Study: Sell CUMMINSIND when RSI is above 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell CUMMINSIND when RSI is above 50 and there is Bearish Crossover in MACD" 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
131253.261006139613009.7617567.21-3906.21-13463.320.771.210.014312.53
2-61756.741005149513708.3919046.03-5120.09-29454.460.720.75-0.02-617.57
3-85476.831004753474677.0818715.17-5760.37-39896.980.810.72-0.023-854.77
4-1690241003862386083.4132648.87-6454.74-53102.320.940.58-0.037-1690.24
5-2173511004060407259.0335640.95-8461.86-62093.190.860.57-0.038-2173.51
6-2349741004159418071.5732795.54-9591.67-42659.80.840.58-0.039-2349.74
7-1766421004654467356.1624024.64-9537.5-40224.770.770.66-0.031-1766.42
8-2256311004456448263.0729588.17-10521.53-40753.50.790.62-0.036-2256.31
9-2562001004753478691.4129671.71-12541.43-45898.820.690.61-0.037-2562
10-3129181004951498068.8631058.39-13888.08-61786.870.580.56-0.042-3129.18

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.21. 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 61%, which is good. Average return per trade is 0.16%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.014, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-1131253.261006139613009.7617567.21-3906.21-13463.320.771.210.014312.53
atrnil25.5-136512115328327.8314460.425143.94-7219.82-13595.2820.77-0.024-1187.06
atrtrail24.09-110212115318426.9610504.1124020.66-5188.56-13595.282.020.75-0.024-958.36
atrnil38.32-286183115209517.3920416.0736030.99-7310.57-13595.282.790.59-0.046-2488.55
atrtrail34.51-192291115318426.967856.4124145.31-5188.56-13595.281.510.56-0.048-1672.09
atrtrail-14.77-217618115308526.097292.2934019.36-5133.96-13595.281.420.5-0.055-1892.33

In the table above, row 1 shows the best exit criterion. Profit factor is 1.21. 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 61%, which is good. Average return per trade is 0.16%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.014, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CUMMINSIND Performance, X=1, Profit Factor:1.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019211 Jan 2019 (-1.34%), 12 Jun 2019 (0.84%)
2018416 Jan 2018 (0.35%), 13 Aug 2018 (-0.22%), 05 Sep 2018 (-3.89%), 22 Nov 2018 (-2.5%)
2017420 Jan 2017 (-1.37%), 15 Feb 2017 (-0.81%), 18 Apr 2017 (-1.13%), 17 May 2017 (-3.74%)
2016302 Aug 2016 (2.86%), 22 Aug 2016 (-0.81%), 14 Sep 2016 (0.85%)
2015530 Jan 2015 (1.14%), 23 Feb 2015 (-0.1%), 15 Jun 2015 (0.72%), 27 Jul 2015 (2.08%), 21 Aug 2015 (8.78%)
2014602 Jan 2014 (-0.34%), 03 Apr 2014 (0.04%), 12 Jun 2014 (-2.13%), 08 Jul 2014 (1.39%), 10 Sep 2014 (-0.25%), 27 Nov 2014 (-0.73%)
2013410 Jan 2013 (1.14%), 12 Apr 2013 (3.32%), 14 May 2013 (1.33%), 13 Dec 2013 (1.93%)
2012409 Feb 2012 (-6.73%), 11 Apr 2012 (-1.72%), 22 Aug 2012 (0.16%), 11 Oct 2012 (1.77%)
2011318 Apr 2011 (-2.54%), 03 May 2011 (-1.78%), 24 May 2011 (1.48%)
2010721 Jan 2010 (0.66%), 10 Feb 2010 (-0.08%), 17 Mar 2010 (-2.77%), 13 Apr 2010 (-2.29%), 11 May 2010 (-1.68%), 24 Jun 2010 (2.19%), 12 Nov 2010 (0.19%)
2009728 Apr 2009 (-1.58%), 14 May 2009 (-0.37%), 03 Jun 2009 (-2.0%), 02 Sep 2009 (0.47%), 22 Oct 2009 (-0.29%), 19 Nov 2009 (0.48%), 18 Dec 2009 (1.58%)
2008205 May 2008 (0.77%), 21 Aug 2008 (1.73%)
2007631 Jan 2007 (0.09%), 14 Feb 2007 (-5.78%), 18 May 2007 (1.35%), 13 Jul 2007 (-0.7%), 07 Aug 2007 (-2.7%), 08 Oct 2007 (-3.4%)
2006521 Feb 2006 (1.47%), 16 Mar 2006 (1.42%), 01 Sep 2006 (-3.89%), 20 Oct 2006 (0.2%), 17 Nov 2006 (2.23%)
2005615 Feb 2005 (2.12%), 31 May 2005 (-0.94%), 17 Jun 2005 (0.59%), 25 Jul 2005 (0.77%), 22 Aug 2005 (1.69%), 15 Dec 2005 (0.78%)
2004402 Jan 2004 (2.06%), 22 Apr 2004 (0.3%), 24 Aug 2004 (1.39%), 24 Sep 2004 (1.53%)
2003504 Mar 2003 (-0.89%), 03 Jun 2003 (3.21%), 03 Oct 2003 (-2.06%), 20 Oct 2003 (3.54%), 14 Nov 2003 (0.91%)
2002203 Jul 2002 (-3.4%), 06 Dec 2002 (1.31%)
2001309 Jan 2001 (0.59%), 07 Sep 2001 (0.28%), 27 Nov 2001 (2.09%)
2000308 Feb 2000 (4.85%), 14 Jul 2000 (1.05%), 18 Dec 2000 (-3.49%)
1999518 Mar 1999 (3.29%), 16 Jun 1999 (-1.33%), 03 Aug 1999 (-2.84%), 02 Sep 1999 (0.86%), 24 Dec 1999 (2.08%)
1998217 Apr 1998 (1.0%), 14 Oct 1998 (5.82%)
1997327 May 1997 (1.2%), 21 Jul 1997 (0.8%), 21 Aug 1997 (1.19%)
1996412 Apr 1996 (-1.55%), 01 May 1996 (0.32%), 13 Aug 1996 (0.73%), 20 Sep 1996 (0.12%)
1995119 Oct 1995 (0.29%)



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