Study: Sell M&M when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell M&M when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell M&M 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
110511.5959302950.853020.7711874.02-2762.46-7160.621.091.130.0092178.16
244325.4159302950.854781.6915672.17-3418.12-12472.831.41.450.027751.28
3-32773.4959263344.074518.4114257.32-4553.09-20951.090.990.78-0.019-555.48
4-37976.0159342557.634694.214399.82-7903.15-27092.390.590.81-0.017-643.66
5-30188.5559322754.245249.2317054.79-7339.4-27690.220.720.85-0.013-511.67
6-57443.7459283147.465948.3114024.82-7225.69-26005.430.820.74-0.024-973.62
7-11028559273245.766049.920092.25-8551.01-25135.870.710.6-0.04-1869.24
8-12053959273245.766554.9217137.29-9297.55-33200.530.710.59-0.04-2043.03
9-13413659243540.688258.4721339.23-9495.4-45506.860.870.6-0.039-2273.49
10-13194859273245.767614.325447.18-10547.94-49638.480.720.61-0.037-2236.41
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
200trail32.25-7262.891002872286578.8111451.54-2659.3-3949.52.470.96-0.0032-72.63
200trail21.93-22120.731003070305538.197648.73-2689.52-3949.52.060.88-0.011-221.21
200nil32.71-30490.7392207221.749090.8311473.09-2948.71-3970.683.080.86-0.013-331.42
200nil22.15-31409.3995276828.426188.557648.73-2919.12-3970.682.120.84-0.016-330.63
atrtrail24.16-42040.4775264934.676752.716150.64-4441.03-9267.61.520.81-0.018-560.54
atrnil26.47-70306.7260174328.3312111.1916839.54-6423.18-12852.281.890.75-0.028-1171.78
atrtrail34.92-64965.8475264934.675870.9524225.96-4441.03-9267.61.320.7-0.028-866.21
200trail-12.92-66740.351002773274661.2518757.9-2638.28-3949.51.770.65-0.035-667.4
atrtrail-14.99-92630.7575264934.674806.9214312.04-4441.03-9267.61.080.57-0.048-1235.08
atrnil310.33-1572135274513.4619302.1124225.96-6496.18-12852.282.970.46-0.068-3023.33

In the table above, row 1 shows the best exit criterion. Profit factor is 0.96. 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 28%, which is not acceptable. Avoid this strategy. Average return per trade is -0.036%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
M&M Performance, Profit Factor:0.962

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017916 Feb 2017 (0.3%), 02 Mar 2017 (0.01%), 14 Mar 2017 (4.34%), 25 Apr 2017 (-1.97%), 22 May 2017 (-1.32%), 24 May 2017 (-1.02%), 08 Sep 2017 (-1.84%), 12 Sep 2017 (4.47%), 06 Oct 2017 (-1.77%)
2016805 Jan 2016 (4.52%), 23 Mar 2016 (-1.29%), 28 Mar 2016 (1.96%), 04 Apr 2016 (-0.04%), 19 Oct 2016 (-1.09%), 20 Oct 2016 (-1.16%), 01 Nov 2016 (-1.45%), 09 Nov 2016 (-1.33%)
20151326 Feb 2015 (-1.22%), 19 May 2015 (-1.47%), 25 May 2015 (4.11%), 29 May 2015 (4.67%), 17 Jun 2015 (-1.59%), 10 Jul 2015 (-1.24%), 24 Aug 2015 (-1.9%), 25 Aug 2015 (3.84%), 23 Oct 2015 (-1.04%), 26 Oct 2015 (-1.16%), 17 Dec 2015 (-1.57%), 23 Dec 2015 (-1.2%), 28 Dec 2015 (-1.42%)
2014503 Jan 2014 (-1.21%), 09 Jan 2014 (-0.63%), 17 Jan 2014 (-1.38%), 06 Feb 2014 (-1.44%), 14 Feb 2014 (-1.06%)
20131005 Apr 2013 (-1.65%), 09 Apr 2013 (0.88%), 16 Apr 2013 (-1.4%), 10 Jul 2013 (-1.03%), 12 Jul 2013 (-1.72%), 16 Jul 2013 (-1.11%), 31 Jul 2013 (4.63%), 21 Oct 2013 (-0.66%), 24 Oct 2013 (-0.35%), 31 Oct 2013 (-1.57%)
2012514 Feb 2012 (-1.74%), 17 Jul 2012 (-1.25%), 20 Jul 2012 (1.33%), 31 Jul 2012 (0.4%), 07 Aug 2012 (-1.69%)
2011904 Feb 2011 (-1.49%), 07 Feb 2011 (4.91%), 29 Mar 2011 (-1.73%), 04 May 2011 (-1.03%), 10 May 2011 (5.73%), 27 May 2011 (4.53%), 03 Aug 2011 (5.32%), 23 Aug 2011 (-0.74%), 21 Nov 2011 (-1.2%)
20071313 Apr 2007 (-1.04%), 18 Apr 2007 (-0.86%), 24 Apr 2007 (-1.83%), 09 May 2007 (3.42%), 29 May 2007 (-1.15%), 09 Jul 2007 (-1.62%), 11 Jul 2007 (-1.56%), 20 Sep 2007 (-1.97%), 21 Sep 2007 (-1.41%), 03 Oct 2007 (3.97%), 18 Oct 2007 (-1.18%), 08 Nov 2007 (5.21%), 19 Nov 2007 (-1.32%)
2006120 Jul 2006 (4.29%)
2005429 Mar 2005 (-1.25%), 07 Apr 2005 (4.56%), 09 May 2005 (0.67%), 20 May 2005 (-1.83%)
2004816 Aug 2004 (-0.73%), 02 Sep 2004 (-1.83%), 14 Sep 2004 (-1.41%), 15 Sep 2004 (-1.49%), 01 Oct 2004 (-1.89%), 11 Oct 2004 (1.87%), 01 Nov 2004 (-1.38%), 02 Nov 2004 (3.04%)
2003105 Feb 2003 (-1.6%)
2002317 Jul 2002 (-1.29%), 20 Nov 2002 (-1.83%), 22 Nov 2002 (-1.16%)
1997720 May 1997 (-1.24%), 22 May 1997 (-1.35%), 04 Jun 1997 (-1.17%), 06 Jun 1997 (-1.12%), 04 Sep 1997 (-1.67%), 15 Oct 1997 (-1.12%), 17 Oct 1997 (4.74%)
1996204 Oct 1996 (-1.25%), 11 Dec 1996 (3.72%)
1995213 Dec 1995 (-1.0%), 14 Dec 1995 (0.67%)



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