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

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In this study, we evaluate the performance of strategy "Buy M&M when above 200 SMA and near 50 SMA and above 50 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
1-7591.4773334045.213271.3711146.64-2888.67-9542.221.130.93-0.0052-103.99
224915.0373373650.684851.5121302.1-4294.19-13102.381.131.160.011341.3
340445.9473343946.586494.4829419.78-4624.78-11046.361.41.220.015554.05
49105.8173324143.847359.6320805.37-5522.01-19913.981.331.040.0031124.74
58800.8673353847.957179.422358.08-6381-19397.851.131.040.0029120.56
67116.4773373650.687701.1522963.77-7717.39-27830.4611.030.002197.49
710391.0773403354.798642.4537074.24-10160.81-42616.610.851.030.0023142.34
850181.0373393453.4210517.5245152.84-10588.3-36552.480.991.140.01687.41
918752.573363749.3211654.740070.83-10832.88-38462.031.081.050.0035256.88
1040184.7773373650.6812096.0340588.4-11315.79-41315.661.071.10.0074550.48
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
atrnil38.2311240874215328.3823081.2939155.17-7024.52-12713.213.291.30.0211519.02
atrnil25.44-3988.6882275532.9314080.5526103.45-6984.79-12713.212.020.99-0.00093-48.64
50nil22.13-7772.64115387733.045974.677892.13-3049.48-3962.641.960.97-0.0032-67.59
atrtrail24.06-11120.3594336135.119463.326103.45-5301.79-11334.81.780.97-0.0028-118.3
50trail-13.26-11756.56113278623.898112.7226901.61-2683.72-3962.643.020.95-0.0035-104.04
atrtrail34.57-20564.3494336135.119177.1239063.22-5301.79-11334.81.730.94-0.0049-218.77
50trail32.31-22146.29114298525.447209.2411572.42-2720.17-3962.642.650.9-0.0083-194.27
atrtrail-15.2-35609.0894336135.118721.2238452.33-5301.79-11334.81.640.89-0.0089-378.82
50trail22.02-25020.13118368230.515596.327714.94-2762.05-3962.642.030.89-0.011-212.03
50nil32.66-37207.27108248422.229015.6411572.42-3018.84-3962.642.990.85-0.014-344.51

In the table above, row 1 shows the best exit criterion. Profit factor is 1.3. 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 28.38%, which is not acceptable. Avoid this strategy. Average return per trade is 0.76%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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:1.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018407 Feb 2018 (-2.64%), 26 Mar 2018 (6.63%), 02 Jul 2018 (7.34%), 04 Sep 2018 (-2.13%)
2017327 Jun 2017 (-2.15%), 12 Oct 2017 (5.64%), 06 Dec 2017 (5.46%)
2016423 May 2016 (7.14%), 22 Aug 2016 (-2.14%), 01 Sep 2016 (-1.83%), 03 Oct 2016 (-2.24%)
2015619 Feb 2015 (-3.12%), 12 Aug 2015 (-2.82%), 05 Oct 2015 (-2.99%), 21 Oct 2015 (-2.55%), 10 Dec 2015 (-2.24%), 14 Dec 2015 (-2.58%)
2014402 Jan 2014 (-2.35%), 30 Jun 2014 (9.27%), 05 Dec 2014 (-2.47%), 22 Dec 2014 (-2.68%)
2013511 Jan 2013 (-1.95%), 08 Mar 2013 (-2.48%), 17 Apr 2013 (8.13%), 25 Jun 2013 (-3.3%), 05 Jul 2013 (-3.23%)
2011121 Jan 2011 (-2.8%)
2010819 Mar 2010 (-3.65%), 07 Apr 2010 (-3.97%), 26 Apr 2010 (-3.65%), 21 May 2010 (-4.29%), 11 Aug 2010 (-3.44%), 01 Sep 2010 (8.32%), 14 Dec 2010 (-3.66%), 24 Dec 2010 (-3.28%)
2009120 Aug 2009 (17.63%)
2008111 Jan 2008 (-4.5%)
2007219 Feb 2007 (-3.86%), 30 Apr 2007 (-3.54%)
2006313 Apr 2006 (-3.8%), 28 Apr 2006 (13.22%), 27 Jul 2006 (16.79%)
2005318 Feb 2005 (-3.75%), 22 Sep 2005 (10.1%), 14 Oct 2005 (12.15%)
2004621 Jan 2004 (16.76%), 18 Mar 2004 (-4.88%), 30 Mar 2004 (-4.93%), 05 May 2004 (-3.92%), 21 Jul 2004 (-4.4%), 30 Jul 2004 (-4.07%)
2003105 Mar 2003 (-2.86%)
2002519 Mar 2002 (-4.17%), 09 Apr 2002 (-3.77%), 19 Jun 2002 (14.77%), 16 Jul 2002 (-4.23%), 18 Jul 2002 (-4.24%)
1999830 Mar 1999 (-5.99%), 21 May 1999 (-6.36%), 07 Jun 1999 (19.58%), 08 Sep 1999 (-5.67%), 18 Oct 1999 (-5.67%), 01 Nov 1999 (-5.77%), 15 Nov 1999 (19.53%), 17 Dec 1999 (14.37%)
1997524 Feb 1997 (9.48%), 14 Mar 1997 (-3.7%), 25 Apr 1997 (9.02%), 14 May 1997 (-3.66%), 27 May 1997 (-3.16%)
1996422 Jul 1996 (11.03%), 16 Aug 1996 (-3.07%), 23 Aug 1996 (-2.86%), 11 Nov 1996 (-2.7%)



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