Study: Buy JSWSTEEL when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy JSWSTEEL when above 200 SMA" 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
141120.0835181751.435133.7616150.9-3016.92-11550.671.71.80.0561174.86
237567.2735171848.577520.5719222.85-5015.69-15797.791.51.420.0351073.35
312076.0635181751.437788.0520167.05-7535.81-30442.761.031.090.0088345.03
4-21879.4535152042.8611429.4526364.85-9666.06-45210.031.180.89-0.012-625.13
542016.635191654.2910839.4819958.33-10245.85-31062.791.061.260.0251200.47
649065.635181751.4312479.2927723.79-10327.16-47943.411.211.280.0251401.87
79501.435181751.4311773.0830603.12-11906.7-30345.480.991.050.0048271.47
815157.6935191654.2912177.4924815.4-13513.41-34756.790.91.070.0075433.08
935531.6235191654.2912161.9425083.61-12221.58-36641.2211.180.0181015.19
1073853.9235191654.2912734.0723615.41-10505.84-24565.381.211.440.0412110.11

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.8. 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 51.43%, which is not acceptable. Avoid this strategy. Average return per trade is 0.59%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.056, 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-1141120.0835181751.435133.7616150.9-3016.92-11550.671.71.80.0561174.86
atrnil36.3314996360194131.6727626.157823.51-9144.71-21079.953.021.40.0362499.38
atrtrail-14.6634843.0165244136.9213953.1971177.23-7317.89-17830.61.911.120.0092536.05
atrtrail23.2625201.8465244136.9213551.4738549-7317.89-17830.61.851.080.0083387.72
atrtrail33.929160.4965244136.9212883.0857823.51-7317.89-17830.61.761.030.0028140.93
atrnil23.75-25002.5360194131.6718417.438549-9144.71-21079.952.010.93-0.008-416.71

In the table above, row 1 shows the best exit criterion. Profit factor is 1.8. 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 51.43%, which is not acceptable. Avoid this strategy. Average return per trade is 0.59%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.056, 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:1.8

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018619 Mar 2018 (0.67%), 21 May 2018 (2.96%), 27 Jun 2018 (1.29%), 16 Jul 2018 (-0.08%), 28 Sep 2018 (-0.21%), 22 Oct 2018 (-2.14%)
2017308 Mar 2017 (-0.67%), 25 Sep 2017 (2.32%), 01 Dec 2017 (-0.08%)
2016415 Jan 2016 (1.9%), 29 Sep 2016 (3.04%), 27 Oct 2016 (1.34%), 19 Dec 2016 (-0.46%)
2014524 Jan 2014 (-5.71%), 13 Feb 2014 (2.35%), 08 Jul 2014 (0.88%), 30 Sep 2014 (1.76%), 01 Dec 2014 (0.38%)
2013212 Feb 2013 (-0.49%), 26 Feb 2013 (1.93%)
2010627 Jan 2010 (3.1%), 22 Apr 2010 (-0.51%), 07 May 2010 (8.08%), 24 May 2010 (-5.78%), 26 Oct 2010 (4.21%), 24 Nov 2010 (-1.04%)
2009208 Jul 2009 (-2.15%), 27 Oct 2009 (-1.95%)
2008216 Jan 2008 (1.07%), 03 Mar 2008 (-0.72%)
2007307 Mar 2007 (7.66%), 12 Jun 2007 (-1.61%), 09 Aug 2007 (-1.28%)
2006215 May 2006 (1.27%), 17 Nov 2006 (-0.77%)



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