Study: Sell CUMMINSIND when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell CUMMINSIND when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell CUMMINSIND 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
1-53613.3373334045.213233.9313070.28-4008.32-17277.490.810.67-0.03-734.43
2-60321.9773363749.324417.2419564.32-5928.18-27876.520.750.72-0.023-826.33
3-52323.2973314242.476286.2926441.98-5885.68-17312.761.070.79-0.018-716.76
410061.6273334045.217920.3420495.96-6282.74-19846.411.261.040.0031137.83
5-22324.1673334045.217812.5527976.44-7003.46-19603.71.120.92-0.0064-305.81
6-67119.9873343946.587508.7422270.51-8267.11-27976.190.910.79-0.018-919.45
7-49267.6373343946.588347.7332916.89-8540.78-41071.430.980.85-0.012-674.9
8-70842.5873353847.959012.3922650.73-10165.17-39880.950.890.82-0.015-970.45
9-68068.7173334045.219969.4634375-9926.52-43932.5810.83-0.014-932.45
10-17871.4673324143.8412610.5360875-10278.25-44047.621.230.96-0.0031-244.81
Although, strategy looks good but profit factor on day 1 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
atrnil27.3613260.4272234931.9415691.9423128.37-7094.98-18658.022.211.040.0034184.17
atrtrail34.82-4363.3292316133.710188.2834950.31-5249.18-13638.191.940.99-0.001-47.43
atrtrail24.3-5224.7592316133.710160.4923300.21-5249.18-13638.191.940.98-0.0013-56.79
200trail31.92-6456.12124329225.817458.111719.15-2664.3-3965.12.80.97-0.0023-52.07
atrnil39.42-30782.1371165522.5423055.0333978.29-7266.59-18658.023.170.92-0.0067-433.55
atrtrail-15.24-30121.0791306132.979592.7247801.31-5211.52-13638.191.840.91-0.0069-331
200nil32.23-31004.2121289323.148475.5911719.15-2885.17-3965.12.940.88-0.011-256.23
200trail21.65-36957.7127379029.135672.037812.77-2742.48-3965.12.070.85-0.015-291.01
200nil21.7-41839.71125378829.65710.027812.77-2876.25-3965.11.990.83-0.017-334.72
200trail-12.53-51763.1122289422.957063.3618329.16-2654.65-3965.12.660.79-0.018-424.29

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 31.94%, 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 0.0034, 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.
CUMMINSIND Performance, Profit Factor:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019606 Mar 2019 (-3.46%), 26 Mar 2019 (-2.98%), 16 Apr 2019 (5.65%), 21 May 2019 (-2.93%), 12 Jun 2019 (-3.11%), 08 Jul 2019 (6.2%)
2018223 Aug 2018 (-3.42%), 07 Sep 2018 (6.8%)
2017903 Jan 2017 (5.17%), 11 Jan 2017 (-2.74%), 14 Mar 2017 (-2.15%), 10 Aug 2017 (-3.52%), 24 Aug 2017 (-3.35%), 05 Sep 2017 (-3.1%), 27 Sep 2017 (-2.66%), 06 Oct 2017 (5.16%), 27 Dec 2017 (-2.47%)
2016311 Jan 2016 (6.19%), 08 Aug 2016 (-3.17%), 13 Oct 2016 (-2.46%)
2014328 Jan 2014 (-3.36%), 06 Feb 2014 (-3.38%), 17 Feb 2014 (-3.09%)
2013315 Apr 2013 (-3.1%), 04 Dec 2013 (-2.89%), 11 Dec 2013 (-3.05%)
2012216 Nov 2012 (6.39%), 21 Nov 2012 (-3.55%)
2011303 Feb 2011 (8.21%), 31 Mar 2011 (-3.48%), 06 Apr 2011 (6.68%)
2008217 Jan 2008 (8.76%), 22 Sep 2008 (8.71%)
2006205 Jun 2006 (-9.33%), 07 Aug 2006 (-5.27%)
2005211 May 2005 (-3.21%), 25 Oct 2005 (-5.34%)
2004317 May 2004 (-7.01%), 09 Jun 2004 (11.56%), 09 Aug 2004 (9.05%)
2003230 Jan 2003 (-3.02%), 28 Mar 2003 (-3.35%)
2002717 Jan 2002 (-4.07%), 11 Feb 2002 (-3.56%), 07 Mar 2002 (-5.18%), 27 Mar 2002 (-4.64%), 24 Apr 2002 (-3.5%), 10 May 2002 (6.92%), 14 Aug 2002 (8.76%)
2001326 Feb 2001 (11.23%), 20 Nov 2001 (-4.77%), 21 Dec 2001 (-4.96%)
2000418 Feb 2000 (9.88%), 26 Jun 2000 (7.92%), 14 Jul 2000 (11.23%), 01 Aug 2000 (11.33%)
1999308 Jan 1999 (-3.07%), 02 Feb 1999 (-5.6%), 04 May 1999 (-4.97%)
1998106 Apr 1998 (5.32%)
1997912 Feb 1997 (-2.76%), 28 Feb 1997 (-2.51%), 21 Mar 1997 (-1.93%), 29 Apr 1997 (-2.27%), 19 May 1997 (-2.95%), 28 May 1997 (-2.36%), 29 Oct 1997 (-3.46%), 06 Nov 1997 (-2.97%), 31 Dec 1997 (8.89%)
1996319 Apr 1996 (-1.93%), 26 Nov 1996 (-2.39%), 02 Dec 1996 (4.45%)



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