Study: Sell JSWSTEEL when there is bearish divergence in RSI and ADX is Trending

home > technical-strategy > jswsteel > 43

In this study, we evaluate the performance of strategy "Sell JSWSTEEL when there is bearish divergence in RSI 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
138399.391311284.623755.5714579.82-1455.95-2911.92.5814.190.212953.8
233017.61137653.857697.1433247.86-3477.06-7093.072.212.580.0792539.82
318624.28135838.469844.4522844.16-3824.74-6502.062.571.610.0541432.64
415068135838.4610251.0828133.93-4523.43-9670.132.271.420.0371159.08
551662.56137653.8511583.7734610.59-4903.97-10127.12.362.760.13974.04
630662.55137653.859721.1427196.13-6230.91-13256.551.561.820.0712358.66
716142.08136746.1510387.9225994.58-6597.92-11869.621.571.350.0361241.7
8-21498.65135838.4612998.9921520.93-10811.7-25256.251.20.75-0.036-1653.74
9-36342.09135838.4615788.6133607.28-14410.64-48589.751.10.68-0.044-2795.55
10-15362.81137653.8511746.0536850.76-16264.19-35972.230.720.84-0.019-1181.75

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 14.19. Strategy is very good and impressively bearish. Percentage of profitable trades is 84.62%, which is excellent. Average return per trade is 1.48%, which is not very high, but percentage of profitable trades compensates for it.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
JSWSTEEL Performance, X=1, Profit Factor:14.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016202 May 2016 (+), 16 Aug 2016 (-)
2014105 Jun 2014 (+)
2013127 Nov 2013 (+)
2010208 Mar 2010 (+), 28 Sep 2010 (+)
2009518 May 2009 (+), 01 Jun 2009 (+), 16 Jun 2009 (+), 24 Sep 2009 (+), 14 Oct 2009 (-)
2007109 Jan 2007 (+)
2006118 Apr 2006 (+)

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-1138399.391311284.623755.5714579.82-1455.95-2911.92.5814.190.212953.8
atrtrail24.3628252.1722101245.4512918.8230570.38-8411.34-18193.321.541.280.0281284.19
atrnil25.5218047.992171433.3320993.7230570.38-9207.72-18193.322.281.140.017859.43
atrnil37.05-6981.72205152526678.9245362.96-9358.42-18193.322.850.95-0.0062-349.09
atrtrail-15.38-11342.42191242.869533.6635027.42-8095.44-18193.321.180.88-0.014-540.11
atrtrail35-22774.582191242.868263.4121733.13-8095.44-18193.321.020.77-0.032-1084.5

In the table above, row 1 shows the best exit criterion. Profit factor is 14.19. Strategy is very good and impressively bearish. Percentage of profitable trades is 84.62%, which is excellent. Average return per trade is 1.48%, which is not very high, but percentage of profitable trades compensates for it.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.