Study: Buy CUMMINSIND when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy CUMMINSIND when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. sell 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
119485.7356272948.213611.1913371.43-2690.22-90001.341.250.017347.96
228419.0956302653.573871.8718973.92-3374.5-8727.951.151.320.02507.48
311143.24562828505271.6629292.06-4873.69-13890.721.081.080.0057198.99
423676.3256302653.576130.7424864.21-6163.3-12587.150.991.150.011422.79
523301.9456243242.867993.6728521.74-5267.07-13871.871.521.140.0097416.11
632306.3556253144.648112.9727536.23-5500.58-18038.181.471.190.013576.9
7-35748.4356253144.647171.5423188.41-6936.67-29229.761.030.83-0.013-638.36
830757.39562828507710.2628249.82-6611.78-21922.321.171.170.012549.24
94491.7556263046.437850.8835493.83-6654.37-22646.481.181.020.001680.21
10-5039.71562828507031.4331463.33-7211.42-25082.290.980.98-0.0019-89.99
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
50trail21.9341976.8286325437.215727.187945.16-2616.54-3924.942.191.30.024488.1
50nil22.1737059.2882315137.86110.967945.16-2987.85-3991.542.051.240.021451.94
50trail-13.431433.8278255332.056664.2122459.16-2550.4-3924.942.611.230.014403
50nil33.759972.4371185325.359259.111867.66-2956.44-3991.543.131.060.0053140.46
50trail32.628804.1180275333.755460.9411867.66-2615.87-3924.942.091.060.0049110.05
atrnil310.091492.7447123525.5320397.6727884.29-6950.84-11927.632.931.010.0005331.76
atrtrail34.89-29770.0965174826.1511166.7327884.29-4575.09-9788.882.440.86-0.011-458
atrnil29.04-47830.4348143429.1713530.2118589.53-6978.04-11927.631.940.8-0.021-996.47
atrtrail24.7-74750.2866184827.278047.4618589.53-4575.09-9788.881.760.66-0.034-1132.58
atrtrail-15.42-80821.8165174826.158163.6920996.42-4575.09-9788.881.780.63-0.036-1243.41

In the table above, row 1 shows the best exit criterion. Profit factor is 1.3. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 37.21%, which is not acceptable. Avoid this strategy. Average return per trade is 0.24%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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:1.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019201 Apr 2019 (-1.06%), 09 Apr 2019 (-1.63%)
2017430 Aug 2017 (-1.32%), 13 Sep 2017 (2.28%), 19 Sep 2017 (-1.18%), 03 Oct 2017 (-1.2%)
2015820 Jan 2015 (-0.11%), 09 Feb 2015 (2.81%), 28 Feb 2015 (3.39%), 30 Sep 2015 (-1.67%), 04 Nov 2015 (-1.16%), 21 Dec 2015 (-1.55%), 24 Dec 2015 (-1.09%), 31 Dec 2015 (-1.32%)
2014213 May 2014 (-1.72%), 16 Oct 2014 (3.26%)
20131104 Feb 2013 (-1.07%), 06 Feb 2013 (2.39%), 07 Feb 2013 (-1.92%), 08 Mar 2013 (2.62%), 11 Mar 2013 (-0.95%), 14 Mar 2013 (-1.02%), 28 Mar 2013 (-1.96%), 02 Apr 2013 (-1.14%), 08 Apr 2013 (-1.48%), 12 Apr 2013 (-1.04%), 18 Apr 2013 (3.86%)
2012302 Jul 2012 (3.67%), 01 Aug 2012 (3.57%), 30 Nov 2012 (2.09%)
2011103 Jan 2011 (-1.32%)
2010320 Oct 2010 (0.86%), 27 Oct 2010 (3.19%), 30 Dec 2010 (2.1%)
2007712 Jan 2007 (-0.06%), 19 Jan 2007 (-0.93%), 31 Jan 2007 (2.46%), 23 Mar 2007 (-1.62%), 28 Nov 2007 (-1.47%), 11 Dec 2007 (-1.69%), 13 Dec 2007 (-1.58%)
2006224 Apr 2006 (-1.63%), 26 Dec 2006 (3.96%)
2005503 Jan 2005 (3.86%), 28 Jan 2005 (3.12%), 10 Oct 2005 (-1.82%), 10 Nov 2005 (-1.09%), 16 Nov 2005 (2.03%)
2004825 May 2004 (2.82%), 27 May 2004 (-1.94%), 22 Nov 2004 (2.3%), 24 Nov 2004 (-1.04%), 02 Dec 2004 (-1.78%), 14 Dec 2004 (-1.55%), 17 Dec 2004 (3.97%), 24 Dec 2004 (-1.84%)
2003117 Jul 2003 (-1.77%)
2002602 Jan 2002 (-1.84%), 15 Jan 2002 (-1.43%), 20 Mar 2002 (-1.34%), 15 Apr 2002 (2.14%), 16 Apr 2002 (-1.71%), 13 May 2002 (-1.52%)
2001105 Feb 2001 (3.6%)
1999405 Mar 1999 (3.52%), 05 Apr 1999 (-1.76%), 17 May 1999 (3.27%), 11 Nov 1999 (-1.14%)
1997719 Feb 1997 (-0.81%), 21 Feb 1997 (-1.21%), 01 Mar 1997 (3.2%), 10 Mar 1997 (-1.96%), 12 Mar 1997 (-1.47%), 25 Mar 1997 (-1.29%), 21 May 1997 (-0.38%)
19961109 Jul 1996 (-0.31%), 19 Jul 1996 (0.25%), 23 Jul 1996 (3.54%), 06 Aug 1996 (-0.68%), 16 Aug 1996 (-1.34%), 27 Aug 1996 (2.54%), 18 Sep 1996 (3.35%), 23 Sep 1996 (-0.24%), 23 Oct 1996 (-1.52%), 17 Dec 1996 (2.1%), 19 Dec 1996 (3.52%)



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