Study: Buy CUMMINSIND when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy CUMMINSIND when near 200 SMA and above 200 SMA" 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
1-26243.9866293743.943279.8316000-3279.97-12929.8510.78-0.018-397.64
2-31807.8666323448.483451.5617919.8-4184.06-14594.370.820.78-0.019-481.94
317001.94663333505536.9517860.47-5021.74-21035.471.11.10.0075257.61
4268166343251.525909.0622091.95-6194.59-27857.050.951.010.00140.62
516094.1766363054.556826.4939862.07-7655.31-23748.230.891.070.0048243.85
618371.5266313546.979642.2558850.57-8015.37-29378.991.21.070.0045278.36
76007.9766343251.529025.5248183.91-9401.87-23411.730.961.020.001591.03
817917.3566353153.038593.5957471.26-9124.46-27503.740.941.060.0044271.48
9753.6266363054.558630.6947586.21-10331.7-26322.560.8410.0001811.42
10-37362.4666343251.529475.9543839.08-11235.77-26721.590.840.9-0.0083-566.1
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
200trail-13.4876584.9101267525.7410590.6450344.83-2650.29-3967.7841.390.019758.27
200trail32.4758718.54104327230.777890.1811903.33-2691.21-3953.922.931.30.022564.6
200trail22.0338688.91107377034.586242.537935.56-2746.92-3953.922.271.20.017361.58
200nil32.6638044.3699277227.279492.811903.33-3031.41-3961.543.131.170.014384.29
200nil22.1428411.11103366734.956413.097935.56-3021.79-3953.922.121.140.012275.84
atrnil39.0928695.0366184827.2722446.433622.08-7819.59-19234.592.871.080.0063434.77
atrnil26.9-45430.8570234732.8614156.2622414.72-7894.15-19234.591.790.88-0.012-649.01
atrtrail34.65-10350386256129.079719.0632423.71-5679.99-19234.591.710.7-0.027-1203.52
atrtrail24.19-10804786256129.079537.2822414.72-5679.99-19234.591.680.69-0.031-1256.36
atrtrail-15.13-11285586256129.079344.9848292.43-5679.99-19234.591.650.67-0.029-1312.27

In the table above, row 1 shows the best exit criterion. Profit factor is 1.39. 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 25.74%, which is not acceptable. Avoid this strategy. Average return per trade is 0.38%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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:1.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191013 Mar 2019 (-0.01%), 27 Mar 2019 (-0.29%), 09 Apr 2019 (-1.44%), 11 Apr 2019 (-0.77%), 18 Apr 2019 (-1.05%), 23 Apr 2019 (-1.19%), 26 Apr 2019 (-1.73%), 24 Jun 2019 (0.64%), 04 Jul 2019 (-1.88%), 11 Jul 2019 (-1.45%)
2018603 Jan 2018 (1.29%), 10 Jan 2018 (0.06%), 17 Jan 2018 (-1.81%), 28 Aug 2018 (-1.68%), 06 Sep 2018 (-1.29%), 12 Sep 2018 (-1.98%)
20171213 Jan 2017 (-1.54%), 27 Jan 2017 (-1.01%), 01 Feb 2017 (4.8%), 10 Mar 2017 (3.47%), 17 Aug 2017 (-1.65%), 22 Aug 2017 (-1.25%), 29 Aug 2017 (-0.59%), 04 Sep 2017 (2.61%), 21 Sep 2017 (-1.93%), 26 Sep 2017 (-1.51%), 05 Oct 2017 (-1.53%), 26 Dec 2017 (-1.37%)
2016612 Jan 2016 (-1.32%), 24 Aug 2016 (-1.25%), 29 Aug 2016 (0.97%), 23 Sep 2016 (-1.13%), 29 Sep 2016 (2.91%), 26 Oct 2016 (-1.12%)
2014203 Feb 2014 (-1.37%), 13 Feb 2014 (-0.95%)
2013628 Feb 2013 (4.41%), 22 Mar 2013 (2.09%), 17 May 2013 (-1.81%), 02 Dec 2013 (-1.46%), 05 Dec 2013 (-1.12%), 12 Dec 2013 (-1.27%)
2012602 Feb 2012 (-0.16%), 21 May 2012 (-1.87%), 01 Jun 2012 (-1.56%), 26 Jul 2012 (12.63%), 15 Nov 2012 (-1.54%), 22 Nov 2012 (7.2%)
2011220 Apr 2011 (-1.0%), 25 Apr 2011 (-1.38%)
2008216 Jan 2008 (-1.33%), 04 Sep 2008 (-1.1%)
2006530 May 2006 (-1.75%), 02 Jun 2006 (-1.42%), 03 Jul 2006 (-1.13%), 28 Jul 2006 (-1.0%), 01 Aug 2006 (7.01%)
2005205 May 2005 (2.46%), 18 May 2005 (2.03%)
2004119 May 2004 (-1.25%)
2003217 Mar 2003 (-0.43%), 03 Apr 2003 (2.02%)
2002809 Jan 2002 (1.16%), 05 Apr 2002 (0.68%), 23 Apr 2002 (-1.68%), 08 May 2002 (-1.85%), 12 Jun 2002 (6.83%), 16 Aug 2002 (-0.73%), 22 Aug 2002 (-1.18%), 02 Sep 2002 (-1.61%)
2001616 Jan 2001 (3.71%), 22 Feb 2001 (-1.19%), 27 Nov 2001 (-1.34%), 19 Dec 2001 (-1.03%), 20 Dec 2001 (-1.18%), 24 Dec 2001 (-1.86%)
2000227 Jul 2000 (-1.54%), 05 Dec 2000 (6.69%)
1999501 Feb 1999 (6.95%), 15 Apr 1999 (-1.34%), 17 Apr 1999 (-1.66%), 05 May 1999 (18.8%), 28 Oct 1999 (25.17%)
1998508 Jan 1998 (-1.56%), 30 Apr 1998 (-1.05%), 28 Sep 1998 (-1.82%), 07 Oct 1998 (-1.43%), 08 Oct 1998 (-1.45%)
19971306 Feb 1997 (-1.0%), 13 Feb 1997 (0.05%), 11 Mar 1997 (-0.46%), 18 Mar 1997 (-0.75%), 27 Mar 1997 (-1.96%), 28 Apr 1997 (-1.91%), 21 May 1997 (-0.38%), 27 May 1997 (-1.94%), 05 Jun 1997 (-1.74%), 10 Jun 1997 (-1.83%), 11 Jun 1997 (11.04%), 10 Nov 1997 (-1.23%), 21 Nov 1997 (-1.98%)



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