Study: Buy CUMMINSIND when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy CUMMINSIND when there is Bullish Crossover in MACD" 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
185705.471999310646.734364.8221017.78-3020.97-15266.21.441.270.017430.68
287025.251998611343.226532.0233073.59-4201.14-20203.691.551.180.012437.31
31008471998611343.227386.1927606.24-4728.89-20336.591.561.190.013506.77
41252251998811144.228095.0234631.55-5289.51-20144.551.531.210.015629.27
51008631999210746.238641.9940683.66-6487.85-23476.591.331.150.01506.85
61059771998911044.7210230.3338554.22-7313.84-30663.361.41.130.0096532.55
758973.21998711243.7210145.5537433.45-7354.37-26760.741.381.070.0054296.35
888987.151998411542.2111659.6154973.38-7742.78-35792.171.511.10.0072447.17
91182601998711243.7211842.2751833.52-8143.01-31263.21.451.130.0091594.27
101140711998911044.7211818.6247072.01-8525.33-44275.451.391.120.0087573.22

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.27. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 46.73%, which is not acceptable. Avoid this strategy. Average return per trade is 0.22%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, which is low, don't trade solely on the basis of this study.

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-1185705.471999310646.734364.8221017.78-3020.97-15266.21.441.270.017430.68
atrnil37.4292937.442195716226.0322346.6357281.87-7289.02-19762.363.071.080.0063424.37
atrnil25.97-42733.892297415532.3114658.1938187.91-7273.8-19762.362.020.96-0.0035-186.61
atrtrail34.76-78332.992267115531.4211600.829841.88-5819.29-19762.361.990.91-0.0071-346.61
atrtrail24.25-93913.372367715932.6310718.4921222.51-5781.36-19762.361.850.9-0.0092-397.94
atrtrail-15.3-1368612247015431.2510822.9743791.93-5808.24-19762.361.860.85-0.013-610.99

