Study: Buy M&M when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA

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In this study, we evaluate the performance of strategy "Buy M&M when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
111038.6926111542.314533.6718618.48-2588.78-7527.441.751.280.017424.56
22021626141253.854508.9913149.45-3575.83-7945.641.261.470.029777.54
34409.7626141253.854787.2111649.08-5217.6-14009.410.921.070.0057169.61
44172.2326141253.855514.4113529.9-6085.79-15577.630.911.060.0047160.47
5-9091.5626121446.157636.0125062.42-7194.55-20595.921.060.91-0.0074-349.68
68879.09261313509032.8821810.25-8349.88-25584.911.081.080.0063341.5
7-14286.5926111542.319343.7319193.02-7804.51-29974.841.20.88-0.0099-549.48
8-23927.7426141253.857550.115703.38-10802.42-29345.910.70.82-0.016-920.3
9-16815.8526121446.159675.5434569.25-9494.46-28993.711.020.87-0.011-646.76
103497.3526121446.1511845.9450490.73-9903.85-29433.961.21.030.0018134.51
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
atrnil37.0830417.59257182821122.5435218.54-6524.45-12074.893.241.260.0181216.7
atrtrail34.9320582.3629111837.9310137.0934782.56-5051.42-12074.892.011.230.015709.74
atrtrail24.0716147.1629111837.939733.8923479.03-5051.42-12074.891.931.180.013556.8
200trail32.11-1629.138102826.327208.8411343.14-2632.77-3743.432.740.98-0.0019-42.87
200nil32.24-3084.593892923.688525.8611343.14-2752.32-3743.433.10.96-0.0034-81.17
200trail21.74-10187.9239122730.775405.767562.09-2779.89-3826.291.940.86-0.014-261.23
200nil21.74-11917.5339122730.775405.767562.09-2843.95-3826.291.90.84-0.016-305.58
atrnil25.68-18868.33257182814081.6923479.03-6524.45-12074.892.160.84-0.015-754.73
200trail-13.03-12100.563892923.686876.6215736.77-2551.39-3743.432.70.84-0.014-318.44
atrtrail-15.41-17365.9529111837.936687.2414455.71-5051.42-12074.891.320.81-0.019-598.83

In the table above, row 1 shows the best exit criterion. Profit factor is 1.26. 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 28%, which is not acceptable. Avoid this strategy. Average return per trade is 0.61%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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.
M&M Performance, Profit Factor:1.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017105 May 2017 (5.58%)
2016122 Mar 2016 (-2.69%)
2015519 Feb 2015 (-3.12%), 11 Mar 2015 (-3.03%), 07 Apr 2015 (-3.01%), 18 May 2015 (-2.84%), 13 Nov 2015 (7.86%)
2013229 Oct 2013 (-2.95%), 13 Nov 2013 (8.91%)
2012316 Feb 2012 (-3.41%), 20 Apr 2012 (-2.43%), 02 Jul 2012 (-2.42%)
2011305 Jul 2011 (-2.6%), 26 Jul 2011 (-2.92%), 17 Aug 2011 (-3.53%)
2009102 Apr 2009 (17.39%)
2007306 Jul 2007 (-3.6%), 24 Sep 2007 (-3.86%), 23 Oct 2007 (-5.49%)
2005124 May 2005 (7.91%)
2004324 Sep 2004 (-2.36%), 08 Oct 2004 (-2.42%), 08 Nov 2004 (8.67%)
2002104 Jan 2002 (17.61%)
2001114 Dec 2001 (-6.04%)



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