Study: Sell CUMMINSIND when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell CUMMINSIND when RSI is below 50 and 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
1-92239.41121546744.633118.2515359.37-3889.93-19044.70.80.65-0.032-762.31
2-129295121536843.84116.4515753.2-5109.81-18779.560.810.63-0.034-1068.56
3-102110121526942.985769.5722301.82-5827.94-203900.990.75-0.023-843.89
4-137593121556645.455807.725478.9-6924.49-26742.670.840.7-0.028-1137.13
5-205881121497240.56524.1128510.09-7299.48-26962.660.890.61-0.038-1701.49
6-129675121507141.328269.7341734.65-7650.16-30244.131.080.76-0.021-1071.7
7-180139121536843.88589.1349506.23-9343.56-35738.880.920.72-0.025-1488.75
8-1835171205466459179.4141391.16-10290.99-44949.950.890.73-0.024-1529.31
9-213367120536744.1710069.736839.85-11150.17-45616.050.90.71-0.026-1778.06
10-155709120586248.3310481.2239716.62-12316.45-54212.030.850.8-0.017-1297.57
Although, strategy looks good but profit factor on day 5 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
atrnil39.07-159679123279621.9521566.3833606.14-7728.86-22654.322.790.78-0.021-1298.2
atrtrail34.5-1995201373710027.0110727.5128471.67-5964.38-22654.321.80.67-0.032-1456.35
atrtrail-15.06-2033381373710027.0110624.3244461.05-5964.38-22654.321.780.66-0.031-1484.22
atrnil26.07-2751471353510025.9313955.3126246.99-7635.83-22654.321.830.64-0.041-2038.13
atrtrail24.11-2263061403910127.869710.8722404.09-5990.39-22654.321.620.63-0.039-1616.47

In the table above, row 1 shows the best exit criterion. Profit factor is 0.78. 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 21.95%, which is not acceptable. Avoid this strategy. Average return per trade is -0.65%, 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:0.785

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019704 Apr 2019 (-2.94%), 22 Apr 2019 (-2.96%), 30 Apr 2019 (-3.07%), 13 Jun 2019 (-3.02%), 05 Jul 2019 (-2.94%), 08 Jul 2019 (9.29%), 04 Oct 2019 (-3.92%)
2018622 Feb 2018 (9.57%), 16 May 2018 (9.91%), 28 Jun 2018 (-2.83%), 16 Jul 2018 (-2.98%), 10 Aug 2018 (-3.71%), 21 Dec 2018 (-3.27%)
2017203 Aug 2017 (9.89%), 14 Dec 2017 (-1.99%)
2016416 Feb 2016 (13.61%), 26 May 2016 (-3.64%), 03 Aug 2016 (-2.81%), 10 Oct 2016 (6.97%)
2015709 Jan 2015 (-3.66%), 10 Mar 2015 (6.36%), 20 Apr 2015 (-2.44%), 27 Apr 2015 (-2.64%), 16 Jun 2015 (-3.23%), 24 Aug 2015 (-5.11%), 23 Sep 2015 (12.9%)
2014217 Feb 2014 (-3.09%), 09 Jul 2014 (-3.65%)
20131314 Feb 2013 (-3.05%), 25 Feb 2013 (-3.07%), 22 Mar 2013 (-3.25%), 25 Mar 2013 (-3.36%), 11 Apr 2013 (-2.81%), 15 May 2013 (7.9%), 12 Jun 2013 (-3.03%), 08 Jul 2013 (-3.28%), 24 Jul 2013 (9.86%), 08 Oct 2013 (-2.86%), 25 Oct 2013 (-2.52%), 07 Nov 2013 (-2.4%), 16 Dec 2013 (-3.37%)
2012112 Jul 2012 (-3.23%)
2011807 Jan 2011 (9.02%), 21 Mar 2011 (-4.03%), 23 May 2011 (-2.8%), 20 Jun 2011 (-2.32%), 21 Jul 2011 (-2.37%), 22 Jul 2011 (7.24%), 26 Sep 2011 (11.86%), 20 Dec 2011 (-3.68%)
2010225 Jun 2010 (-3.21%), 07 Dec 2010 (-3.28%)
2009215 Jan 2009 (-5.58%), 17 Feb 2009 (-5.54%)
2008407 Mar 2008 (-5.67%), 02 May 2008 (14.17%), 11 Jun 2008 (13.73%), 25 Nov 2008 (-8.76%)
2007609 Jan 2007 (-3.83%), 24 Jan 2007 (-3.16%), 01 Feb 2007 (-3.22%), 13 Feb 2007 (-4.4%), 20 Feb 2007 (13.66%), 14 Dec 2007 (14.8%)
2006511 May 2006 (14.24%), 08 Jun 2006 (-10.49%), 14 Jun 2006 (-11.33%), 14 Jul 2006 (-5.78%), 11 Sep 2006 (-3.98%)
2005414 Jan 2005 (-3.54%), 16 Feb 2005 (-3.73%), 23 Aug 2005 (-3.91%), 21 Sep 2005 (10.77%)
2004726 Feb 2004 (-4.42%), 27 Feb 2004 (-4.26%), 23 Mar 2004 (-3.52%), 03 Jun 2004 (-6.46%), 23 Aug 2004 (-4.78%), 09 Dec 2004 (-3.34%), 22 Dec 2004 (-3.39%)
2003409 Jan 2003 (-2.41%), 27 Jan 2003 (-2.74%), 08 Jul 2003 (-4.46%), 21 Oct 2003 (-4.87%)
20021011 Jan 2002 (-3.99%), 22 Jan 2002 (-4.48%), 28 Feb 2002 (-5.57%), 27 Mar 2002 (-4.64%), 24 Apr 2002 (-3.5%), 20 May 2002 (-3.5%), 04 Sep 2002 (9.02%), 18 Nov 2002 (-2.38%), 20 Nov 2002 (-2.39%), 05 Dec 2002 (-2.47%)
2001519 Feb 2001 (16.8%), 11 May 2001 (-4.99%), 05 Jun 2001 (-5.39%), 23 Jul 2001 (-3.92%), 24 Jul 2001 (11.71%)
2000407 Feb 2000 (11.29%), 09 May 2000 (-4.51%), 10 May 2000 (-4.7%), 15 Sep 2000 (12.92%)
1999629 Jan 1999 (-4.94%), 01 Feb 1999 (-5.6%), 17 Mar 1999 (-4.31%), 08 Apr 1999 (13.23%), 26 Nov 1999 (-4.24%), 27 Dec 1999 (-5.31%)
1998307 Jul 1998 (-5.8%), 23 Jul 1998 (-4.9%), 15 Oct 1998 (-6.56%)
1997620 Jan 1997 (-2.4%), 24 Feb 1997 (-2.19%), 18 Mar 1997 (6.35%), 09 May 1997 (-2.24%), 28 May 1997 (-2.36%), 10 Dec 1997 (-4.5%)
1996523 Jan 1996 (-2.51%), 24 Jun 1996 (-3.45%), 14 Aug 1996 (-1.4%), 03 Oct 1996 (4.08%), 26 Nov 1996 (-2.39%)



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