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

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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 and RSI is above 50" 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
1-9726.4521101147.622409.034383.75-3074.25-9732.280.780.71-0.036-463.16
221896.522113861.94010.0113614.67-3779.2-8066.361.061.720.0571042.69
330509.092112957.146543.3816578.11-5334.61-8944.11.231.640.0541452.81
42199421101147.628341.7114101.12-5583.92-9124.011.491.360.0351047.33
511117.8721101147.62955317471.22-7673.83-12619.41.241.130.014529.42
627359.192112957.148325.5428086.71-8060.82-17656.891.031.380.0331302.82
727772.7921111052.3810995.6529242.04-9317.94-21454.81.181.30.0281322.51
829251.812112957.1411019.4229728.5-11442.36-26725.350.961.280.0271392.94
960341.082112957.1414282.2730275.76-12338.47-26443.661.161.540.0482873.38
1070561.0221111052.3816108.0342154.67-10662.74-27294.921.511.660.053360.05
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil310.471051371991047.3721097.4427509.19-8473.99-16235.872.492.240.0965533.53
atrnil26.3536314.72209114514064.9618339.46-8206.36-16235.871.711.40.0421815.74
atrtrail35.7411978.3523101343.4811364.5926455.86-7820.58-13494.081.451.120.012520.8
atrtrail24.4310704.7923101343.4811237.2418339.46-7820.58-13494.081.441.110.012465.43
atrtrail-16.9610362.0523101343.4811202.9642034.14-7820.58-13494.081.431.10.0097450.52
50trail-13.04-820.452652119.2311682.2136205.89-2820.55-3823.244.140.99-0.001-31.56
50trail21.67-13502.982781929.635721.387389.97-3119.68-3823.241.830.77-0.032-500.11
50nil21.67-15107.92781929.635721.387389.97-3204.15-3823.241.790.75-0.036-559.55
50nil32.4-21424.7325520208367.2511084.95-3163.05-3823.242.650.66-0.048-856.99
50trail32.08-27541.62652119.236337.988823.72-2820.55-3823.242.250.54-0.072-1059.29

In the table above, row 1 shows the best exit criterion. Profit factor is 2.24. 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 47.37%, which is not acceptable. Avoid this strategy. Average return per trade is 2.77%, which is very good. Sharpe Ratio is 0.096, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
JSWSTEEL Performance, Profit Factor:2.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018202 Apr 2018 (9.65%), 27 Jul 2018 (9.69%)
2017303 Jan 2017 (-2.34%), 31 Mar 2017 (8.77%), 30 May 2017 (11.73%)
2016316 Feb 2016 (13.23%), 06 Oct 2016 (-2.55%), 28 Nov 2016 (-3.28%)
2015129 Oct 2015 (-2.91%)
2014311 Mar 2014 (10.1%), 29 Oct 2014 (-3.79%), 14 Nov 2014 (-3.24%)
2012221 Jun 2012 (13.75%), 30 Nov 2012 (8.19%)
2010110 May 2010 (-3.98%)
2008204 Feb 2008 (-8.12%), 02 May 2008 (-5.6%)
2007128 Jun 2007 (9.82%)
2006106 Jul 2006 (-6.56%)



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