In the table above, row 1 shows the best exit criterion. Profit factor is 1.27. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 46.73%, which is not acceptable. Avoid this strategy. Average return per trade is 0.22%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CUMMINSIND Performance, X=1, Profit Factor:1.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019715 Jan 2019 (-4.1%), 26 Feb 2019 (-0.35%), 10 Apr 2019 (-0.58%), 20 May 2019 (-2.7%), 27 Jun 2019 (-1.49%), 29 Aug 2019 (0.9%), 10 Oct 2019 (0.1%)
2018820 Feb 2018 (-0.84%), 15 Mar 2018 (-2.22%), 04 Apr 2018 (1.18%), 14 Jun 2018 (-0.23%), 24 Jul 2018 (-0.03%), 17 Aug 2018 (4.56%), 15 Oct 2018 (-0.94%), 17 Dec 2018 (-1.56%)
2017927 Jan 2017 (0.37%), 20 Mar 2017 (-0.78%), 26 Apr 2017 (0.53%), 16 Jun 2017 (1.3%), 30 Aug 2017 (-2.17%), 03 Oct 2017 (-0.53%), 25 Oct 2017 (-1.21%), 24 Nov 2017 (-0.17%), 19 Dec 2017 (1.83%)
2016904 Feb 2016 (3.65%), 03 Mar 2016 (-0.13%), 23 May 2016 (-0.13%), 13 Jun 2016 (0.3%), 19 Jul 2016 (1.31%), 09 Aug 2016 (-0.21%), 30 Aug 2016 (0.35%), 04 Oct 2016 (0.58%), 30 Nov 2016 (-2.03%)
20151305 Jan 2015 (-3.05%), 28 Jan 2015 (-1.7%), 13 Feb 2015 (-1.17%), 03 Mar 2015 (0.61%), 01 Apr 2015 (-2.07%), 23 Apr 2015 (-2.42%), 14 May 2015 (-1.27%), 29 May 2015 (-0.08%), 01 Jul 2015 (-0.93%), 03 Aug 2015 (0.43%), 21 Sep 2015 (-1.42%), 21 Oct 2015 (-1.18%), 01 Dec 2015 (-1.35%)
2014510 Feb 2014 (-0.29%), 16 May 2014 (5.09%), 03 Jul 2014 (-2.12%), 06 Aug 2014 (0.97%), 14 Oct 2014 (1.09%)
20131206 Feb 2013 (0.91%), 20 Feb 2013 (-1.88%), 07 Mar 2013 (1.14%), 01 Apr 2013 (-1.08%), 17 Apr 2013 (-0.12%), 10 Jun 2013 (-1.77%), 10 Jul 2013 (1.36%), 26 Aug 2013 (-0.68%), 18 Oct 2013 (0.7%), 05 Nov 2013 (-1.31%), 20 Nov 2013 (-1.18%), 19 Dec 2013 (2.94%)
2012613 Feb 2012 (-0.89%), 30 Mar 2012 (-0.79%), 29 May 2012 (-2.19%), 02 Aug 2012 (-0.56%), 18 Sep 2012 (-0.8%), 29 Nov 2012 (1.88%)
20111025 Mar 2011 (0.55%), 20 Apr 2011 (0.66%), 13 May 2011 (0.2%), 16 Jun 2011 (-0.43%), 30 Jun 2011 (0.32%), 23 Aug 2011 (-0.2%), 13 Oct 2011 (0.74%), 01 Nov 2011 (-2.95%), 25 Nov 2011 (-1.45%), 22 Dec 2011 (0.96%)
2010901 Feb 2010 (-2.23%), 08 Mar 2010 (-1.93%), 29 Apr 2010 (-0.95%), 13 May 2010 (0.15%), 09 Jun 2010 (1.38%), 29 Jul 2010 (3.72%), 26 Oct 2010 (-1.54%), 02 Dec 2010 (-0.32%), 30 Dec 2010 (2.1%)
2009813 Feb 2009 (-2.84%), 08 May 2009 (-3.37%), 27 Jul 2009 (0.9%), 15 Sep 2009 (-2.27%), 14 Oct 2009 (2.21%), 10 Nov 2009 (2.7%), 07 Dec 2009 (0.97%), 30 Dec 2009 (2.04%)
2008601 Feb 2008 (1.96%), 31 Mar 2008 (-2.08%), 30 May 2008 (-0.22%), 08 Jul 2008 (1.39%), 06 Nov 2008 (2.19%), 28 Nov 2008 (-3.07%)
2007915 Jan 2007 (0.54%), 02 Feb 2007 (0.92%), 19 Feb 2007 (-3.22%), 14 Mar 2007 (-0.22%), 07 Jun 2007 (-0.28%), 19 Jul 2007 (-1.1%), 03 Sep 2007 (1.1%), 16 Nov 2007 (5.45%), 31 Dec 2007 (-1.75%)
20061027 Jan 2006 (-2.3%), 02 Mar 2006 (0.87%), 05 May 2006 (0.08%), 06 Jun 2006 (-5.53%), 20 Jun 2006 (2.48%), 27 Jul 2006 (-1.78%), 05 Sep 2006 (0.39%), 29 Sep 2006 (-0.2%), 31 Oct 2006 (-1.53%), 28 Dec 2006 (2.92%)
2005804 Jan 2005 (-0.79%), 31 Jan 2005 (2.91%), 04 Apr 2005 (-1.9%), 04 Jun 2005 (5.63%), 06 Jul 2005 (-2.6%), 16 Aug 2005 (-0.48%), 02 Sep 2005 (3.43%), 28 Oct 2005 (-1.56%)
20041017 Feb 2004 (0.67%), 03 Mar 2004 (0.25%), 01 Apr 2004 (4.7%), 26 May 2004 (-2.97%), 28 Jun 2004 (-1.66%), 02 Aug 2004 (4.46%), 26 Aug 2004 (-1.25%), 01 Oct 2004 (-2.46%), 17 Nov 2004 (0.0%), 20 Dec 2004 (-0.68%)
2003931 Jan 2003 (4.32%), 27 Feb 2003 (-0.17%), 04 Apr 2003 (1.4%), 03 Jul 2003 (-2.28%), 28 Jul 2003 (9.36%), 19 Sep 2003 (4.36%), 13 Oct 2003 (0.98%), 29 Oct 2003 (0.0%), 04 Dec 2003 (0.86%)
20021015 Jan 2002 (-0.53%), 18 Mar 2002 (-2.21%), 09 Apr 2002 (-0.66%), 07 May 2002 (-1.48%), 10 Jun 2002 (6.4%), 05 Jul 2002 (5.02%), 14 Aug 2002 (1.2%), 10 Oct 2002 (-0.64%), 21 Nov 2002 (0.61%), 31 Dec 2002 (0.93%)
2001703 Jan 2001 (1.11%), 06 Feb 2001 (-0.06%), 28 Mar 2001 (1.0%), 21 May 2001 (6.75%), 04 Jul 2001 (0.28%), 03 Aug 2001 (-3.81%), 23 Oct 2001 (4.85%)
2000421 Mar 2000 (4.08%), 11 May 2000 (-1.62%), 05 Sep 2000 (1.34%), 23 Oct 2000 (1.22%)
1999808 Mar 1999 (7.97%), 01 Apr 1999 (-7.63%), 06 May 1999 (-0.62%), 12 Jul 1999 (-7.14%), 26 Jul 1999 (-0.96%), 10 Aug 1999 (0.93%), 04 Nov 1999 (7.92%), 02 Dec 1999 (6.53%)
1998525 Feb 1998 (0.79%), 01 Jul 1998 (-3.83%), 06 Aug 1998 (0.25%), 12 Nov 1998 (-2.58%), 01 Dec 1998 (-2.8%)
1997720 Feb 1997 (-0.25%), 22 Apr 1997 (1.82%), 13 May 1997 (0.96%), 12 Jun 1997 (2.49%), 19 Aug 1997 (-0.74%), 04 Sep 1997 (2.65%), 05 Nov 1997 (-2.31%)
1996812 Feb 1996 (0.57%), 16 Apr 1996 (0.13%), 12 Jun 1996 (10.51%), 12 Jul 1996 (-0.51%), 29 Aug 1996 (-0.99%), 25 Sep 1996 (-1.15%), 10 Nov 1996 (-0.36%), 09 Dec 1996 (3.8%)
1995210 Oct 1995 (1.16%), 12 Dec 1995 (2.37%)



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