Study: Buy CUMMINSIND when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy CUMMINSIND when 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
169146.9844271761.364712.1616000-3416.55-18642.531.382.190.0581571.52
213332444301468.186780.2323049.96-5005.95-14660.631.352.90.0823030.08
312362544281663.647517.3823570.19-5428.86-25844.551.382.420.0692809.66
414319044301468.187862.0825748.95-6619.46-34396.411.192.550.0693254.32
511344944281663.648015.2724815.56-6936.16-25466.571.162.020.0552578.39
652904.3444232152.279339.620863.25-7709.83-21249.841.211.330.0241202.37
7-20544.64442222509179.6324345.96-10113.48-27459.710.910.91-0.0079-466.92
8-61693.2244202445.459915.9622849.02-10833.85-34036.420.920.76-0.022-1402.12
9-15898.5344212347.7311047.8129864.9-10778.37-28350.581.020.94-0.0056-361.33
10-18226.8344242054.5510395.2228490.16-13385.61-35503.730.780.93-0.0058-414.25

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.9. 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 68.18%, which is good. Average return per trade is 1.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.082, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
CUMMINSIND Performance, X=2, Profit Factor:2.9

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019128 Jan 2019 (-1.2%)
2017409 Mar 2017 (-1.44%), 22 May 2017 (-1.72%), 12 Jun 2017 (2.4%), 09 Aug 2017 (-1.37%)
2016129 Sep 2016 (4.6%)
2015318 Mar 2015 (1.28%), 13 Oct 2015 (1.96%), 10 Nov 2015 (-0.3%)
2014302 May 2014 (0.58%), 01 Aug 2014 (10.71%), 23 Sep 2014 (1.38%)
2013118 Jan 2013 (0.41%)
2012407 May 2012 (-3.26%), 21 May 2012 (-3.93%), 26 Jul 2012 (1.34%), 01 Nov 2012 (0.7%)
2010126 May 2010 (4.96%)
2009108 Jul 2009 (0.9%)
2008110 Jan 2008 (0.75%)
2007423 Feb 2007 (-1.01%), 21 Aug 2007 (1.44%), 19 Oct 2007 (7.71%), 12 Nov 2007 (4.69%)
2006313 Apr 2006 (3.07%), 16 May 2006 (-5.65%), 12 Dec 2006 (4.87%)
2005214 Mar 2005 (-0.71%), 22 Sep 2005 (4.23%)
2004322 Jan 2004 (3.33%), 26 Feb 2004 (7.45%), 26 Oct 2004 (11.52%)
2003110 Mar 2003 (-0.66%)
2002126 Jul 2002 (-7.33%)
2000110 Feb 2000 (1.17%)
1999415 Apr 1999 (0.31%), 16 Sep 1999 (3.51%), 01 Oct 1999 (4.22%), 18 Oct 1999 (2.1%)
1997222 Sep 1997 (-3.92%), 14 Oct 1997 (1.4%)
1996326 Jun 1996 (4.79%), 23 Aug 1996 (3.92%), 04 Oct 1996 (-2.56%)

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
nilnil-1213332444301468.186780.2323049.96-5005.95-14660.631.352.90.0823030.08
atrtrail34.3113155.5974264835.1410883.5134140.22-5621.16-10845.81.941.050.0036177.78
atrnil26.29-17937.5765204530.7715915.4927710.97-7472.16-12529.082.130.95-0.0049-275.96
atrtrail23.88-19755.2774264835.149617.722760.15-5621.16-10845.81.710.93-0.0064-266.96
atrtrail-14.78-30759.9174264835.149194.4540016.02-5621.16-10845.81.640.89-0.0094-415.67
atrnil310.3-56088.4161124919.6726335.7541566.45-7594.23-13011.563.470.85-0.013-919.48

In the table above, row 1 shows the best exit criterion. Profit factor is 2.9. 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 68.18%, which is good. Average return per trade is 1.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.082, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

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