Study: Buy JSWSTEEL when RSI is below 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy JSWSTEEL when RSI is below 50 and 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
1-3283.1541202148.783805.4610958.58-3780.59-13595.451.010.96-0.0042-80.08
28268.941251660.984641.7817760.2-6735.98-20274.750.691.080.0073201.68
32436.1341192246.348273.1824368.87-7034.28-27328.541.181.020.001559.42
4-44420.3941182343.99855.6535359.56-9644.44-38414.311.020.8-0.021-1083.42
5-43801.5141152636.5911002.1728630.79-8032.08-28160.641.370.79-0.024-1068.33
6-7911.8741182343.911783.1138871.39-9565.56-27609.191.230.96-0.0036-192.97
7842.5141192246.3412707.2436807.18-10936.14-44167.691.1610.0003520.55
828417.7241221953.6612327.7333268.55-12778.54-52096.120.961.120.011693.12
911178841221953.6615883.0148718.64-12507.28-38810.361.271.470.0392726.53
1011771641241758.5415976.1843440.98-15630.16-46670.481.021.440.0382871.11
Although, strategy looks good but profit factor on day 5 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
atrnil28.7742851.6343152834.8821919.8841906.86-10212.38-25213.082.151.150.016996.55
atrnil312.738014.0243113225.5833297.2662860.29-10257.99-25213.083.251.120.011884.05
atrtrail35.313369.5945133228.8916482.5546275.87-6590.74-18603.652.51.020.001474.88
atrtrail24.82-11697.6445133228.8915323.5335974.57-6590.74-18603.652.330.94-0.0055-259.95
atrtrail-15.89-18483.8145133228.8914801.5243246.25-6590.74-18603.652.250.91-0.0087-410.75

In the table above, row 1 shows the best exit criterion. Profit factor is 1.15. 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 34.88%, which is not acceptable. Avoid this strategy. Average return per trade is 0.5%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, 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:1.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019304 Feb 2019 (-3.43%), 13 Feb 2019 (-3.66%), 16 Aug 2019 (-4.57%)
2018117 Dec 2018 (-3.63%)
2015720 Jan 2015 (-3.18%), 08 Apr 2015 (6.4%), 20 May 2015 (-3.52%), 20 Jul 2015 (-2.99%), 03 Aug 2015 (6.52%), 12 Oct 2015 (-3.81%), 17 Nov 2015 (6.36%)
2014219 Feb 2014 (7.22%), 30 Dec 2014 (-3.7%)
2013301 Apr 2013 (9.74%), 31 Jul 2013 (-4.52%), 01 Aug 2013 (-4.75%)
2012129 May 2012 (-5.03%)
2011920 Jan 2011 (-4.97%), 15 Feb 2011 (-6.14%), 25 Mar 2011 (8.18%), 17 May 2011 (-3.54%), 29 Jun 2011 (-3.01%), 22 Aug 2011 (-6.04%), 12 Oct 2011 (-5.55%), 05 Dec 2011 (-6.11%), 29 Dec 2011 (12.6%)
2010304 Jun 2010 (-5.0%), 11 Jun 2010 (9.5%), 15 Dec 2010 (-5.23%)
2009330 Jan 2009 (-8.3%), 02 Feb 2009 (17.99%), 16 Mar 2009 (14.29%)
2008315 Apr 2008 (15.43%), 23 Jul 2008 (-7.96%), 04 Dec 2008 (-12.61%)
2007129 Aug 2007 (13.78%)
2006315 Feb 2006 (7.47%), 02 Jun 2006 (-9.3%), 20 Jun 2006 (20.95%)
2005406 Jun 2005 (-3.62%), 23 Jun 2005 (-3.65%), 06 Jul 2005 (7.97%), 08 Nov 2005 (-5.16%)



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