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

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In this study, we evaluate the performance of strategy "Buy JSWSTEEL when above 200 SMA and near 50 SMA and above 50 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
138903.1744281663.643091.47576-2978.51-9732.281.041.820.065884.16
271130.7244271761.365092.3116122.97-3903.62-8066.361.32.070.0791616.61
310764744281663.647160.3716821.05-5802.69-10375.361.232.160.0882446.53
412451844281663.647712.6821251.17-5714.84-9276.461.352.360.0992829.95
514203944281663.649085.3919651.4-7022-12619.41.292.260.0963228.16
617803144291565.919845.5128086.71-7165.95-17656.891.372.660.14046.15
718640744281663.6411209.1730603.12-7965.62-21454.81.412.460.0964236.52
817494044271761.3612561.9243181.47-9660.67-26725.351.32.070.0743975.92
920059544271761.3613515.1242511.05-9665.48-26443.661.42.220.0834558.98
1021940244261859.0915514.9742154.67-10221.52-33039.031.522.190.0814986.41

From the table above, we see that best results are achieved by holding positions for 6 trading days. Profit factor is 2.66. 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 65.91%, which is good. Average return per trade is 2.02%, which is very good.
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.
JSWSTEEL Performance, X=6, Profit Factor:2.66

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018705 Mar 2018 (4.06%), 02 Apr 2018 (4.99%), 24 May 2018 (5.65%), 18 Jun 2018 (-1.31%), 27 Jul 2018 (4.24%), 16 Aug 2018 (8.37%), 05 Oct 2018 (2.78%)
2017903 Jan 2017 (14.04%), 02 Mar 2017 (-3.95%), 31 Mar 2017 (5.61%), 19 Apr 2017 (4.7%), 05 May 2017 (6.27%), 22 May 2017 (1.48%), 07 Jun 2017 (0.74%), 23 Jun 2017 (6.46%), 16 Nov 2017 (2.53%)
2016515 Jan 2016 (13.86%), 04 Feb 2016 (-0.51%), 13 May 2016 (3.93%), 06 Oct 2016 (1.14%), 28 Nov 2016 (-4.55%)
2015129 Oct 2015 (-5.21%)
2014411 Mar 2014 (1.28%), 22 Sep 2014 (-7.38%), 29 Oct 2014 (-1.31%), 14 Nov 2014 (-1.19%)
2013111 Feb 2013 (-1.41%)
2012521 Jun 2012 (3.02%), 17 Oct 2012 (0.92%), 15 Nov 2012 (-2.54%), 30 Nov 2012 (2.71%), 14 Dec 2012 (8.6%)
2010310 May 2010 (-5.08%), 27 Aug 2010 (7.41%), 22 Oct 2010 (7.08%)
2008304 Feb 2008 (-2.2%), 19 Feb 2008 (-8.83%), 02 May 2008 (1.28%)
2007405 Mar 2007 (8.72%), 08 Jun 2007 (-0.95%), 28 Jun 2007 (4.11%), 06 Aug 2007 (0.19%)
2006206 Jul 2006 (-7.32%), 20 Sep 2006 (6.57%)

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-1617803144291565.919845.5128086.71-7165.95-17656.891.372.660.14046.15
50trail-13.3867432.3264194529.699952.3737219.87-2703.61-3977.183.681.550.0331053.63
atrtrail-17.0910318953242945.2812708.3242034.14-6959-13494.081.831.510.0411946.96
atrnil39.4290602.5338142436.8420462.6527509.19-8161.44-16235.872.511.460.0442384.28
atrtrail35.478516.3453242945.2811680.3126455.86-6959-13494.081.681.390.0351481.44
atrnil26.1652183.7944192543.1813346.7618339.46-8056.19-16235.871.661.260.0291186
atrtrail24.2852162.3754252946.310158.9318339.46-6959-13494.081.461.260.026965.97
50nil32.3225244.0562184429.038865.5311865.35-3053.08-3977.182.91.190.019407.16
50trail21.5715654.1867244335.825755.977910.23-2848.58-3977.182.021.130.014233.64
50trail32.058564.3164194529.696915.5711865.35-2729.59-3977.182.531.070.0073133.82
50nil21.63578.0167234434.335969.517910.23-3039.11-3977.181.961.030.003253.4

In the table above, row 1 shows the best exit criterion. Profit factor is 2.66. 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 65.91%, which is good. Average return per trade is 2.02%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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