Study: Sell JSWSTEEL when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell JSWSTEEL when RSI is below 50 and there is Bearish Crossover in MACD" 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
151809.9573363749.324942.1213737.21-3408.28-10121.241.451.410.035709.73
231231.4773383552.056200.5530355.18-5839.7-16444.011.061.150.014427.83
3-14128.3373383552.056919.0335786.65-7915.76-25044.440.870.95-0.0051-193.54
4-74936.3473343946.587888.9226693.52-8798.97-36689.510.90.78-0.026-1026.53
549726.1373334045.2111239.1732759.67-8029.16-36584.081.41.150.015681.18
641856.1373314242.4712043.6637846.15-7892.79-31734.321.531.130.012573.37
7-30790.6173343946.5811114.3234675.94-10478.91-37585.661.060.92-0.008-421.79
8-5952.3972343847.2211063.9440656.66-10055.96-44754.881.10.98-0.0015-82.67
96220.167236365010844.6439729.04-10671.86-36815.761.021.020.001686.39
10-49605.537236365011501.0636946.17-12878.99-55847.260.890.89-0.012-688.97

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.41. 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 49.32%, which is not acceptable. Avoid this strategy. Average return per trade is 0.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, 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-1151809.9573363749.324942.1213737.21-3408.28-10121.241.451.410.035709.73
atrtrail23.9657737.6781245729.6315660.0539757.53-5580.76-18509.292.811.180.017712.81
atrnil25.8678329.7878275134.6218927.1239757.53-8484.36-35369.072.231.180.0191004.23
atrtrail-14.8338340.7180235728.7515497.58108911-5580.76-18509.292.781.120.0082479.26
atrtrail34.39-28871.2380235728.7512575.3240112.05-5580.76-18509.292.250.91-0.0093-360.89
atrnil310.03-81337.4467155222.3925041.9540112.05-8787.82-35369.072.850.82-0.021-1213.99

In the table above, row 1 shows the best exit criterion. Profit factor is 1.41. 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 49.32%, which is not acceptable. Avoid this strategy. Average return per trade is 0.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, 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=1, Profit Factor:1.41

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019825 Jan 2019 (2.51%), 11 Feb 2019 (-3.88%), 20 Mar 2019 (-1.22%), 11 Apr 2019 (0.05%), 08 May 2019 (1.31%), 31 May 2019 (-1.05%), 09 Jul 2019 (2.84%), 04 Oct 2019 (3.1%)
2018506 Feb 2018 (-2.4%), 05 Mar 2018 (-0.63%), 18 May 2018 (3.19%), 18 Jun 2018 (-0.11%), 20 Nov 2018 (0.67%)
2017527 Mar 2017 (-1.2%), 18 Apr 2017 (-1.12%), 05 May 2017 (-0.79%), 19 May 2017 (0.7%), 23 Jun 2017 (0.84%)
2016402 Feb 2016 (2.98%), 12 Sep 2016 (-0.3%), 14 Oct 2016 (1.31%), 24 Nov 2016 (-3.66%)
20151212 Jan 2015 (0.72%), 09 Feb 2015 (-0.27%), 09 Mar 2015 (1.58%), 04 May 2015 (-3.76%), 02 Jun 2015 (-0.15%), 08 Jul 2015 (1.15%), 27 Jul 2015 (0.52%), 25 Aug 2015 (-0.35%), 21 Sep 2015 (1.55%), 19 Oct 2015 (-0.33%), 03 Nov 2015 (0.16%), 27 Nov 2015 (-3.46%)
2014328 Jul 2014 (0.84%), 16 Sep 2014 (-2.76%), 20 Nov 2014 (1.77%)
2013310 May 2013 (-0.1%), 03 Jun 2013 (-2.43%), 06 Aug 2013 (-2.31%)
2012425 Apr 2012 (1.43%), 16 Jul 2012 (0.56%), 17 Oct 2012 (-1.27%), 14 Dec 2012 (-2.93%)
20111106 Jan 2011 (6.33%), 28 Jan 2011 (-1.02%), 18 Mar 2011 (2.29%), 19 Apr 2011 (-3.65%), 24 May 2011 (0.78%), 09 Jun 2011 (1.64%), 12 Jul 2011 (-1.89%), 28 Jul 2011 (5.66%), 23 Sep 2011 (2.21%), 18 Nov 2011 (6.87%), 12 Dec 2011 (-1.1%)
2010418 May 2010 (5.95%), 08 Jun 2010 (-1.49%), 27 Aug 2010 (-2.31%), 12 Nov 2010 (-1.22%)
2009314 Jan 2009 (4.02%), 03 Feb 2009 (-5.06%), 20 Feb 2009 (6.6%)
2008327 Feb 2008 (-1.32%), 27 Aug 2008 (-1.06%), 24 Nov 2008 (-0.27%)
2007105 Mar 2007 (-1.35%)
2006417 Jan 2006 (1.38%), 06 Jun 2006 (5.35%), 17 Jul 2006 (3.38%), 11 Dec 2006 (1.55%)
2005327 Jun 2005 (5.18%), 24 Aug 2005 (-2.31%), 23 Sep 2005 (-2.51%)



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