Study: Buy JSWSTEEL when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA

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In this study, we evaluate the performance of strategy "Buy JSWSTEEL when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy JSWSTEEL 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
1-30212.9471614.29633.28633.28-5141.04-10847.590.120.021-0.33-4316.13
2-9367.5671614.2915157.2115157.21-4087.46-8066.363.710.62-0.049-1338.22
3-46327.0871614.295160.975160.97-8581.34-22158.390.60.1-0.23-6618.15
4-33958.4472528.577482.7612676.94-9784.79-17767.750.760.31-0.14-4851.21
5-46505.2672528.576079.639294.75-11732.9-17121.460.520.21-0.19-6643.61
6-27662.6573442.865020.326463.74-10680.9-14174.890.470.35-0.13-3951.81
7-29183.0773442.866826.149496.26-12415.37-17415.170.550.41-0.11-4169.01
8-14680.6373442.8612747.3417780.93-13230.66-22650.270.960.72-0.04-2097.23
951128.8773442.8630076.7644419.39-9775.35-14926.143.082.310.0917304.12
1065089.2173442.8633798.8542154.67-9076.83-17183.013.722.790.119298.46
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
JSWSTEEL Performance, X=10, Profit Factor:2.79

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015319 Aug 2015 (-8.59%), 15 Sep 2015 (-7.5%), 29 Oct 2015 (-1.19%)
2012121 Jun 2012 (9.54%)
2009105 May 2009 (20.08%)
2008102 May 2008 (21.08%)
2006107 Mar 2006 (-0.87%)

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
atrnil3778620.4410464032700.1844548.22-8696.71-11205.253.762.510.17862.04
atrnil23.935020.2110464021800.1229698.81-8696.71-11205.252.511.670.0613502.02
atrtrail-14.621066.710373024537.2134496.32-7506.42-11205.253.271.40.0352106.67
atrtrail3418361.9210373023635.6131206.83-7506.42-11205.253.151.350.0321836.19
200trail-11.649000.11111109.0935811.8335811.83-2681.17-3516.9713.361.340.02818.19
atrtrail23.54956.7410373019167.2220804.56-7506.42-11205.252.551.090.011495.67
200nil31.18-15923.11111109.0910888.6210888.62-2681.17-3516.974.060.41-0.097-1447.56
200trail31.18-15923.11111109.0910888.6210888.62-2681.17-3516.974.060.41-0.097-1447.56
200nil21.09-19552.65111109.097259.087259.08-2681.17-3516.972.710.27-0.16-1777.51
200trail21.09-19552.65111109.097259.087259.08-2681.17-3516.972.710.27-0.16-1777.51

In the table above, row 1 shows the best exit criterion. Profit factor is 2.51. 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 40%, which is not acceptable. Avoid this strategy. Average return per trade is 3.93%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
JSWSTEEL Performance, Profit Factor:2.51

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015319 Aug 2015 (-3.94%), 15 Sep 2015 (-4.5%), 29 Oct 2015 (-2.91%)
2012121 Jun 2012 (13.75%)
2009105 May 2009 (22.27%)
2008202 May 2008 (-5.6%), 12 May 2008 (15.6%)
2006307 Mar 2006 (-4.29%), 09 Mar 2006 (-4.85%), 21 Mar 2006 (13.77%)



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