Study: Buy CUMMINSIND when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy CUMMINSIND when near 200 SMA and above 200 SMA and ADX is Trending" 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
115122.4623121152.173785.6710776.94-2755.05-7829.181.371.50.031657.5
212220.3523121152.175136.9317919.8-4492.99-10091.391.141.250.017531.32
319889.0823131056.526107.7114786.97-5951.12-15454.661.031.330.023864.74
433309.5623131056.527918.0722091.95-6962.53-16017.381.141.480.031448.24
538323.992314960.879043.3339862.07-9809.19-23748.230.921.430.0261666.26
649456.6323111247.8314385.1858850.57-9065.03-21907.581.591.450.0272150.29
775582.632314960.8712458.9948183.91-10982.58-23411.731.131.760.0423286.2
883886.692314960.8711019.4457471.26-7820.61-21740.251.412.190.053647.25
945887.252314960.8710458.4747586.21-11170.14-26322.560.941.460.0271995.1
1045993.482314960.8712483.9243839.08-14309.05-26721.590.871.360.0241999.72
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
CUMMINSIND Performance, X=8, Profit Factor:2.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018310 Jan 2018 (-1.26%), 28 Aug 2018 (-2.12%), 12 Sep 2018 (-10.87%)
2017126 Dec 2017 (3.41%)
2013106 Dec 2013 (2.14%)
2012302 Feb 2012 (7.8%), 21 May 2012 (1.63%), 27 Nov 2012 (9.29%)
2008104 Sep 2008 (-9.75%)
2006330 May 2006 (-3.3%), 03 Jul 2006 (-6.05%), 28 Jul 2006 (1.71%)
2005205 May 2005 (2.99%), 19 May 2005 (1.71%)
2002116 Aug 2002 (-0.64%)
2001227 Nov 2001 (1.31%), 19 Dec 2001 (-0.36%)
2000105 Dec 2000 (1.69%)
1999301 Feb 1999 (5.81%), 05 May 1999 (7.81%), 28 Oct 1999 (28.74%)
1998128 Sep 1998 (-0.85%)
1997110 Nov 1997 (1.11%)

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
200trail-13.6789756.6433102330.315388.1450344.83-2788.03-3967.785.522.40.0472719.9
200trail32.1564912.7133132039.399442.5211903.33-2892-3953.923.272.120.0641967.05
200nil32.2759391.5333122136.3610219.5411903.33-3011.57-3953.923.391.940.0571799.74
200trail21.6941687.3535152042.866619.547935.56-2880.29-3953.922.31.720.0511191.07
200nil21.7738370.4535152042.866619.547935.56-3046.13-3953.922.171.630.0461096.3
atrnil38.8893859.4326101638.4624610.7933622.08-9515.53-19234.592.591.620.0433609.98
atrnil25.1133958.7628121642.8615550.7822414.72-9540.66-19234.591.631.220.0191212.81
atrtrail243223.7330102033.3315303.3822414.72-7490.5-19234.592.041.020.0019107.46
atrtrail35.17-14678.5530102033.3313513.1532423.71-7490.5-19234.591.80.9-0.0083-489.28
atrtrail-15.73-17266.0430102033.3313254.448292.43-7490.5-19234.591.770.88-0.0091-575.53

In the table above, row 1 shows the best exit criterion. Profit factor is 2.4. 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 30.3%, which is not acceptable. Avoid this strategy. Average return per trade is 1.36%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.047, 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:2.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018603 Jan 2018 (1.29%), 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%)
2017126 Dec 2017 (-1.37%)
2013106 Dec 2013 (-1.74%)
2012402 Feb 2012 (-0.16%), 21 May 2012 (-1.87%), 01 Jun 2012 (-1.56%), 27 Nov 2012 (6.48%)
2008104 Sep 2008 (-1.1%)
2006530 May 2006 (-1.75%), 02 Jun 2006 (-1.42%), 03 Jul 2006 (-1.13%), 28 Jul 2006 (-1.0%), 01 Aug 2006 (7.01%)
2005205 May 2005 (2.46%), 18 May 2005 (2.03%)
2002116 Aug 2002 (-0.73%)
2001327 Nov 2001 (-1.34%), 19 Dec 2001 (-1.03%), 20 Dec 2001 (-1.18%)
2000105 Dec 2000 (6.69%)
1999301 Feb 1999 (6.95%), 05 May 1999 (18.8%), 28 Oct 1999 (25.17%)
1998328 Sep 1998 (-1.82%), 07 Oct 1998 (-1.43%), 08 Oct 1998 (-1.45%)
1997210 Nov 1997 (-1.23%), 21 Nov 1997 (-1.98%)



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