Study: Buy JSWENERGY when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy JSWENERGY when near 200 SMA and above 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. sell 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
111410.471511473.332850.269689.92-4985.6-9847.810.571.570.061760.7
2-9339.811569406367.818798.45-5282.95-17367.951.210.8-0.028-622.65
3-1747.7615694010260.5832364.34-7034.58-19695.611.460.97-0.0036-116.52
413028.2615694011631.8931589.15-6307.01-22381.381.841.230.026868.55
54490.99157846.6713395.5331976.74-11159.71-24529.991.21.050.007299.4
62073.53158753.3311198.9735465.12-12502.61-23455.680.91.020.0033138.24
7-14939.05157846.6713061.5935852.71-13296.28-24350.940.980.86-0.022-995.94
8-17178.4715966011307.2335465.12-19823.92-30603.240.570.86-0.023-1145.23
9-30738.2157846.6713524.8841279.07-15676.55-28249.140.860.75-0.04-2049.21
10-82649.8415694014539.8739147.29-18876.56-38283.830.770.51-0.095-5509.99

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.57. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 73.33%, which is good. Average return per trade is 0.38%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.061, 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
atrtrail24.1852230.5178947.0613536.8919616.23-6229.4-10621.342.171.930.13072.38
nilnil-1111410.471511473.332850.269689.92-4985.6-9847.810.571.570.061760.7
200trail-13.3313006.211841422.2212501.1431000-2642.74-3800.364.731.350.031722.57
atrnil24.5325174.321771041.1815147.4719616.23-8085.8-10621.341.871.310.0451480.84
200trail3211260.471851327.789569.8411846.46-2814.52-3800.363.41.310.039625.58
200nil32.117622.481851327.789569.8411846.46-3094.36-3800.363.091.190.026423.47
atrtrail-15.539228.581771041.189524.9531684.89-5744.61-10621.341.661.160.02542.86
200trail21.892420.551861233.336328.567897.64-2962.57-3800.362.141.070.011134.48
atrtrail35.061356.511771041.188400.3723812.83-5744.61-10621.341.461.020.003379.79
200nil22780.631861233.336328.567897.64-3099.23-3800.362.041.020.003443.37
atrnil38.36-81059.64141137.1423812.8323812.83-8067.11-10621.342.950.23-0.25-5789.97

In the table above, row 1 shows the best exit criterion. Profit factor is 1.93. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 47.06%, which is not acceptable. Avoid this strategy. Average return per trade is 1.54%, which is not very high, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
JSWENERGY Performance, Profit Factor:1.93

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017322 Jun 2017 (-3.03%), 29 Jun 2017 (5.98%), 06 Jul 2017 (-3.25%)
2016201 Sep 2016 (6.49%), 04 Oct 2016 (-3.28%)
2015216 Jun 2015 (9.81%), 16 Jul 2015 (-2.39%)
2014113 Jan 2014 (-2.06%)
2013226 Feb 2013 (-2.7%), 05 Mar 2013 (1.13%)
2012520 Apr 2012 (-5.31%), 28 Jun 2012 (8.61%), 17 Jul 2012 (9.01%), 13 Aug 2012 (-3.25%), 20 Sep 2012 (7.94%)
2010225 Oct 2010 (5.18%), 11 Nov 2010 (-2.76%)



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