Study: Buy CUMMINSIND when near 200 SMA and above 200 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy CUMMINSIND when near 200 SMA and above 200 SMA and RSI is above 50" 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
1-35427.2633132039.392553.4110776.94-3431.08-12929.850.740.48-0.051-1073.55
2-14167.8533151845.453522.1117919.8-3722.19-10091.390.950.79-0.017-429.33
3-22610.8233141942.425772.0817860.47-5443.15-15454.661.060.78-0.019-685.18
4-45652.5733151845.454975.8319799.5-6682.78-16017.380.740.62-0.036-1383.41
5-74608.4633151845.454534.9414983.83-7924.03-23748.230.570.48-0.054-2260.86
6-51641.4533112233.339778.0323255.81-7236.35-21907.581.350.68-0.031-1564.89
7-38749.2833132039.398842.6619348.84-7685.19-21701.631.150.75-0.023-1174.22
8-64953.3633141942.427328.6920465.12-8818.69-21740.250.830.61-0.04-1968.28
9-82395.8733132039.398610.4525087.72-9716.59-26322.560.890.58-0.045-2496.84
10-89037.1433141942.428333.8426390.98-10826.89-26721.590.770.57-0.045-2698.1
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
200trail32.212633.8554144025.938920.3711803.39-2806.28-3953.923.181.110.0089233.96
200nil32.336149.88521339259597.4611803.39-3041.46-3953.923.161.050.0044118.27
200trail21.89-19778.4456154126.796335.357868.93-2800.21-3953.922.260.83-0.017-353.19
200nil21.98-24487.7854153927.786335.357868.93-3064.56-3953.922.070.8-0.022-453.48
200trail-12.98-25676.453114220.757964.722081.75-2697.33-3953.922.950.77-0.019-484.46
atrnil35.97-47327.543672919.4421256.6732423.71-6762.9-13823.543.140.76-0.023-1314.65
atrnil24.82-74791.133892923.6813526.1321615.81-6776.77-13823.5420.62-0.045-1968.19
atrtrail34.18-72992.0244103422.7311653.4832423.71-5574.32-11837.562.090.61-0.038-1658.91
atrtrail23.68-82882.5344103422.7310664.4321615.81-5574.32-11837.561.910.56-0.05-1883.69
atrtrail-14.68-10072544103422.738880.1923127.89-5574.32-11837.561.590.47-0.064-2289.2

In the table above, row 1 shows the best exit criterion. Profit factor is 1.11. 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 25.93%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0089, 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:1.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019927 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 (3.62%), 04 Jul 2019 (-1.88%), 11 Jul 2019 (-1.45%)
2018603 Jan 2018 (5.42%), 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%)
2017513 Jan 2017 (-1.54%), 27 Jan 2017 (-1.01%), 01 Feb 2017 (4.28%), 05 Oct 2017 (-1.53%), 26 Dec 2017 (-1.37%)
2016224 Aug 2016 (-1.25%), 29 Aug 2016 (4.06%)
2013402 Dec 2013 (-1.46%), 05 Dec 2013 (3.89%), 09 Dec 2013 (-1.76%), 12 Dec 2013 (-1.27%)
2012102 Feb 2012 (4.64%)
2011220 Apr 2011 (-1.0%), 25 Apr 2011 (-1.38%)
2008104 Sep 2008 (-1.1%)
2006303 Jul 2006 (-1.13%), 28 Jul 2006 (5.08%), 01 Aug 2006 (5.9%)
2005205 May 2005 (5.54%), 18 May 2005 (3.79%)
2002508 May 2002 (-1.85%), 12 Jun 2002 (5.77%), 16 Aug 2002 (-0.73%), 22 Aug 2002 (-1.18%), 02 Sep 2002 (-1.61%)
2001127 Nov 2001 (-1.34%)
2000227 Jul 2000 (-1.54%), 05 Dec 2000 (4.52%)
1998430 Apr 1998 (-1.05%), 28 Sep 1998 (-1.82%), 07 Oct 1998 (-1.43%), 08 Oct 1998 (-1.45%)
1997727 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 (5.88%)



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