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

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In this study, we evaluate the performance of strategy "Sell CUMMINSIND when below 200 SMA and near 50 SMA and below 50 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
16238.2251114442965.517932.49-1884.46-5657.241.571.240.017249.53
2-14164.58251114444005.2512400-4158.74-13602.020.960.76-0.022-566.58
3-6124.68251114444936.4510718.24-4316.12-13846.151.140.9-0.0084-244.99
4-370.83251213485292.5413405.18-4913.94-15897.441.080.99-0.00047-14.83
5-4821.34251114445792.2517996.6-4895.43-13618.191.180.93-0.0058-192.85
640461.525169646344.9219827.27-6784.13-15626.520.941.660.0421618.46
740310.65251510606711.9318483.8-6036.83-16296.931.111.670.041612.43
854993.85251510607407.3218926.7-5611.6-17723.061.321.980.0562199.75
974038.1225169648454.9819458.18-6804.61-17089.221.242.210.0672961.52
101031882515106011122.9620786.89-6365.67-15492.251.752.620.0794127.51
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
CUMMINSIND Performance, X=10, Profit Factor:2.62

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019322 Apr 2019 (2.93%), 18 Jun 2019 (-5.84%), 10 Jul 2019 (1.35%)
2018117 May 2018 (5.83%)
2017213 Oct 2017 (-0.56%), 31 Oct 2017 (6.46%)
2016325 Apr 2016 (-0.03%), 18 May 2016 (9.63%), 13 Jul 2016 (-7.48%)
2013231 Oct 2013 (-1.32%), 14 Nov 2013 (-7.75%)
2011231 May 2011 (0.71%), 26 Jul 2011 (10.39%)
2008128 Apr 2008 (10.23%)
2004113 Aug 2004 (-3.68%)
2002315 May 2002 (7.01%), 13 Nov 2002 (-1.02%), 10 Dec 2002 (1.86%)
2001304 Jun 2001 (8.52%), 13 Sep 2001 (0.1%), 28 Sep 2001 (9.41%)
2000108 Aug 2000 (3.98%)
1998114 May 1998 (5.0%)
1997208 May 1997 (-2.88%), 28 May 1997 (-1.27%)

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
50trail32.7121230.9434122235.296846.0711472-2769.18-3998.012.471.350.025624.44
atrnil26.5737427.2230111936.6714454.3821492-6398.47-10643.542.261.310.0241247.57
50trail-13.8212886.6334122235.296150.7113936.88-2769.18-3998.012.221.210.015379.02
atrnil39.9329418.233082226.6721608.2732238-6520.36-10643.543.311.210.015980.61
atrtrail25.131378730111936.679368.0919579.43-4698-10222.771.991.150.012459.57
50nil33.189160.883492526.479549.2711708.5-3071.3-3998.013.111.120.0097269.44
50trail22.416375.6934122235.295608.137805.67-2769.18-3998.012.031.10.009187.52
50nil22.65-70.0734112332.356385.487805.67-3056.97-3998.012.091-9.4e-05-2.06
atrtrail36.03-498.3830111936.678069.4217460.76-4698-10222.771.720.99-0.00046-16.61
atrtrail-16.47-5250.4630111936.677637.4114366.33-4698-10222.771.630.94-0.0051-175.02

In the table above, row 1 shows the best exit criterion. Profit factor is 1.35. 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 35.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.31%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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:1.35

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019522 Apr 2019 (-1.96%), 30 Apr 2019 (3.03%), 18 Jun 2019 (-1.3%), 10 Jul 2019 (-1.43%), 16 Jul 2019 (-1.41%)
2018117 May 2018 (5.57%)
2017213 Oct 2017 (0.25%), 31 Oct 2017 (4.38%)
2016525 Apr 2016 (-1.64%), 06 May 2016 (-2.0%), 18 May 2016 (-1.77%), 25 May 2016 (4.27%), 13 Jul 2016 (-1.57%)
2013331 Oct 2013 (-1.89%), 12 Nov 2013 (-1.38%), 18 Nov 2013 (-1.32%)
2011231 May 2011 (-0.24%), 26 Jul 2011 (5.49%)
2008328 Apr 2008 (-1.29%), 30 Apr 2008 (-1.17%), 06 May 2008 (3.17%)
2004113 Aug 2004 (-1.2%)
2002415 May 2002 (5.47%), 13 Nov 2002 (-1.0%), 10 Dec 2002 (-1.52%), 16 Dec 2002 (-0.58%)
2001304 Jun 2001 (1.3%), 13 Sep 2001 (5.74%), 28 Sep 2001 (1.35%)
2000108 Aug 2000 (-1.6%)
1998114 May 1998 (-1.52%)
1997308 May 1997 (1.06%), 19 May 1997 (-1.63%), 28 May 1997 (-1.04%)



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