Study: Sell JSWSTEEL when below 200 SMA and near 50 SMA and below 50 SMA

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. 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
113717.5927151255.562183.656059.67-1586.43-3692.471.381.720.054508.06
232372.0927131448.155724.1213380.9-3002.96-7807.021.911.770.061198.97
3-18393.1827161159.263969.1110922.86-7445.35-20681.210.530.78-0.026-681.23
45997.2927141351.856227.0311995.24-6244.7-27640.2811.070.0068222.12
5-740.4327161159.267373.6516222.06-10792.62-37294.780.680.99-0.00063-27.42
6-4578.9227161159.268695.2719089.57-13063.93-52095.070.670.97-0.0031-169.59
792427151255.569289.8323159.22-11535.28-38421.960.811.010.0006834.22
811912.42718966.679396.6826946.54-17469.76-51065.920.541.080.007441.2
931163.9127171062.9611653.6544399.66-16694.82-46760.470.71.190.0161154.22
101355.4127151255.5613179.2549381.47-16361.11-54713.310.811.010.0006650.2

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 1.77. 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 48.15%, which is not acceptable. Avoid this strategy. Average return per trade is 0.6%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.06, which is low, don't trade solely on the basis of this study.

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-1232372.0927131448.155724.1213380.9-3002.96-7807.021.911.770.061198.97
atrnil29.0456726.982512134814401.419547.01-8929.99-17266.491.611.490.052269.08
atrnil313.7147422.152181338.120704.5927475.69-9093.43-17266.492.281.40.042258.2
atrtrail25.9710815.6131131841.949232.2319547.01-6066.85-15460.781.521.10.01348.89
atrtrail-17.199734.1131131841.949149.0335937.77-6066.85-15460.781.511.090.0085314
50nil21.85-2067.548163233.336041.457988.66-3085.33-3996.221.960.98-0.0026-43.07
atrtrail36.77-4984.5431131841.948016.8319587.92-6066.85-15460.781.320.95-0.0051-160.79
50nil32.49-6543.3947123525.538550.4211755.47-3118.53-3996.222.740.94-0.0071-139.22
50trail21.75-13744.9448143429.175858.817988.66-2816.71-3950.382.080.86-0.019-286.35
50trail32.15-15073.3447133427.666207.310095.57-2816.71-3950.382.20.84-0.019-320.71
50trail-13.02-15103.945103522.227933.4538191.98-2698.24-3950.382.940.84-0.013-335.64

In the table above, row 1 shows the best exit criterion. Profit factor is 1.77. 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 48.15%, which is not acceptable. Avoid this strategy. Average return per trade is 0.6%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.06, which is low, 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.
JSWSTEEL Performance, X=2, Profit Factor:1.77

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019728 Feb 2019 (-3.59%), 25 Mar 2019 (-3.12%), 07 May 2019 (0.92%), 24 May 2019 (-1.72%), 03 Jul 2019 (3.88%), 17 Jul 2019 (4.73%), 14 Oct 2019 (0.52%)
2015702 Mar 2015 (1.48%), 10 Apr 2015 (2.43%), 19 May 2015 (-0.12%), 19 Jun 2015 (-0.26%), 06 Oct 2015 (-1.46%), 26 Oct 2015 (-0.32%), 16 Nov 2015 (2.29%)
2013318 Apr 2013 (-1.1%), 10 May 2013 (2.51%), 31 May 2013 (-3.9%)
2012204 Jan 2012 (3.62%), 22 Jun 2012 (-0.03%)
2011509 Mar 2011 (6.69%), 29 Mar 2011 (-0.18%), 17 May 2011 (-0.17%), 06 Jun 2011 (1.44%), 19 Jul 2011 (4.15%)
2009101 Jan 2009 (-2.96%)
2008105 May 2008 (2.55%)
2006127 Feb 2006 (-2.08%)



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