Study: Sell CUMMINSIND when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell CUMMINSIND when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50" 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
1-34463.51351421403571.6313070.28-4022.21-12642.750.890.59-0.04-984.67
2-39281.3335152042.865224.2419564.32-5882.24-18779.560.890.67-0.031-1122.32
3-27534.8535122334.298123.6326441.98-5435.58-17312.761.490.78-0.018-786.71
4-5391.89351421408545.5520495.96-5953.79-14742.181.440.96-0.0036-154.05
5-26532.52351421408368.8627976.44-6842.69-16610.911.220.82-0.016-758.07
6-29392.4435152042.869237.9622270.51-8398.09-21040.491.10.83-0.016-839.78
7-44370.8735152042.869260.8432916.89-9164.17-29640.451.010.76-0.02-1267.74
8-57289.235171848.578888.5722650.73-11577.49-34561.80.770.73-0.024-1636.83
9-32368.4535161945.7111122.2434375-11069.7-43932.5810.85-0.012-924.81
10-309.7735152042.8614870.2260875-11168.15-28584.271.331-0.0001-8.85
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
atrtrail34.13-17840.846123426.0914561.1934950.31-5663.97-13638.192.570.91-0.0076-387.84
atrnil37.71-29821.224193221.9523056.2933695.65-7416.5-18658.023.110.87-0.011-727.35
atrnil26.59-43552.2341113026.8315936.0323128.37-7294.95-18658.022.180.8-0.02-1062.25
200trail31.66-32489.9959124720.347668.1811102.86-2649.11-3904.52.890.74-0.026-550.68
atrtrail23.76-57682.446123426.0911241.0623300.21-5663.97-13638.191.980.7-0.031-1253.97
200trail21.46-39655.4561154624.595807.887746.52-2755.95-3904.52.110.69-0.035-650.09
200nil21.46-43763.8761154624.595807.887746.52-2845.26-3904.52.040.67-0.039-717.44
atrtrail-14.44-66415.9745113424.4411260.1647801.31-5596.4-13638.192.010.65-0.031-1475.91
200nil31.8-52177.4959104916.958748.8311102.86-2850.32-3904.53.070.63-0.041-884.36
200trail-12.09-49270.3458104817.247751.0813470.94-2641.27-3904.52.930.61-0.04-849.49

In the table above, row 1 shows the best exit criterion. Profit factor is 0.91. 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 26.09%, which is not acceptable. Avoid this strategy. Average return per trade is -0.19%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CUMMINSIND Performance, Profit Factor:0.907

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019126 Mar 2019 (-2.98%)
2017614 Mar 2017 (-2.15%), 10 Aug 2017 (-2.92%), 24 Aug 2017 (-3.35%), 05 Sep 2017 (-3.1%), 27 Sep 2017 (-1.22%), 06 Oct 2017 (-0.28%)
2016211 Jan 2016 (9.28%), 13 Oct 2016 (0.1%)
2014428 Jan 2014 (-1.56%), 31 Jan 2014 (-3.43%), 06 Feb 2014 (-3.38%), 17 Feb 2014 (-3.09%)
2013115 Apr 2013 (-3.1%)
2012216 Nov 2012 (9.59%), 21 Nov 2012 (-3.55%)
2011103 Feb 2011 (12.31%)
2008117 Jan 2008 (13.14%)
2006105 Jun 2006 (1.99%)
2005125 Oct 2005 (-5.34%)
2004217 May 2004 (-6.82%), 09 Jun 2004 (5.42%)
2003128 Mar 2003 (-1.5%)
2002811 Jan 2002 (-3.99%), 17 Jan 2002 (-4.07%), 07 Mar 2002 (-0.39%), 27 Mar 2002 (-2.95%), 11 Apr 2002 (-3.55%), 24 Apr 2002 (-0.6%), 06 May 2002 (-3.45%), 10 May 2002 (4.01%)
2001226 Feb 2001 (-4.08%), 01 Mar 2001 (17.48%)
2000118 Feb 2000 (2.6%)
1999104 May 1999 (-4.97%)
1997912 Feb 1997 (-2.76%), 28 Feb 1997 (-2.51%), 21 Mar 1997 (-1.93%), 19 May 1997 (-2.95%), 28 May 1997 (-1.94%), 29 Oct 1997 (-3.14%), 06 Nov 1997 (-0.26%), 19 Nov 1997 (-2.55%), 31 Dec 1997 (4.77%)
1996226 Nov 1996 (-2.39%), 02 Dec 1996 (6.68%)



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