Study: Sell CUMMINSIND when there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell CUMMINSIND when there is Bearish Crossover in MACD 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: 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
1-32582.9183434051.813093.9717567.21-4140.59-19044.70.750.8-0.016-392.57
2-80260.6383374644.584705.3816955.12-5529.56-29454.460.850.68-0.028-967
3-65225.0983354842.176098.4718715.17-5805.66-39896.981.050.77-0.019-785.84
4-12637483344940.966455.8832648.87-7058.66-53102.320.910.63-0.031-1522.58
5-20309583335039.767737.4135640.95-9168.58-62093.190.840.56-0.04-2446.92
6-17685583354842.179270.0941734.65-10443.93-42659.80.890.65-0.032-2130.79
7-17049583404348.197898.2649506.23-11312.23-40571.940.70.65-0.03-2054.16
8-14221383384545.788777.1741391.16-10572.11-40753.50.830.7-0.026-1713.41
9-17981083443953.017934.336839.85-13562.04-45898.820.590.66-0.031-2166.39
10-20184183463755.427635.1239716.62-14947.48-61786.870.510.64-0.033-2431.82

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.8. 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 51.81%, which is not acceptable. Avoid this strategy. Average return per trade is -0.2%, 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-11-32582.9183434051.813093.9717567.21-4140.59-19044.70.750.8-0.016-392.57
atrnil25.24-178663103297428.1615105.125143.94-8333.93-22654.321.810.71-0.032-1734.59
atrnil37.98-289805101188317.8222080.3736030.99-8280.14-22654.322.670.58-0.048-2869.36
atrtrail23.67-222928104228221.1513341.8324020.66-6298.15-22654.322.120.57-0.048-2143.54
atrtrail33.98-262567102218120.5911603.1128471.67-6249.78-22654.321.860.48-0.059-2574.18
atrtrail-14.31-286948102218120.5910442.1134566.53-6249.78-22654.321.670.43-0.068-2813.21

In the table above, row 1 shows the best exit criterion. Profit factor is 0.8. 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 51.81%, which is not acceptable. Avoid this strategy. Average return per trade is -0.2%, 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:0.803

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019211 Jan 2019 (-1.34%), 04 Oct 2019 (-1.93%)
2018816 Jan 2018 (0.35%), 22 Feb 2018 (-0.41%), 19 Mar 2018 (1.38%), 28 Jun 2018 (-0.03%), 16 Jul 2018 (-0.7%), 05 Sep 2018 (-3.89%), 22 Nov 2018 (-2.5%), 21 Dec 2018 (0.1%)
2017415 Feb 2017 (-0.81%), 18 Apr 2017 (-1.13%), 17 May 2017 (-3.74%), 14 Dec 2017 (0.16%)
2015304 May 2015 (-0.56%), 15 Jun 2015 (0.72%), 21 Aug 2015 (8.78%)
2014402 Jan 2014 (-0.34%), 03 Apr 2014 (0.04%), 12 Jun 2014 (-2.13%), 27 Nov 2014 (-0.73%)
2013112 Jun 2013 (-0.85%)
2012109 Feb 2012 (-6.73%)
2011207 Jan 2011 (0.34%), 20 Oct 2011 (-0.1%)
2010521 Jan 2010 (0.66%), 10 Feb 2010 (-0.08%), 13 Apr 2010 (-2.29%), 11 May 2010 (-1.68%), 07 Dec 2010 (0.14%)
2009628 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%)
2008307 Mar 2008 (1.13%), 21 Aug 2008 (1.73%), 25 Nov 2008 (0.12%)
2007313 Jul 2007 (-0.7%), 07 Aug 2007 (-2.7%), 08 Oct 2007 (-3.4%)
2006721 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%), 17 Nov 2006 (2.23%)
2005614 Jan 2005 (2.11%), 15 Feb 2005 (2.12%), 31 May 2005 (-0.94%), 17 Jun 2005 (0.59%), 25 Jul 2005 (0.77%), 15 Dec 2005 (0.78%)
2004402 Jan 2004 (2.06%), 26 Feb 2004 (-3.96%), 22 Apr 2004 (0.3%), 24 Sep 2004 (1.53%)
2003203 Jun 2003 (3.21%), 08 Jul 2003 (0.52%)
2002328 Feb 2002 (-3.5%), 03 Jul 2002 (-3.4%), 05 Dec 2002 (-1.02%)
2001509 Jan 2001 (0.59%), 14 May 2001 (2.23%), 23 Jul 2001 (-3.42%), 07 Sep 2001 (0.28%), 27 Nov 2001 (2.09%)
2000214 Jul 2000 (1.05%), 18 Dec 2000 (-3.49%)
1999429 Jan 1999 (3.59%), 16 Jun 1999 (-1.33%), 03 Aug 1999 (-2.84%), 02 Sep 1999 (0.86%)
1998217 Apr 1998 (1.0%), 14 Oct 1998 (5.82%)
1997221 Jul 1997 (0.8%), 10 Dec 1997 (-1.96%)
1996423 Jan 1996 (-0.52%), 01 May 1996 (0.32%), 24 Jun 1996 (2.28%), 03 Oct 1996 (2.99%)



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