Study: Buy JSWSTEEL when there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy JSWSTEEL when there is Bullish 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: 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
1-39199.1502129422960.3710389.02-3495.41-10151.280.850.61-0.049-783.98
216209.97502723545569.4417760.2-5833.25-17575.860.951.120.012324.2
3-5897.55502426487850.0224368.87-7473-27328.541.050.97-0.003-117.95
4-52514.03502624529286.835359.56-12248.79-39106.460.760.82-0.02-1050.28
5-47711.87502228449985.6528630.79-9549.86-29068.291.050.82-0.02-954.24
6-27942.3502624529704.6338871.39-11677.61-34172.20.830.9-0.01-558.85
7-32212.935024264811070.8736807.18-11458.23-44167.690.970.89-0.011-644.26
831432.155028225611295.2533268.55-12947.04-52096.120.871.110.01628.64
91207115027235414890.1744419.39-12231.46-37782.851.221.430.0362414.22
101310555027235414858.7343440.98-11744.79-40028.071.271.490.0392621.11
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
atrnil311.2136116.753134024.5330691.1462860.29-9071.7-25213.083.381.10.0095681.45
atrtrail35.11-16710.6354153927.7815479.246275.87-6382.02-18603.652.430.93-0.0062-309.46
atrnil28.11-40735.8653163730.1918963.6341906.86-9301.46-25213.082.040.88-0.014-768.6
atrtrail-15.63-65930.8254153927.7812197.8543246.25-6382.02-18603.651.910.74-0.029-1220.94
atrtrail24.61-67621.2254153927.7812085.1630850.58-6382.02-18603.651.890.73-0.031-1252.24

In the table above, row 1 shows the best exit criterion. Profit factor is 1.1. 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 24.53%, which is not acceptable. Avoid this strategy. Average return per trade is 0.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0095, 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:1.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019404 Feb 2019 (-3.43%), 13 Feb 2019 (-3.66%), 02 May 2019 (-3.04%), 16 Aug 2019 (-4.57%)
2018423 Jan 2018 (-3.18%), 02 Feb 2018 (-3.67%), 24 Jul 2018 (9.08%), 17 Dec 2018 (-3.63%)
2017301 Aug 2017 (-2.45%), 04 Aug 2017 (-2.63%), 10 Oct 2017 (-3.13%)
2016627 Jan 2016 (-3.45%), 13 Apr 2016 (-2.25%), 05 Aug 2016 (-2.3%), 07 Sep 2016 (-2.04%), 10 Nov 2016 (-3.24%), 30 Dec 2016 (7.44%)
2015120 Jan 2015 (-3.18%)
2014519 Feb 2014 (10.84%), 22 Apr 2014 (-3.18%), 12 May 2014 (9.12%), 22 Oct 2014 (-4.09%), 30 Dec 2014 (-3.7%)
2013718 Jan 2013 (-2.65%), 01 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%)
2011520 Jan 2011 (-4.97%), 15 Feb 2011 (-6.14%), 22 Aug 2011 (-6.04%), 12 Oct 2011 (-5.55%), 29 Dec 2011 (18.9%)
2010115 Dec 2010 (-5.23%)
2009305 May 2009 (22.27%), 12 Jun 2009 (-7.38%), 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%)
2007429 Jan 2007 (-4.85%), 04 May 2007 (-3.92%), 29 Aug 2007 (20.66%), 24 Oct 2007 (-7.09%)
2006202 Jun 2006 (-9.3%), 20 Jun 2006 (31.43%)
2005406 Jun 2005 (-3.62%), 23 Jun 2005 (-3.65%), 06 Jul 2005 (11.95%), 08 Nov 2005 (-5.16%)



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