-0.016-717.06

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.68. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 60.71%, which is good. Average return per trade is 0.92%, which is not very high, 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.
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.
JSWENERGY Performance, X=1, Profit Factor:2.68

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017310 Aug 2017 (1.77%), 25 Sep 2017 (0.14%), 03 Nov 2017 (-0.43%)
2016203 Feb 2016 (-1.23%), 24 Jun 2016 (-0.19%)
2015204 Feb 2015 (2.79%), 24 Aug 2015 (-6.48%)
2014615 Apr 2014 (4.21%), 12 Jun 2014 (4.18%), 08 Jul 2014 (2.44%), 28 Jul 2014 (1.75%), 16 Oct 2014 (-0.87%), 09 Dec 2014 (-3.2%)
2013401 Feb 2013 (1.72%), 20 Mar 2013 (1.63%), 02 Aug 2013 (3.79%), 16 Dec 2013 (1.12%)
2012324 Feb 2012 (3.89%), 16 Jul 2012 (1.25%), 16 Oct 2012 (2.08%)
2011512 Jan 2011 (-0.87%), 28 Jan 2011 (3.57%), 20 Apr 2011 (-0.71%), 23 May 2011 (-0.0%), 28 Sep 2011 (-0.18%)
2010327 Apr 2010 (-1.19%), 30 Jun 2010 (0.96%), 20 Sep 2010 (3.86%)

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-1151577.5228171160.714839.58424.6-2790.36-12955.471.732.680.141842.05
atrtrail24.285735.4529101934.4812034.2325517.58-6031.94-15326.4121.050.007197.77
atrtrail34.865556.4129101934.4812016.3325768.58-6031.94-15326.411.991.050.0065191.6
atrtrail-15.62-14633.829101934.489997.3122976.2-6031.94-15326.411.660.87-0.02-504.61
atrnil26.83-67843.482982127.5917404.1425517.58-9860.79-15326.411.760.67-0.066-2339.43
atrnil38.75-75030.682862221.4324134.1132757.8-9992.52-15326.412.420.66-0.066-2679.67

In the table above, row 1 shows the best exit criterion. Profit factor is 2.68. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 60.71%, which is good. Average return per trade is 0.92%, which is not very high, 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.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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