Study: Sell M&M when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell M&M when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50" 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
111602.8436201655.563230.3110545.13-3312.71-7126.440.981.220.017322.3
232165.1236191752.785013.0215243.17-3710.72-15199.031.351.510.032893.48
310767.536171947.226753.6623478.41-5476.04-18419.691.231.10.0073299.1
4-28614.49361818506214.3119227.18-7804-19758.380.80.8-0.018-794.85
5-36028.7361818506673.0118854.1-8674.61-21110.790.770.77-0.021-1000.8
6-34334.9536191752.786630.2519320.45-9429.98-21230.40.70.79-0.02-953.75
7-46844.95361818507791.8918337.8-10394.39-28632.880.750.75-0.023-1301.25
8-38846.3436171947.228117.4219470.79-9307.5-25220.450.870.78-0.02-1079.06
9-26581.89361818508243.3221145.9-9720.09-26754.610.850.85-0.013-738.39
10-16894.3736191752.788959.9522038.78-11007.84-26955.340.810.91-0.0079-469.29
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
50trail32.4763745.8551193237.258012.6811696.27-2765.47-3957.752.91.720.0451249.92
atrtrail-16.1964787.9943182541.8610114.9143953.28-4691.22-13917.722.161.550.0281506.7
50trail22.0237080.5751213041.185704.817797.51-2757.35-3957.752.071.450.034727.07
atrtrail25.0250940.1943182541.869345.5920553.43-4691.22-13917.721.991.430.0291184.66
50trail-13.9237393.97501634328065.6726016.67-2695.79-3957.752.991.410.023747.88
50nil32.6439469.56501634328944.4611696.27-3048.29-3957.752.931.380.028789.39
50nil22.132008.53502030406111.87797.51-3007.58-3957.752.031.350.028640.17
atrtrail35.5639344.9643182541.868701.4130735.65-4691.22-13917.721.851.340.02915
atrnil26.6710430.974014263513928.1920490.43-7098.6-14914.741.961.060.005260.77
atrnil38.59-69243993023.0822363.3930735.65-6939.82-14914.743.220.97-0.0028-177.54

In the table above, row 1 shows the best exit criterion. Profit factor is 1.72. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 37.25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.62%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, 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:1.72

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019526 Mar 2019 (0.03%), 02 Apr 2019 (-1.04%), 26 Apr 2019 (4.78%), 10 Jun 2019 (5.85%), 05 Jul 2019 (3.49%)
2017520 Jan 2017 (-1.26%), 22 Mar 2017 (-1.39%), 06 Apr 2017 (0.57%), 22 May 2017 (-1.17%), 24 May 2017 (-1.03%)
2016302 Mar 2016 (-1.94%), 17 Mar 2016 (-1.32%), 07 Apr 2016 (-1.14%)
2015617 Mar 2015 (5.47%), 15 Apr 2015 (-1.98%), 22 Apr 2015 (4.66%), 03 Jun 2015 (-1.81%), 05 Jun 2015 (-1.81%), 28 Oct 2015 (-1.0%)
2013101 Oct 2013 (-1.91%)
2012608 Feb 2012 (-1.09%), 20 Mar 2012 (-1.81%), 23 Mar 2012 (-0.38%), 04 May 2012 (5.77%), 24 Jul 2012 (-1.08%), 27 Jul 2012 (-1.2%)
2011124 Aug 2011 (-1.62%)
2009320 Jan 2009 (4.56%), 03 Feb 2009 (-1.34%), 19 Feb 2009 (5.48%)
2008520 May 2008 (-1.26%), 22 May 2008 (3.7%), 12 Sep 2008 (3.24%), 18 Sep 2008 (-1.54%), 23 Sep 2008 (-1.61%)
2007609 May 2007 (3.65%), 28 May 2007 (-1.88%), 06 Jun 2007 (3.37%), 07 Jun 2007 (5.12%), 30 Jul 2007 (-1.41%), 06 Nov 2007 (-1.46%)
2004327 Sep 2004 (-0.56%), 14 Oct 2004 (-0.55%), 19 Oct 2004 (3.96%)
2001410 Jan 2001 (3.2%), 17 May 2001 (-1.98%), 23 May 2001 (-1.69%), 27 Dec 2001 (-1.89%)
2000215 Sep 2000 (5.31%), 28 Dec 2000 (-1.12%)
1998112 May 1998 (3.92%)



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