Study: Buy CUMMINSIND when RSI is below 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy CUMMINSIND when RSI is below 50 and there is Bullish Crossover in MACD" 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
1-4955.4170343648.573018.2113506.49-2988.18-11065.241.010.95-0.0036-70.79
2-18455.4670304042.865952.2833073.59-4925.6-20203.691.210.91-0.007-263.65
3-35373.1870264437.146247.4722164.5-4495.62-20336.591.390.82-0.015-505.33
4-16615.8270304042.865698.3718235.47-4689.17-18978.931.220.91-0.0073-237.37
5-22511.3869333647.836015.7117489.18-6139.72-19873.380.980.9-0.0086-326.25
6-6862.7869333647.837494.2121118.01-7060.33-30663.361.060.97-0.0021-99.46
7-38972.8169303943.487509.7719119.23-6776.05-20258.741.110.85-0.013-564.82
8-85078.7269274239.138511.9420031.06-7497.64-24341.181.140.73-0.025-1233.02
9-25824.9969303943.489453.9428881.99-7934.44-29611.711.190.92-0.0068-374.28
10-26874.8169303943.489926.7337288.14-8325.05-28746.021.190.92-0.0067-389.49
Although, strategy looks good but profit factor on day 3 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
atrnil310.0133193.774195525.6826083.9757281.87-8407.3-19762.363.11.070.0056448.56
atrnil28.88-68293.6975225329.3317171.9838187.91-8416.55-19762.362.040.85-0.015-910.58
atrtrail35.52-97497.1975225329.3311368.6830531.71-6558.65-19762.361.730.72-0.025-1299.96
atrtrail25.21-12280476235330.269774.0820671.88-6558.65-19762.361.490.65-0.036-1615.85
atrtrail-15.93-12465375225329.3310134.3343355.5-6558.65-19762.361.550.64-0.033-1662.04

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 25.68%, which is not acceptable. Avoid this strategy. Average return per trade is 0.22%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0056, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
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
2019226 Feb 2019 (-3.69%), 29 Aug 2019 (11.36%)
2018420 Feb 2018 (-3.1%), 15 Mar 2018 (-2.73%), 04 Apr 2018 (-3.29%), 14 Jun 2018 (-2.73%)
2017416 Jun 2017 (-3.17%), 31 Aug 2017 (-3.19%), 24 Nov 2017 (-1.97%), 19 Dec 2017 (5.87%)
2016404 Feb 2016 (-4.15%), 03 Mar 2016 (-4.46%), 13 Jun 2016 (-2.81%), 30 Nov 2016 (-3.37%)
2015506 Apr 2015 (-2.84%), 28 Apr 2015 (-2.59%), 15 May 2015 (7.43%), 23 Oct 2015 (-3.32%), 02 Dec 2015 (-3.38%)
2014210 Feb 2014 (-3.27%), 14 Oct 2014 (9.04%)
2013310 Jun 2013 (-3.18%), 10 Jul 2013 (-3.26%), 26 Aug 2013 (-4.3%)
2012129 May 2012 (-4.31%)
2011925 Mar 2011 (10.45%), 17 Jun 2011 (-2.13%), 30 Jun 2011 (-2.5%), 23 Aug 2011 (-4.01%), 13 Oct 2011 (-3.76%), 01 Nov 2011 (-3.61%), 25 Nov 2011 (-4.35%), 28 Nov 2011 (-4.62%), 22 Dec 2011 (11.0%)
2009113 Feb 2009 (-5.05%)
2008501 Feb 2008 (-9.04%), 30 May 2008 (-4.18%), 08 Jul 2008 (16.57%), 06 Nov 2008 (-8.16%), 28 Nov 2008 (-8.44%)
2007214 Mar 2007 (19.76%), 16 Nov 2007 (-5.17%)
2006306 Jun 2006 (-9.32%), 12 Jun 2006 (-9.88%), 19 Jun 2006 (28.64%)
2005204 Apr 2005 (-3.03%), 31 Oct 2005 (15.27%)
2004317 Feb 2004 (-4.44%), 01 Mar 2004 (-4.12%), 29 Jun 2004 (-4.67%)
2002309 Apr 2002 (-3.77%), 10 Oct 2002 (8.7%), 31 Dec 2002 (-2.52%)
2001528 Mar 2001 (-7.11%), 21 May 2001 (14.8%), 04 Jul 2001 (-4.32%), 03 Aug 2001 (-4.5%), 06 Aug 2001 (14.44%)
2000321 Mar 2000 (21.59%), 05 Sep 2000 (-3.57%), 23 Oct 2000 (13.84%)
1999106 May 1999 (13.65%)
1998725 Feb 1998 (-3.39%), 01 Jul 1998 (-5.72%), 09 Jul 1998 (-5.18%), 06 Aug 1998 (-5.51%), 13 Nov 1998 (-4.31%), 01 Dec 1998 (-3.52%), 02 Dec 1998 (10.94%)
1997222 Apr 1997 (7.06%), 05 Nov 1997 (-2.92%)
1996212 Jul 1996 (-3.13%), 13 Nov 1996 (-2.17%)
1995112 Dec 1995 (7.41%)



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