Study: Sell CUMMINSIND when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell CUMMINSIND when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)" 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
11382.58149564.291976.143051.37-3280.54-8166.530.61.080.006898.76
23719.471477504066.0410838.27-3534.69-7713.281.151.150.011265.68
3-8006.9148657.143498.146172.84-5998.67-15304.130.580.78-0.02-571.92
49422.47149564.294697.889201.24-6571.69-11742.450.711.290.022673.03
528354.18148657.146554.1213604.94-4013.13-6388.781.632.180.0652025.3
616061.28148657.146063.515354.22-5407.78-12261.541.121.50.0311147.23
722832.64146842.869860.6218419.75-4541.38-10498.622.171.630.0391630.9
834991.25149564.296971.5615308.64-5550.56-8593.541.262.260.0732499.38
94344.98148657.145521.0715061.73-6637.26-16172.940.831.110.0084310.36
109756.85148657.145233.5814567.9-5351.97-18966.980.981.30.019696.92
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:2.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017112 Oct 2017 (-2.3%)
2016202 Feb 2016 (1.71%), 25 Nov 2016 (0.99%)
2013112 Jun 2013 (-0.38%)
2011114 Mar 2011 (3.46%)
2008115 Feb 2008 (-3.38%)
2006113 Jul 2006 (5.81%)
2004102 Jul 2004 (1.56%)
2002220 May 2002 (3.93%), 17 Sep 2002 (3.8%)
2001120 Mar 2001 (2.46%)
2000121 Mar 2000 (-4.3%)
1998105 Feb 1998 (7.65%)
1997115 Apr 1997 (-3.53%)

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
atrtrail26.61813.461551033.3312004.0331542.9-5820.67-14394.592.061.030.0023120.9
atrnil312.6-20105.6153122028207.947314.35-8727.44-17834.513.230.81-0.017-1340.37
atrtrail36.93-14430.691551033.338755.220162.59-5820.67-14394.591.50.75-0.022-962.05
atrnil27.8-48313.5153122018805.2731542.9-8727.44-17834.512.150.54-0.054-3220.9
atrtrail-17.33-27447.961551033.336151.7412404.52-5820.67-14394.591.060.53-0.053-1829.86

In the table above, row 1 shows the best exit criterion. Profit factor is 1.03. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.06%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0023, 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:1.03

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017212 Oct 2017 (-2.52%), 13 Oct 2017 (-0.36%)
2016202 Feb 2016 (-3.87%), 25 Nov 2016 (-2.02%)
2013112 Jun 2013 (-3.03%)
2011114 Mar 2011 (1.19%)
2008115 Feb 2008 (15.77%)
2006113 Jul 2006 (-0.25%)
2004102 Jul 2004 (-2.78%)
2002220 May 2002 (0.61%), 17 Sep 2002 (5.72%)
2001120 Mar 2001 (-4.47%)
2000121 Mar 2000 (-7.2%)
1998105 Feb 1998 (6.72%)
1997115 Apr 1997 (-2.6%)



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