Study: Sell JSWSTEEL when RSI is above 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 above 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
1-38650.755282750.913726.3417680.73-5295.86-17899.90.70.73-0.03-702.74
2-99786.6555243143.644537.8915221.54-6732.13-28714.430.670.52-0.063-1814.3
3-13336355203536.367472.2829272.63-8080.25-50029.440.920.53-0.055-2424.78
4-16215555233241.828380.6633333.33-11090.94-77644.750.760.54-0.049-2948.27
5-11121855243143.648999.2936582.15-10554.87-63552.50.850.66-0.036-2022.14
6-93228.8755272849.099187.3442882.23-12188.82-67890.090.750.73-0.026-1695.07
7-83326.1855253045.4510426.1234156.51-11465.98-48361.140.910.76-0.026-1515.02
8-52656.8955243143.6412650.651564.04-11492.62-54275.871.10.85-0.016-957.4
9-48923.1655262947.2712464.241696.85-12861.8-50232.140.970.87-0.015-889.51
10-15543.7955272849.0912485.0629524.75-12594.3-46847.390.990.96-0.0048-282.61
Although, strategy looks good but profit factor on day 2 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
atrtrail-14.7413912.4376225428.9515706.8953750.36-6141.46-19311.492.561.040.0036183.06
atrtrail34.12-25544.0276225428.9513913.4129476.15-6141.46-19311.492.270.92-0.0081-336.11
atrnil36.61-51968.0274195525.6821029.9832503.46-8209.77-19311.492.560.88-0.014-702.27
atrnil24.93-90467.2874235131.0814326.3821956.42-8234.79-19311.491.740.78-0.029-1222.53
atrtrail23.74-91774.0376225428.9510902.9621956.42-6141.46-19311.491.780.72-0.035-1207.55

In the table above, row 1 shows the best exit criterion. Profit factor is 1.04. 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 28.95%, which is not acceptable. Avoid this strategy. Average return per trade is 0.092%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0036, 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:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019422 Mar 2019 (-0.65%), 04 Apr 2019 (-2.89%), 10 Apr 2019 (-2.05%), 24 Apr 2019 (-0.82%)
2018819 Jan 2018 (-1.74%), 31 Jan 2018 (-3.22%), 07 Feb 2018 (-4.26%), 21 Feb 2018 (-3.72%), 01 Mar 2018 (1.65%), 03 May 2018 (-2.07%), 15 Jun 2018 (-0.98%), 21 Sep 2018 (6.26%)
2017802 Feb 2017 (-0.66%), 04 May 2017 (-1.35%), 21 Jul 2017 (-1.97%), 11 Aug 2017 (-2.94%), 18 Sep 2017 (6.65%), 09 Nov 2017 (-2.97%), 14 Nov 2017 (1.0%), 24 Nov 2017 (6.11%)
2016505 Apr 2016 (-2.5%), 08 Apr 2016 (-2.4%), 02 May 2016 (5.01%), 03 Aug 2016 (-2.46%), 09 Aug 2016 (-2.28%)
2015130 Dec 2015 (-2.61%)
2014609 Jan 2014 (1.08%), 15 Apr 2014 (-3.12%), 29 Apr 2014 (-3.27%), 29 May 2014 (-3.86%), 13 Jun 2014 (-0.25%), 17 Sep 2014 (6.19%)
2013716 Jan 2013 (-2.67%), 17 Jan 2013 (-2.37%), 23 Jan 2013 (-0.86%), 11 Oct 2013 (-3.24%), 30 Oct 2013 (-3.06%), 09 Dec 2013 (-2.39%), 12 Dec 2013 (-0.38%)
2012523 Feb 2012 (0.11%), 23 Aug 2012 (-3.1%), 24 Aug 2012 (7.65%), 18 Oct 2012 (-2.53%), 09 Nov 2012 (3.31%)
2011220 Apr 2011 (-3.36%), 28 Apr 2011 (6.69%)
2010521 Jan 2010 (10.36%), 31 Mar 2010 (-3.04%), 02 Aug 2010 (-0.06%), 30 Aug 2010 (-1.86%), 11 Oct 2010 (-0.32%)
2009827 Apr 2009 (-2.95%), 08 Jun 2009 (-8.74%), 09 Jun 2009 (-8.49%), 18 Jun 2009 (-9.66%), 11 Aug 2009 (-3.82%), 21 Oct 2009 (17.38%), 07 Dec 2009 (-5.45%), 08 Dec 2009 (1.14%)
2008202 Jan 2008 (25.24%), 05 Jun 2008 (9.61%)
20071023 Jan 2007 (-5.51%), 24 Jan 2007 (-5.27%), 09 Feb 2007 (-1.49%), 02 Mar 2007 (6.21%), 30 Apr 2007 (-3.87%), 07 May 2007 (-1.91%), 01 Aug 2007 (19.93%), 18 Oct 2007 (-7.99%), 30 Oct 2007 (2.37%), 24 Dec 2007 (-5.76%)
2006421 Apr 2006 (-4.25%), 04 Sep 2006 (1.97%), 03 Nov 2006 (-3.88%), 06 Nov 2006 (-2.5%)
2005126 Sep 2005 (26.88%)



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