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

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In this study, we evaluate the performance of strategy "Sell M&M when near 200 SMA and below 200 SMA and RSI is below 50 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: 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
113594.371911857.893569.8512402.87-3209.25-6494.571.111.530.032715.49
21502.341961331.587495.7413972.33-3344.01-12472.832.241.030.002579.07
3-2914.031991047.375675.0714257.32-5398.97-20951.091.050.95-0.0041-153.37
4-1.621912763.165190.7214399.82-8898.6-27092.390.581-1.9e-06-0.085
59986.091912763.165902.1117054.79-8691.32-27690.220.681.160.011525.58
613975.861912763.165220.7814024.82-6953.35-26005.430.751.290.018735.57
7-10173.931911857.895335.5420092.25-8608.11-25135.870.620.85-0.011-535.47
8-21340.321910952.635668.4717137.29-8669.45-24266.30.650.73-0.023-1123.17
9-31283.811991047.377742.6221232.23-10096.73-23315.220.770.69-0.03-1646.52
10-7001.171991047.379032.3525447.18-8829.24-17982.781.020.92-0.0067-368.48

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.53. 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 57.89%, which is not acceptable. Avoid this strategy. Average return per trade is 0.36%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, which is low, don't trade solely on the basis of this study.

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
nilnil-1113594.371911857.893569.8512402.87-3209.25-6494.571.111.530.032715.49
atrnil26.5513674.65207133512749.1416433.58-5813.02-8745.882.191.180.015683.73
200trail21.82-1151.062882028.576446.957112.39-2636.33-3675.472.450.98-0.002-41.11
200nil21.82-2016.462882028.576446.957112.39-2679.6-3675.472.410.96-0.0035-72.02
200trail32.04-4599.528721257232.149829.57-2629.74-3675.472.750.92-0.0073-164.27
atrtrail23.96-6681.142381534.788093.9115585.34-4762.16-8745.881.70.91-0.0084-290.48
atrnil310.4-10199.25204162020623.5124650.37-5793.33-8745.883.560.89-0.0096-509.96
200nil32.41-14998.532752218.529238.039829.57-2781.3-3675.473.320.75-0.024-555.5
atrtrail34.96-24437.092381534.785874.4110410.88-4762.16-8745.881.230.66-0.038-1062.48
atrtrail-14.96-24437.092381534.785874.4110410.88-4762.16-8745.881.230.66-0.038-1062.48
200trail-12.79-21423.2928721254828.759835.42-2629.74-3675.471.840.61-0.043-765.12

In the table above, row 1 shows the best exit criterion. Profit factor is 1.53. 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 57.89%, which is not acceptable. Avoid this strategy. Average return per trade is 0.36%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, 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, X=1, Profit Factor:1.53

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017222 May 2017 (-1.95%), 08 Sep 2017 (1.17%)
2016305 Jan 2016 (1.85%), 20 Oct 2016 (0.05%), 09 Nov 2016 (0.9%)
2015223 Oct 2015 (0.11%), 17 Dec 2015 (0.34%)
2014117 Jan 2014 (-0.8%)
2013205 Apr 2013 (-0.24%), 31 Jul 2013 (4.38%)
2012120 Jul 2012 (1.58%)
2011207 Feb 2011 (6.2%), 04 May 2011 (1.63%)
2007113 Apr 2007 (-2.4%)
2005129 Mar 2005 (-1.84%)
2003105 Feb 2003 (-0.51%)
1997104 Sep 1997 (-3.25%)
1996104 Oct 1996 (1.43%)
1995113 Dec 1995 (-1.83%)



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