Study: Buy CUMMINSIND when below 200 SMA

home > technical-strategy > cumminsind > 57

In this study, we evaluate the performance of strategy "Buy CUMMINSIND when below 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
1-19587.721005050503511.2516008.77-3903-15254.510.90.9-0.0083-195.88
216479.731005149514927.1116833.1-4791.9-20458.611.031.070.0052164.8
382134.961005050507320.418585.04-5677.7-24361.681.291.290.02821.35
437319.221004951498561.2137175.18-7493.73-28874.561.141.10.0072373.19
549466.021005149519433.2832956.28-8808.8-48777.171.071.110.0083494.66
698987.1110052485210868.6238336.9-9712.11-38586.961.121.210.015989.87
714501110053475311367.2341340.78-9733.03-28174.631.171.320.0221450.11
813372910053475311408.0644949.95-10019.11-40353.261.141.280.0191337.29
962161.410049514912196.6536991.75-10499.5-38451.091.161.120.0088621.61
1033715.0710052485211620.8433506.57-11886.85-43686.270.981.060.0046337.15
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
atrnil26.8164145.711565410234.6217406.4641930.98-8586.3-19854.242.031.070.0064411.19
atrtrail24.39-91514.331805812232.2211824.4841930.98-6371.59-18543.931.860.88-0.01-508.41
atrnil310.64-1342581443411023.6124413.8446514.58-8766.63-20965.492.780.86-0.013-932.35
atrtrail-15.55-1184501805712331.6711561.8659895.21-6320.94-18543.931.830.85-0.012-658.06
atrtrail34.94-1308101805712331.6711345.0136869.39-6320.94-18543.931.790.83-0.014-726.72

In the table above, row 1 shows the best exit criterion. Profit factor is 1.07. 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 34.62%, which is not acceptable. Avoid this strategy. Average return per trade is 0.21%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0064, 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:1.07

