Study: Sell CUMMINSIND when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell CUMMINSIND when there is Bearish Crossover in MACD" 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
1-40176.211941039153.092951.9317567.21-3782.69-19044.70.780.88-0.0093-207.09
2-1688381949110346.913733.6216955.12-4937.83-29454.460.760.67-0.029-870.3
3-1636021948510943.815123.8918715.17-5496.63-39896.980.930.73-0.024-843.31
4-2549981948111341.755746.632648.87-6375.86-53102.320.90.65-0.032-1314.42
5-3655761947811640.216594.3835640.95-7585.67-62093.190.870.58-0.038-1884.41
6-3072121948011441.247916.3741734.65-8250.19-42659.80.960.67-0.029-1583.57
7-3068861948810645.367601.7349506.23-9206.02-40224.770.830.69-0.028-1581.89
8-3375211938910446.118275.2541391.16-10327.1-44949.950.80.69-0.028-1748.81
9-3366651939010346.639106.4436839.85-11225.68-45898.820.810.71-0.026-1744.38
10-358423193979650.269058.9839716.62-12886.92-61786.870.70.71-0.025-1857.11

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.88. 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 53.09%, which is not acceptable. Avoid this strategy. Average return per trade is -0.1%, we advise you not to use this strategy.

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
nilnil-11-40176.211941039153.092951.9317567.21-3782.69-19044.70.780.88-0.0093-207.09
atrnil38.49-3752022154417120.4720839.636030.99-7556.4-22654.322.760.71-0.03-1745.12
atrnil25.93-3969572296116826.6414079.0725143.94-7474.89-22654.321.880.68-0.035-1733.44
atrtrail24.13-3238782346317126.929909.9924020.66-5545.07-22654.321.790.66-0.034-1384.1
atrtrail34.55-3593862306116926.529344.4928471.67-5499.41-22654.321.70.61-0.038-1562.55
atrtrail-14.95-3929172306017026.098950.4944461.05-5470.27-22654.321.640.58-0.041-1708.34

In the table above, row 1 shows the best exit criterion. Profit factor is 0.88. 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 53.09%, which is not acceptable. Avoid this strategy. Average return per trade is -0.1%, 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, X=1, Profit Factor:0.883

