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

home > technical-strategy > cumminsind > 23

In this study, we evaluate the performance of strategy "Buy CUMMINSIND when above 200 SMA and near 50 SMA and above 50 SMA 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: 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
1-18689.21991047.373480.887898.32-5001.71-18642.530.70.63-0.034-983.64
2-31410.021961331.585638.0413623.19-5018.33-14660.631.120.52-0.05-1653.16
3-36126.841961331.584988.228543.18-5081.25-11953.340.980.45-0.062-1901.41
4-22340.861981142.115178.8511594.2-5797.42-11538.460.890.65-0.037-1175.83
53284.591971236.849765.3128521.74-5422.71-13871.871.81.050.0037172.87
6-27026.961961331.589825.4327536.23-6613.81-12516.251.490.69-0.03-1422.47
7-75337.321961331.588572.9723188.41-9751.93-20155.040.880.41-0.079-3965.12
8-85439.361951426.3210348.4120075.17-9798.67-31180.021.060.38-0.081-4496.81
9-80919.951951426.3211296.3630488.59-9814.41-30318.691.150.41-0.071-4258.94
10-48470.171971236.8410453.8237803.65-10137.24-27217.921.030.6-0.038-2551.06
Although, strategy looks good but profit factor on day 3 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
50trail32.08-7408.2124618257325.779877.68-2853.49-3996.552.570.86-0.013-308.68
50trail21.54-8858.572681830.775483.876585.12-2929.42-3996.551.870.83-0.018-340.71
50nil21.54-9958.262681830.775483.876585.12-2990.51-3996.551.830.82-0.02-383.01
50nil32.08-11486.232451920.838756.959877.68-2909-3996.553.010.79-0.02-478.59
atrnil35.89-29502.551941521.0522823.9125169.99-8053.21-11927.632.830.76-0.025-1552.77
atrtrail34.33-41179.062141719.0514459.4725169.99-5824.53-10177.642.480.58-0.043-1960.91
50trail-12.74-21614.662341917.397538.5220382.61-2724.67-3996.552.770.58-0.037-939.77
atrnil25.58-59934.431941521.0515215.9416779.99-8053.21-11927.631.890.5-0.066-3154.44
atrtrail24.19-51056.92141719.0511990.0116779.99-5824.53-10177.642.060.48-0.064-2431.28
atrtrail-14.52-53949.872141719.0511266.7719282.08-5824.53-10177.641.930.46-0.068-2569.04

In the table above, row 1 shows the best exit criterion. Profit factor is 0.86. 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 25%, which is not acceptable. Avoid this strategy. Average return per trade is -0.15%, 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:0.856

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017119 May 2017 (-1.79%)
2015116 Jun 2015 (4.94%)
2014112 May 2014 (-1.04%)
2011103 Jan 2011 (-1.32%)
2010426 Nov 2010 (-1.05%), 07 Dec 2010 (-1.78%), 13 Dec 2010 (-1.74%), 30 Dec 2010 (3.15%)
2006217 Apr 2006 (-1.17%), 21 Apr 2006 (-1.69%)
2005212 Jan 2005 (-1.0%), 10 Nov 2005 (-1.09%)
2004221 Jan 2004 (-2.0%), 25 May 2004 (4.23%)
2003208 Jul 2003 (-1.51%), 17 Jul 2003 (-1.77%)
2002201 Mar 2002 (0.08%), 26 Jul 2002 (-1.29%)
1999217 May 1999 (4.9%), 11 Nov 1999 (-1.14%)
1997318 Sep 1997 (-1.0%), 15 Dec 1997 (4.67%), 23 Dec 1997 (-1.82%)
1996103 Oct 1996 (-1.49%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play