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191211 Feb 2019 (-3.72%), 14 Feb 2019 (-3.77%), 18 Feb 2019 (7.89%), 05 Apr 2019 (5.86%), 02 May 2019 (6.5%), 30 Jul 2019 (-3.25%), 02 Aug 2019 (-3.56%), 07 Aug 2019 (-3.7%), 08 Aug 2019 (-4.6%), 20 Aug 2019 (-4.06%), 03 Sep 2019 (7.64%), 04 Oct 2019 (7.84%)
20181502 Feb 2018 (-3.44%), 28 Feb 2018 (-3.09%), 07 Mar 2018 (-3.01%), 19 Mar 2018 (-2.89%), 22 Mar 2018 (-2.91%), 27 Mar 2018 (-3.15%), 28 Mar 2018 (6.83%), 24 May 2018 (-3.15%), 25 May 2018 (-3.24%), 05 Jun 2018 (-3.27%), 28 Jun 2018 (5.66%), 16 Jul 2018 (5.96%), 21 Sep 2018 (-4.03%), 28 Sep 2018 (-3.8%), 08 Oct 2018 (7.51%)
2017414 Mar 2017 (4.3%), 10 Aug 2017 (-3.52%), 13 Nov 2017 (-2.31%), 15 Dec 2017 (-1.97%)
20161113 Jan 2016 (-3.07%), 20 Jan 2016 (-3.67%), 12 Feb 2016 (-4.61%), 25 Feb 2016 (-4.18%), 29 Feb 2016 (9.43%), 26 May 2016 (-3.64%), 14 Oct 2016 (-2.43%), 17 Oct 2016 (5.23%), 04 Nov 2016 (-2.76%), 09 Nov 2016 (-3.16%), 02 Dec 2016 (6.99%)
2014127 Jan 2014 (6.72%)
2013921 May 2013 (-3.02%), 23 May 2013 (-3.05%), 30 May 2013 (-3.04%), 03 Jul 2013 (-3.02%), 08 Jul 2013 (6.56%), 01 Aug 2013 (-4.29%), 02 Aug 2013 (-4.48%), 19 Aug 2013 (8.92%), 30 Oct 2013 (5.15%)
2012222 May 2012 (9.69%), 16 Nov 2012 (-3.2%)
20111503 Feb 2011 (-4.1%), 04 Feb 2011 (-4.48%), 07 Feb 2011 (-4.65%), 22 Jun 2011 (-2.53%), 28 Jul 2011 (-2.55%), 29 Jul 2011 (-2.8%), 02 Aug 2011 (-2.95%), 16 Aug 2011 (-4.1%), 26 Sep 2011 (-3.95%), 04 Oct 2011 (-3.88%), 20 Oct 2011 (-3.45%), 25 Oct 2011 (-3.86%), 11 Nov 2011 (-3.97%), 16 Nov 2011 (9.25%), 20 Dec 2011 (7.36%)
2009329 Jan 2009 (-7.97%), 20 Feb 2009 (-5.24%), 26 Feb 2009 (10.37%)
20081618 Jan 2008 (-5.17%), 21 Jan 2008 (-5.84%), 17 Mar 2008 (16.51%), 12 May 2008 (-4.31%), 13 May 2008 (-4.81%), 12 Jun 2008 (-4.91%), 23 Jun 2008 (-4.56%), 26 Jun 2008 (9.92%), 03 Jul 2008 (11.71%), 10 Sep 2008 (-4.19%), 18 Sep 2008 (9.11%), 07 Oct 2008 (-5.92%), 10 Oct 2008 (-7.28%), 23 Oct 2008 (-8.46%), 27 Oct 2008 (-9.27%), 29 Oct 2008 (20.97%)
2006222 May 2006 (-9.93%), 21 Jul 2006 (11.98%)
2005418 Mar 2005 (-3.19%), 22 Mar 2005 (-3.2%), 18 Apr 2005 (5.71%), 20 Oct 2005 (11.25%)
2004222 Jun 2004 (9.44%), 27 Jul 2004 (8.23%)
2003124 Mar 2003 (6.96%)
2002904 Feb 2002 (7.26%), 12 Mar 2002 (10.16%), 29 Apr 2002 (7.19%), 21 May 2002 (-3.51%), 29 Jul 2002 (10.58%), 06 Sep 2002 (-3.1%), 19 Sep 2002 (-2.88%), 03 Oct 2002 (5.81%), 17 Dec 2002 (5.4%)
20011005 Mar 2001 (-6.63%), 12 Mar 2001 (-7.46%), 13 Mar 2001 (19.2%), 15 Jun 2001 (-4.79%), 22 Jun 2001 (-4.64%), 20 Jul 2001 (-3.76%), 26 Jul 2001 (9.68%), 17 Sep 2001 (11.39%), 15 Oct 2001 (8.25%), 27 Dec 2001 (10.23%)
20001318 Feb 2000 (-4.94%), 22 Feb 2000 (-4.97%), 24 Feb 2000 (-5.3%), 02 Mar 2000 (-6.17%), 03 Mar 2000 (-6.81%), 09 Mar 2000 (15.5%), 14 Aug 2000 (-5.2%), 12 Sep 2000 (-4.13%), 18 Sep 2000 (-4.46%), 19 Sep 2000 (-4.91%), 22 Sep 2000 (-5.46%), 11 Oct 2000 (-4.59%), 13 Oct 2000 (-4.68%)
1999222 Apr 1999 (-5.57%), 26 Apr 1999 (12.29%)
19981709 Jan 1998 (-3.87%), 20 Jan 1998 (-3.64%), 23 Jan 1998 (-3.66%), 28 Jan 1998 (-4.28%), 12 Feb 1998 (-3.54%), 18 Feb 1998 (7.78%), 14 May 1998 (-4.07%), 22 May 1998 (-4.24%), 08 Jun 1998 (-4.55%), 16 Jun 1998 (-5.18%), 22 Jun 1998 (12.29%), 06 Jul 1998 (-6.2%), 23 Jul 1998 (-4.9%), 24 Jul 1998 (-5.55%), 28 Aug 1998 (8.68%), 20 Oct 1998 (-7.13%), 24 Nov 1998 (8.15%)
1997625 Feb 1997 (4.55%), 01 Apr 1997 (4.61%), 07 Apr 1997 (5.47%), 27 Oct 1997 (-3.06%), 28 Oct 1997 (6.84%), 24 Dec 1997 (-4.26%)
1996203 Dec 1996 (-2.21%), 04 Dec 1996 (5.2%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play