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019611 Jan 2019 (-1.34%), 04 Apr 2019 (0.15%), 22 Apr 2019 (-2.83%), 12 Jun 2019 (0.84%), 05 Jul 2019 (-1.84%), 04 Oct 2019 (-1.93%)
20181016 Jan 2018 (0.35%), 22 Feb 2018 (-0.41%), 19 Mar 2018 (1.38%), 16 May 2018 (-1.44%), 28 Jun 2018 (-0.03%), 16 Jul 2018 (-0.7%), 10 Aug 2018 (-2.7%), 05 Sep 2018 (-3.89%), 22 Nov 2018 (-2.5%), 21 Dec 2018 (0.1%)
2017920 Jan 2017 (-1.37%), 15 Feb 2017 (-0.81%), 18 Apr 2017 (-1.13%), 17 May 2017 (-3.74%), 03 Aug 2017 (1.34%), 22 Sep 2017 (-0.16%), 09 Oct 2017 (0.19%), 07 Nov 2017 (0.84%), 14 Dec 2017 (0.16%)
2016806 Jan 2016 (0.44%), 16 Feb 2016 (0.52%), 04 May 2016 (0.3%), 26 May 2016 (2.94%), 02 Aug 2016 (2.86%), 22 Aug 2016 (-0.81%), 14 Sep 2016 (0.85%), 10 Oct 2016 (2.82%)
20151109 Jan 2015 (0.72%), 30 Jan 2015 (1.14%), 23 Feb 2015 (-0.1%), 10 Mar 2015 (1.49%), 20 Apr 2015 (-0.44%), 07 May 2015 (-1.38%), 26 May 2015 (-1.1%), 15 Jun 2015 (0.72%), 27 Jul 2015 (2.08%), 21 Aug 2015 (8.78%), 23 Sep 2015 (-1.01%)
2014702 Jan 2014 (-0.34%), 17 Feb 2014 (-6.32%), 03 Apr 2014 (0.04%), 12 Jun 2014 (-2.13%), 08 Jul 2014 (1.39%), 10 Sep 2014 (-0.25%), 27 Nov 2014 (-0.73%)
20131210 Jan 2013 (1.14%), 14 Feb 2013 (0.28%), 22 Mar 2013 (-0.48%), 11 Apr 2013 (-0.7%), 14 May 2013 (1.33%), 12 Jun 2013 (-0.85%), 08 Jul 2013 (-4.46%), 24 Jul 2013 (4.51%), 08 Oct 2013 (-0.17%), 25 Oct 2013 (0.48%), 12 Nov 2013 (0.69%), 13 Dec 2013 (1.93%)
2012509 Feb 2012 (-6.73%), 11 Apr 2012 (-1.72%), 12 Jul 2012 (0.76%), 22 Aug 2012 (0.16%), 11 Oct 2012 (1.77%)
20111007 Jan 2011 (0.34%), 21 Mar 2011 (-1.0%), 18 Apr 2011 (-2.54%), 03 May 2011 (-1.78%), 23 May 2011 (-2.38%), 20 Jun 2011 (-0.24%), 21 Jul 2011 (-1.08%), 26 Sep 2011 (1.3%), 20 Oct 2011 (-0.1%), 20 Dec 2011 (-0.08%)
2010821 Jan 2010 (0.66%), 10 Feb 2010 (-0.08%), 17 Mar 2010 (-2.77%), 13 Apr 2010 (-2.29%), 11 May 2010 (-1.68%), 24 Jun 2010 (2.19%), 12 Nov 2010 (0.19%), 07 Dec 2010 (0.14%)
2009915 Jan 2009 (3.17%), 17 Feb 2009 (-1.73%), 28 Apr 2009 (-1.58%), 14 May 2009 (-0.37%), 03 Jun 2009 (-2.0%), 02 Sep 2009 (0.47%), 22 Oct 2009 (-0.29%), 19 Nov 2009 (0.48%), 18 Dec 2009 (1.58%)
2008604 Jan 2008 (1.38%), 07 Mar 2008 (1.13%), 02 May 2008 (-0.44%), 11 Jun 2008 (2.56%), 21 Aug 2008 (1.73%), 25 Nov 2008 (0.12%)
2007809 Jan 2007 (0.97%), 24 Jan 2007 (-3.58%), 13 Feb 2007 (-2.05%), 18 May 2007 (1.35%), 13 Jul 2007 (-0.7%), 07 Aug 2007 (-2.7%), 08 Oct 2007 (-3.4%), 14 Dec 2007 (0.31%)
2006821 Feb 2006 (1.47%), 16 Mar 2006 (1.42%), 11 May 2006 (2.6%), 08 Jun 2006 (-9.52%), 14 Jul 2006 (4.28%), 01 Sep 2006 (-3.89%), 20 Oct 2006 (0.2%), 17 Nov 2006 (2.23%)
2005814 Jan 2005 (2.11%), 15 Feb 2005 (2.12%), 31 May 2005 (-0.94%), 17 Jun 2005 (0.59%), 25 Jul 2005 (0.77%), 22 Aug 2005 (1.69%), 21 Sep 2005 (7.68%), 15 Dec 2005 (0.78%)
20041002 Jan 2004 (2.06%), 26 Feb 2004 (-3.96%), 23 Mar 2004 (1.5%), 22 Apr 2004 (0.3%), 03 Jun 2004 (2.15%), 21 Jul 2004 (0.16%), 23 Aug 2004 (-4.25%), 24 Sep 2004 (1.53%), 09 Dec 2004 (-0.0%), 23 Dec 2004 (-1.23%)
2003809 Jan 2003 (-5.11%), 27 Jan 2003 (0.62%), 04 Mar 2003 (-0.89%), 03 Jun 2003 (3.21%), 08 Jul 2003 (0.52%), 03 Oct 2003 (-2.06%), 20 Oct 2003 (3.54%), 14 Nov 2003 (0.91%)
2002911 Jan 2002 (-3.78%), 28 Feb 2002 (-3.5%), 27 Mar 2002 (0.38%), 24 Apr 2002 (0.86%), 20 May 2002 (1.08%), 03 Jul 2002 (-3.4%), 04 Sep 2002 (0.67%), 18 Nov 2002 (-0.62%), 05 Dec 2002 (-1.02%)
2001709 Jan 2001 (0.59%), 19 Feb 2001 (1.67%), 11 May 2001 (-1.82%), 05 Jun 2001 (-1.49%), 23 Jul 2001 (-3.42%), 07 Sep 2001 (0.28%), 27 Nov 2001 (2.09%)
2000507 Feb 2000 (-2.32%), 09 May 2000 (-1.67%), 14 Jul 2000 (1.05%), 15 Sep 2000 (0.82%), 18 Dec 2000 (-3.49%)
1999829 Jan 1999 (3.59%), 17 Mar 1999 (-2.75%), 08 Apr 1999 (2.82%), 16 Jun 1999 (-1.33%), 03 Aug 1999 (-2.84%), 02 Sep 1999 (0.86%), 26 Nov 1999 (-0.69%), 24 Dec 1999 (2.08%)
1998517 Apr 1998 (1.0%), 07 Jul 1998 (-3.13%), 23 Jul 1998 (2.82%), 14 Oct 1998 (5.82%), 23 Nov 1998 (4.01%)
1997820 Jan 1997 (-0.0%), 24 Feb 1997 (2.56%), 18 Mar 1997 (-0.13%), 09 May 1997 (-4.7%), 27 May 1997 (1.2%), 21 Jul 1997 (0.8%), 21 Aug 1997 (1.19%), 10 Dec 1997 (-1.96%)
1996823 Jan 1996 (-0.52%), 12 Apr 1996 (-1.55%), 01 May 1996 (0.32%), 24 Jun 1996 (2.28%), 17 Jul 1996 (-0.76%), 13 Aug 1996 (0.73%), 20 Sep 1996 (0.12%), 26 Nov 1996 (-1.99%)
1995119 Oct 1995 (0.29%)



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