Study: Buy JSWSTEEL when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy JSWSTEEL when there is Bullish Crossover in MACD" 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
1-36659.41118556346.612960.6510958.58-3166.59-13595.450.930.82-0.02-310.67
210857.28118625652.544324.8617760.2-4594.36-20274.750.941.040.004192.01
3-79118.82118496941.536360.7824368.87-5663.72-27328.541.120.8-0.022-670.5
4-96805.651185959507260.2935359.56-8901.07-39106.460.820.82-0.02-820.39
5-85707.47118516743.228591.9828630.79-7819.38-29068.291.10.84-0.018-726.33
6-49322.85118576148.319107.2938871.39-9318.66-34172.20.980.91-0.009-417.99
7-52944.711185959509373.6236807.18-10270.98-44167.690.910.91-0.009-448.68
88770.35118625652.5410205.6343769.24-11142.48-52096.120.921.010.001474.33
9153702118605850.8513360.9548718.64-11171.63-39968.591.21.240.0211302.56
10190895118645454.2413606.5443440.98-12591.17-45088.341.081.280.0251617.76
Although, strategy looks good but profit factor on day 3 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
atrnil39.3982623.19124339126.6125516.7662860.29-8345.39-25213.083.061.110.011666.32
atrnil26.99-27696.7131428932.0616794.5341906.86-8236.71-25213.082.040.96-0.0044-211.43
atrtrail35.24-42857.4135429331.1112252.9946275.87-5994.44-18603.652.040.92-0.0076-317.46
atrtrail24.66-85460.4137439431.3911106.1635974.57-5989.63-18603.651.850.85-0.017-623.8
atrtrail-15.83-95239.94135429331.1111005.7843246.25-5994.44-18603.651.840.83-0.018-705.48

In the table above, row 1 shows the best exit criterion. Profit factor is 1.11. 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 26.61%, which is not acceptable. Avoid this strategy. Average return per trade is 0.33%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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, Profit Factor:1.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019804 Feb 2019 (-3.43%), 13 Feb 2019 (-3.66%), 01 Apr 2019 (-2.92%), 27 May 2019 (-3.87%), 26 Jun 2019 (-3.77%), 15 Jul 2019 (-3.44%), 16 Aug 2019 (-4.57%), 17 Oct 2019 (12.36%)
2018923 Jan 2018 (-3.18%), 02 Feb 2018 (-3.67%), 09 Feb 2018 (-4.22%), 27 Feb 2018 (-3.49%), 02 Apr 2018 (9.65%), 15 May 2018 (-2.59%), 30 May 2018 (-2.97%), 24 Jul 2018 (9.08%), 17 Dec 2018 (-3.63%)
20171116 Mar 2017 (-3.02%), 03 Apr 2017 (8.72%), 27 Apr 2017 (-3.41%), 15 May 2017 (-3.29%), 08 Jun 2017 (10.02%), 01 Aug 2017 (-2.45%), 04 Aug 2017 (-2.63%), 16 Aug 2017 (-2.91%), 10 Oct 2017 (-3.13%), 22 Nov 2017 (-2.87%), 19 Dec 2017 (9.47%)
20161325 Jan 2016 (-3.6%), 18 Feb 2016 (12.73%), 13 Apr 2016 (-2.25%), 27 May 2016 (-2.34%), 29 Jun 2016 (6.28%), 05 Aug 2016 (-2.3%), 07 Sep 2016 (-2.04%), 10 Oct 2016 (-2.44%), 13 Oct 2016 (-2.65%), 10 Nov 2016 (-3.24%), 11 Nov 2016 (-3.34%), 28 Nov 2016 (-3.28%), 30 Dec 2016 (7.44%)
20151020 Jan 2015 (-3.18%), 07 Apr 2015 (-3.18%), 20 May 2015 (-3.52%), 19 Jun 2015 (-3.22%), 20 Jul 2015 (-2.99%), 03 Aug 2015 (9.77%), 09 Sep 2015 (-4.37%), 09 Oct 2015 (-3.8%), 16 Nov 2015 (-3.15%), 01 Dec 2015 (9.24%)
2014719 Feb 2014 (10.84%), 22 Apr 2014 (-3.18%), 12 May 2014 (9.12%), 24 Jul 2014 (-3.5%), 14 Aug 2014 (-3.3%), 22 Oct 2014 (-4.09%), 30 Dec 2014 (-3.7%)
2013601 Apr 2013 (-4.87%), 31 Jul 2013 (-4.52%), 01 Aug 2013 (-4.75%), 22 Oct 2013 (10.2%), 28 Nov 2013 (7.89%), 23 Dec 2013 (-2.23%)
2012813 Apr 2012 (-4.38%), 29 May 2012 (-5.03%), 03 Aug 2012 (-3.53%), 14 Sep 2012 (-3.12%), 17 Sep 2012 (-3.32%), 05 Nov 2012 (-2.94%), 30 Nov 2012 (8.19%), 18 Dec 2012 (9.1%)
20111220 Jan 2011 (-4.97%), 15 Feb 2011 (-6.14%), 25 Mar 2011 (-4.09%), 17 May 2011 (-3.54%), 27 May 2011 (-3.27%), 29 Jun 2011 (-3.01%), 18 Jul 2011 (-3.14%), 22 Aug 2011 (-6.04%), 12 Oct 2011 (-5.55%), 02 Dec 2011 (-5.68%), 05 Dec 2011 (-6.11%), 29 Dec 2011 (18.9%)
2010905 Jan 2010 (-3.63%), 17 Feb 2010 (-4.47%), 12 May 2010 (-4.09%), 04 Jun 2010 (-5.0%), 11 Jun 2010 (14.25%), 23 Aug 2010 (-2.51%), 01 Sep 2010 (7.98%), 02 Nov 2010 (-3.22%), 15 Dec 2010 (-5.23%)
2009730 Jan 2009 (-8.3%), 02 Feb 2009 (-8.99%), 16 Mar 2009 (21.44%), 05 May 2009 (22.27%), 12 Jun 2009 (-7.38%), 09 Sep 2009 (12.88%), 11 Nov 2009 (16.57%)
2008404 Feb 2008 (-8.12%), 15 Apr 2008 (23.14%), 23 Jul 2008 (-7.96%), 04 Dec 2008 (-12.61%)
20071029 Jan 2007 (-4.85%), 27 Feb 2007 (-4.68%), 28 Feb 2007 (-5.13%), 23 Mar 2007 (15.36%), 04 May 2007 (-3.92%), 21 Jun 2007 (11.16%), 29 Aug 2007 (20.66%), 24 Oct 2007 (-7.09%), 27 Nov 2007 (-5.66%), 28 Dec 2007 (-5.19%)
2006515 Feb 2006 (11.21%), 02 Jun 2006 (-9.3%), 20 Jun 2006 (31.43%), 07 Dec 2006 (-3.91%), 18 Dec 2006 (12.29%)
2005506 Jun 2005 (-3.62%), 23 Jun 2005 (-3.65%), 06 Jul 2005 (11.95%), 12 Sep 2005 (9.44%), 08 Nov 2005 (-5.16%)



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