Study: Sell CUMMINSIND when RSI is below 50 and 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 RSI is below 50 and 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
1-24498.9833161748.483351.038568.98-4595.02-19044.70.730.69-0.027-742.39
2-42710.833122136.366032.8515285.53-5481.19-14904.861.10.63-0.036-1294.27
313727.2433141942.427186.7822301.82-4573.04-14164.91.571.160.011415.98
45107.6233161748.486493.5625478.9-5811.13-17371.521.121.050.0038154.78
5-3796233141942.427583.9228510.09-7586.15-25733.6310.74-0.022-1150.36
6-16896.6533141942.4210698.7541734.65-8772.58-27023.541.220.9-0.008-512.02
7-64195.2933151845.459662.3949506.23-11618.39-40571.940.830.69-0.026-1945.31
8-53060.3633141942.4210597.9141391.16-10601.64-29311.8910.74-0.024-1607.89
9-84946.1333161748.488142.6836839.85-12660.53-28958.40.640.61-0.039-2574.13
10-73819.3833171651.528408.3839716.62-13547.62-32183.170.620.66-0.032-2236.95
Although, strategy looks good but profit factor on day 2 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
atrtrail33.58-1174773863215.7919251.1728471.67-7280.75-22654.322.640.5-0.057-3091.5
atrnil25.74-1362243892923.6814468.7326246.99-9187.68-22654.321.570.49-0.066-3584.84
atrtrail-14.18-1288673863215.7917352.8734566.53-7280.75-22654.322.380.45-0.065-3391.23
atrnil37.81-1685653763116.2219650.4128471.67-9240.88-22654.322.130.41-0.08-4555.81
atrtrail23.46-1399883973217.9513285.218981.12-7280.75-22654.321.820.4-0.079-3589.43

In the table above, row 1 shows the best exit criterion. Profit factor is 0.5. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CUMMINSIND Performance, Profit Factor:0.496

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019204 Oct 2019 (-3.92%), 07 Oct 2019 (-3.93%)
2018422 Feb 2018 (9.57%), 28 Jun 2018 (-2.83%), 16 Jul 2018 (-2.98%), 21 Dec 2018 (-3.18%)
2017114 Dec 2017 (-1.81%)
2015304 May 2015 (-1.35%), 16 Jun 2015 (-3.23%), 24 Aug 2015 (-5.11%)
2013112 Jun 2013 (-3.03%)
2011307 Jan 2011 (-0.03%), 20 Oct 2011 (-0.27%), 03 Nov 2011 (11.52%)
2010107 Dec 2010 (-0.51%)
2008207 Mar 2008 (-4.88%), 25 Nov 2008 (-8.51%)
2006511 May 2006 (14.24%), 08 Jun 2006 (-10.49%), 14 Jun 2006 (-11.33%), 14 Jul 2006 (-1.45%), 11 Sep 2006 (-3.98%)
2005114 Jan 2005 (-1.47%)
2004226 Feb 2004 (-4.42%), 27 Feb 2004 (-4.26%)
2003108 Jul 2003 (-2.14%)
2002228 Feb 2002 (-5.57%), 05 Dec 2002 (-2.47%)
2001314 May 2001 (-2.69%), 23 Jul 2001 (-3.92%), 24 Jul 2001 (11.71%)
1999229 Jan 1999 (-4.94%), 01 Feb 1999 (-4.51%)
1998115 Oct 1998 (6.64%)
1997110 Dec 1997 (-4.5%)
1996323 Jan 1996 (-1.57%), 24 Jun 1996 (-1.18%), 03 Oct 1996 (4.08%)



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