Study: Sell JSWENERGY when RSI is below 50 and 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 RSI is below 50 and 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
114789.921477505067.427577.81-2954.57-12955.471.721.720.0731056.42
24006.58148657.145613.6312619.05-6817.08-22834.010.821.10.012286.18
3-18340.071477507523.4214483.21-10143.43-39028.340.740.74-0.036-1310
4-22849.87148657.146158.0211829.94-12019.01-41619.430.510.68-0.042-1632.13
5-33374.751477508845.3818809.52-13613.2-46315.790.650.65-0.054-2383.91
6-12895.2414775010800.3618944.32-12642.53-28016.190.850.85-0.024-921.09
7-28631.13146842.8614764.3819047.62-14652.18-24098.121.010.76-0.046-2045.08
8383.7814775015637.3133333.33-15582.48-39352.23110.0005127.41
9-16511.3514775013978.4633333.33-16337.23-32323.230.860.86-0.023-1179.38
10-38971.75146842.8614215.9230952.38-15533.41-31746.030.920.69-0.058-2783.7

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.72. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.53%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.073, 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.

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-1114789.921477505067.427577.81-2954.57-12955.471.721.720.0731056.42
atrtrail24.7130394.45146842.8614400.1225517.58-7000.78-15326.412.061.540.0642171.03
atrtrail35.6417386.14146842.8612232.0725768.58-7000.78-15326.411.751.310.0381241.87
atrtrail-16.794795.19146842.8610133.5722976.2-7000.78-15326.411.451.090.012342.51
atrnil26.71-5504.71145935.7119186.2425517.58-11270.65-15326.411.70.95-0.0094-393.19
atrnil310.46-34342.861331023.0826617.2732757.8-11419.47-15326.412.330.7-0.058-2641.76

In the table above, row 1 shows the best exit criterion. Profit factor is 1.72. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.53%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.073, 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.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
JSWENERGY Performance, X=1, Profit Factor:1.72

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017110 Aug 2017 (1.77%)
2016103 Feb 2016 (-1.23%)
2015204 Feb 2015 (2.79%), 24 Aug 2015 (-6.48%)
2014308 Jul 2014 (2.44%), 28 Jul 2014 (1.75%), 16 Oct 2014 (-0.87%)
2013220 Mar 2013 (1.63%), 02 Aug 2013 (3.79%)
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%)



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