Study: Buy CUMMINSIND when there is Bullish Centerline Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy CUMMINSIND when there is Bullish Centerline 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
18662.9795455.563995.096911.4-2828.12-4369.991.411.770.053962.55
2-615.3594544.445710.5212316.72-4691.49-7137.651.220.97-0.0023-68.37
3-17776.1594544.4453049970.67-7798.43-13837.730.680.54-0.055-1975.13
4-10434.6994544.446788.9414662.76-7518.09-17075.50.90.72-0.028-1159.41
55187.5495455.567193.3319159.34-7694.78-17903.790.931.170.012576.39
626690.4595455.569525.8318768.33-5234.68-5873.571.822.270.0672965.61
717003.4995455.569904.4417790.81-8129.67-17322.051.221.520.0371889.28
855184.0595455.5617366.8821267.3-7912.58-13316.342.192.740.0956131.56
962587.996366.6716618.0726802.62-12373.5-20484.231.342.690.0936954.21
1038495.4196366.6713794.7921412.96-14757.78-24753.110.931.870.0584277.27
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
CUMMINSIND Performance, X=8, Profit Factor:2.74

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017117 Mar 2017 (4.35%)
2012117 Sep 2012 (8.78%)
2008122 Sep 2008 (-6.66%)
2007112 Jan 2007 (-1.35%)
2003330 Jan 2003 (9.68%), 26 Jun 2003 (-3.64%), 17 Jul 2003 (10.63%)
2001130 Jan 2001 (9.98%)
1997125 Mar 1997 (-4.18%)

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
atrnil36.868857.0610555020896.7628139.36-7125.35-9162.622.932.930.0966885.71
atrnil26.334029.1310555013931.1718759.57-7125.35-9162.621.961.960.0643402.91
atrtrail34.1-2625.710282021228.6125474.67-5635.37-8714.543.770.94-0.0048-262.57
atrtrail-14.8-11903.6910282016589.6222912.24-5635.37-8714.542.940.74-0.025-1190.37
atrtrail24.1-16778.1110282014152.4116983.12-5635.37-8714.542.510.63-0.041-1677.81

In the table above, row 1 shows the best exit criterion. Profit factor is 2.93. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 3.44%, which is very good. Sharpe Ratio is 0.096, 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:2.93

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017117 Mar 2017 (6.38%)
2012117 Sep 2012 (8.49%)
2008122 Sep 2008 (-4.36%)
2007112 Jan 2007 (10.56%)
2003430 Jan 2003 (-3.02%), 26 Jun 2003 (-4.58%), 17 Jul 2003 (-3.92%), 18 Jul 2003 (12.74%)
2001130 Jan 2001 (14.07%)
1997125 Mar 1997 (-1.93%)



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