Study: Sell CUMMINSIND when near 200 SMA and below 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell CUMMINSIND when near 200 SMA and below 200 SMA 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
1-31882.172481633.334484.8810492.16-4235.08-17277.491.060.53-0.046-1328.42
2-23123.524101441.676774.6115124.45-6490.68-15183.251.040.75-0.024-963.48
3-61198.712481633.337882.6622596.41-7766.25-17312.761.010.51-0.054-2549.95
4-95790.12471729.178028.216757.34-8940.44-23305.70.90.37-0.081-3991.25
5-10061124618259339.6919238.65-8702.71-19603.71.070.36-0.084-4192.11
6-84834.042481633.3310819.6922270.51-10711.97-27976.191.010.51-0.057-3534.75
7-1026192471729.1711708.3332916.89-10857.48-41071.431.080.44-0.061-4275.79
8-16948624618259025.7822650.73-12424.48-39880.950.730.24-0.11-7061.91
9-15995024618257990.3221998.91-11549.52-43932.580.690.23-0.099-6664.56
10-1491222481633.337322.5418076.92-12981.42-44047.620.560.28-0.091-6213.43
Although, strategy looks good but profit factor on day 1 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
200trail31.677438.2330921307119.729947.28-2697.11-3965.12.641.130.011247.94
200trail21.411058.5932112134.385285.867296.77-2718.38-3965.11.941.020.001833.08
200nil31.67-1128.723082226.677579.959947.28-2807.65-3965.12.70.98-0.0016-37.62
200nil21.41-1485.432112134.385285.867296.77-2839.52-3965.11.860.98-0.0024-46.42
200trail-12.23-2668.793082226.677014.9413470.94-2672.19-3965.12.630.95-0.0038-88.96
atrtrail35.36-10876.7428101835.7110490.5226275.71-6432.33-12596.561.630.91-0.0079-388.45
atrtrail24.89-17765.1328101835.719801.6822450.01-6432.33-12596.561.520.85-0.014-634.47
atrtrail-15.5-29736.5528101835.718604.5426464.54-6432.33-12596.561.340.74-0.025-1062.02
atrnil28.04-46028.43246182517292.1823128.37-8321.19-18658.022.080.69-0.034-1917.85
atrnil38.92-85308.652442016.6721815.5126275.71-8628.53-18658.022.530.51-0.061-3554.53

In the table above, row 1 shows the best exit criterion. Profit factor is 1.13. 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 30%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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, Profit Factor:1.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019206 Mar 2019 (-1.18%), 21 May 2019 (3.3%)
2018327 Aug 2018 (-1.34%), 31 Aug 2018 (4.97%), 07 Sep 2018 (-1.19%)
2017228 Aug 2017 (-1.21%), 27 Dec 2017 (-1.32%)
2013111 Dec 2013 (3.38%)
2011103 Feb 2011 (3.5%)
2006505 Jun 2006 (3.16%), 25 Jun 2006 (4.85%), 29 Jun 2006 (-1.15%), 06 Jul 2006 (-1.45%), 07 Aug 2006 (-1.69%)
2005211 May 2005 (-1.32%), 25 Oct 2005 (-1.13%)
2004320 May 2004 (-1.31%), 09 Jun 2004 (-1.55%), 10 Jun 2004 (-1.23%)
2002114 Aug 2002 (-1.74%)
2001120 Nov 2001 (-1.98%)
2000114 Jul 2000 (3.94%)
1999308 Jan 1999 (-1.42%), 02 Feb 1999 (-1.03%), 04 May 1999 (-1.93%)
1998106 Apr 1998 (3.21%)
1997329 Oct 1997 (-1.11%), 06 Nov 1997 (1.72%), 19 Nov 1997 (-1.03%)
1996122 Apr 1996 (-1.0%)



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