Study: Buy CUMMINSIND when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy CUMMINSIND when RSI is above 50 and there is Bullish 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: 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
114821.0539182146.155217.416000-3766.3-8203.261.391.190.013380.03
219951.1439192048.725259.6722462.37-3999.13-8191.871.321.250.017511.57
329212.2539182146.156237.4823311.46-3955.35-9084.031.581.350.022749.03
4-9104.3739192048.726823.8419451.95-6937.87-17998.220.980.93-0.0058-233.45
5-5427.9939192048.727949.4822316.53-7823.4-22458.941.020.97-0.0028-139.18
6-23507.6239132633.3311610.129372.24-6709.19-20284.071.730.87-0.011-602.76
7-38629.139132633.3311799.0130506.19-7385.24-24678.211.60.8-0.018-990.49
82745.5439162341.0312396.1843194.6-8504.06-28672.881.461.010.001170.4
9-53256.1739162341.0311624.3551833.52-10401.99-33533.071.120.78-0.019-1365.54
10-77318.6339152438.4611589.8633160.85-10465.28-44275.451.110.69-0.029-1982.53
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
atrnil24.84-16758.2644152934.0913896.8821222.51-7765.91-15216.891.790.93-0.0073-380.87
atrtrail34.9-15591.4641142734.1511402.9329841.88-6490.09-15216.891.760.91-0.0074-380.28
atrtrail24.32-28637.8444152934.0910675.2521222.51-6509.19-15216.891.640.85-0.014-650.86
atrnil36.68-72827.254183319.5122142.6431833.76-7574.8-15216.892.920.71-0.03-1776.27
atrtrail-15.27-51340.8341142734.158849.423523.91-6490.09-15216.891.360.71-0.029-1252.22

In the table above, row 1 shows the best exit criterion. Profit factor is 0.93. 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 34.09%, which is not acceptable. Avoid this strategy. Average return per trade is -0.19%, 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:0.926

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019215 Jan 2019 (-2.67%), 21 May 2019 (-2.93%)
2018324 Jul 2018 (5.72%), 17 Dec 2018 (-2.94%), 28 Dec 2018 (-3.29%)
2017226 Apr 2017 (5.06%), 20 Dec 2017 (3.92%)
2015301 Apr 2015 (-2.73%), 14 May 2015 (-2.47%), 01 Jun 2015 (-2.59%)
2014116 May 2014 (7.01%)
2012113 Feb 2012 (-4.04%)
2010401 Feb 2010 (-3.64%), 13 May 2010 (-3.21%), 02 Dec 2010 (-3.51%), 30 Dec 2010 (-2.93%)
2009608 May 2009 (-4.5%), 18 May 2009 (-5.02%), 19 May 2009 (-5.74%), 15 Sep 2009 (-4.35%), 15 Oct 2009 (-4.15%), 11 Nov 2009 (-3.65%)
2008131 Mar 2008 (-7.61%)
2007119 Jul 2007 (-3.73%)
2006402 Mar 2006 (8.16%), 05 May 2006 (-5.45%), 27 Jul 2006 (10.61%), 05 Sep 2006 (-3.48%)
2005404 Jun 2005 (5.75%), 06 Jun 2005 (5.94%), 06 Jul 2005 (8.06%), 28 Oct 2005 (9.95%)
2004228 Jun 2004 (-4.65%), 01 Oct 2004 (-3.47%)
2002205 Jul 2002 (-4.05%), 14 Aug 2002 (-4.38%)
2001103 Jan 2001 (-5.15%)
1999423 Jul 1999 (7.3%), 26 Jul 1999 (-3.76%), 10 Aug 1999 (8.68%), 04 Nov 1999 (8.25%)
1997104 Sep 1997 (4.61%)
1996212 Feb 1996 (-2.54%), 13 Jun 1996 (5.2%)



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