Study: Sell JSWSTEEL when there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell JSWSTEEL when there is Bearish Crossover in MACD and ADX is Trending" 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
1-37484.7253252847.173989.0212659.72-4900.37-17899.90.810.73-0.031-707.26
2-67120.3953242945.285356.922846.15-6747.79-28714.430.790.66-0.04-1266.42
3-10282653233043.46949.5828620.8-8755.53-50029.440.790.61-0.044-1940.1
4-15507453242945.288453.5533333.33-12343.42-77644.750.680.57-0.048-2925.92
5-32091.2353262749.0610505.1236582.15-11304.6-63552.50.930.89-0.01-605.49
6-5641.0953292454.7210605.7442882.23-13050.31-67890.090.810.98-0.0015-106.44
7-63806.8853262749.0611620.4134156.51-13553.24-48361.140.860.83-0.019-1203.9
8-15816.3953242945.2813900.3551564.04-12049.13-54275.871.150.95-0.0046-298.42
9-62938.7853262749.0611745.1141696.85-13641.17-50232.140.860.83-0.019-1187.52
10-96851.4753262749.0611772.4529524.75-14923.53-55847.260.790.76-0.029-1827.39
Although, strategy looks good but profit factor on day 4 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
atrnil25.12-73950.0366214531.8216051.4439757.53-9134.01-35369.071.760.82-0.022-1120.45
atrtrail23.67-80220.966184827.2713055.8639757.53-6567.21-19311.491.990.75-0.03-1215.47
atrnil37.73-12206864154923.4422179.233295.76-9280.74-35369.072.390.73-0.035-1907.31
atrtrail-14.33-11480566184827.2711134.5439862.28-6567.21-19311.491.70.64-0.044-1739.46
atrtrail34-11989966184827.2710851.4927463.71-6567.21-19311.491.650.62-0.049-1816.66

In the table above, row 1 shows the best exit criterion. Profit factor is 0.82. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 31.82%, which is not acceptable. Avoid this strategy. Average return per trade is -0.56%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
JSWSTEEL Performance, Profit Factor:0.82

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019325 Jan 2019 (6.43%), 11 Feb 2019 (-3.67%), 08 May 2019 (6.68%)
2018519 Jan 2018 (-3.01%), 31 Jan 2018 (-3.22%), 06 Feb 2018 (-4.39%), 21 Sep 2018 (7.2%), 20 Nov 2018 (7.28%)
2017302 Feb 2017 (6.37%), 21 Jul 2017 (-2.43%), 18 Sep 2017 (5.68%)
2016705 Apr 2016 (-2.5%), 08 Apr 2016 (-2.4%), 02 May 2016 (3.96%), 03 Aug 2016 (-2.46%), 09 Aug 2016 (-2.34%), 12 Sep 2016 (4.87%), 24 Nov 2016 (-3.43%)
2015312 Jan 2015 (6.71%), 09 Feb 2015 (-3.29%), 30 Dec 2015 (-2.81%)
2014609 Jan 2014 (4.68%), 15 Apr 2014 (-3.12%), 29 Apr 2014 (-3.27%), 29 May 2014 (-3.86%), 13 Jun 2014 (-3.52%), 16 Sep 2014 (-3.24%)
2013816 Jan 2013 (-2.67%), 17 Jan 2013 (-2.7%), 23 Jan 2013 (-3.2%), 06 Aug 2013 (-5.42%), 11 Oct 2013 (-3.88%), 30 Oct 2013 (-3.06%), 09 Dec 2013 (-2.39%), 12 Dec 2013 (-2.28%)
2012323 Feb 2012 (9.31%), 16 Jul 2012 (-3.39%), 17 Oct 2012 (-3.49%)
2011306 Jan 2011 (9.15%), 28 Jan 2011 (12.19%), 23 Sep 2011 (11.1%)
2010331 Mar 2010 (-3.04%), 02 Aug 2010 (-3.19%), 11 Oct 2010 (5.51%)
2009627 Apr 2009 (-8.43%), 08 Jun 2009 (-8.74%), 09 Jun 2009 (-8.49%), 18 Jun 2009 (-9.66%), 21 Oct 2009 (6.7%), 07 Dec 2009 (-5.45%)
2008205 Jun 2008 (10.83%), 24 Nov 2008 (-17.68%)
2007723 Jan 2007 (-5.51%), 24 Jan 2007 (-5.27%), 30 Apr 2007 (-3.87%), 07 May 2007 (7.85%), 01 Aug 2007 (8.6%), 18 Oct 2007 (-7.99%), 30 Oct 2007 (-7.16%)
2006621 Apr 2006 (-6.19%), 06 Jun 2006 (19.88%), 18 Jul 2006 (-7.45%), 04 Sep 2006 (-4.3%), 03 Nov 2006 (-3.88%), 06 Nov 2006 (7.56%)
2005127 Jun 2005 (-3.76%)



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