Study: Sell JSWSTEEL when RSI is below 50 and there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell JSWSTEEL when RSI is below 50 and there is Bearish 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: 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
18708.58146842.865405.7112659.72-2965.71-7320.021.821.370.035622.04
217528.091477508275.5320690.28-5771.52-13339.531.431.430.0391252.01
350988.9714775013001.4631744.29-5717.32-10243.072.272.270.0843642.07
417185.991477509805.3218889.55-7350.18-14150.81.331.330.0381227.57
556229.43148657.1411083.8120493.15-5406.85-11772.252.052.730.124016.39
6101882148657.1414880.1537735.16-2859.87-7926.55.26.940.177277.29
765119.65148657.1416336.9245990.87-10929.28-32564.311.491.990.0734651.4
867058.35148657.1415488.1531086.76-9474.47-25934.771.632.180.0914789.88
952389.89148657.1414001.8833424.66-9937.53-35057.011.411.880.0723742.13
10-20878.2714775012527.820383.56-15510.41-55847.260.810.81-0.023-1491.31
Although, strategy looks good but profit factor on day 4 is less than minimum accepted value so avoid this, see below for further analysis.
JSWSTEEL Performance, X=6, Profit Factor:6.94

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016212 Sep 2016 (-0.47%), 24 Nov 2016 (-2.59%)
2015212 Jan 2015 (-0.44%), 09 Feb 2015 (-3.96%)
2014116 Sep 2014 (4.11%)
2013106 Aug 2013 (4.39%)
2012216 Jul 2012 (0.78%), 17 Oct 2012 (-0.92%)
2011306 Jan 2011 (11.82%), 28 Jan 2011 (-0.19%), 23 Sep 2011 (13.2%)
2008124 Nov 2008 (2.6%)
2006217 Jan 2006 (3.75%), 05 Jun 2006 (18.87%)

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
atrnil25.9364324.7114775020603.4938793.84-11414.25-35369.071.811.810.0744594.62
atrtrail24.0744184.611441028.5725922.2238793.84-5950.43-14989.254.361.740.0613156.04
atrtrail34.361641.071441028.5715286.3427463.71-5950.43-14989.252.571.030.0032117.22
atrtrail-14.43-7319.031441028.5713046.3118503.61-5950.43-14989.252.190.88-0.016-522.79
atrnil317.23-64411.561321115.3830379.7333295.76-11379.18-35369.072.670.49-0.087-4954.74

In the table above, row 1 shows the best exit criterion. Profit factor is 1.81. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 50%, which is not acceptable. Avoid this strategy. Average return per trade is 2.3%, which is very good. Sharpe Ratio is 0.074, 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:1.81

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016212 Sep 2016 (4.87%), 24 Nov 2016 (-3.43%)
2015212 Jan 2015 (6.71%), 09 Feb 2015 (-3.29%)
2014116 Sep 2014 (-3.24%)
2013106 Aug 2013 (-5.42%)
2012216 Jul 2012 (-3.39%), 17 Oct 2012 (-3.49%)
2011306 Jan 2011 (9.15%), 28 Jan 2011 (12.19%), 23 Sep 2011 (11.1%)
2008124 Nov 2008 (-17.68%)
2006217 Jan 2006 (8.69%), 05 Jun 2006 (19.4%)



View performance of other stocks for this trading system.