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

home > technical-strategy > m&m > 5

In this study, we evaluate the performance of strategy "Buy M&M when near 200 SMA and above 200 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
144308.2965313447.693703.3418618.48-2073.39-7527.441.791.630.034681.67
242744.6565362955.384170.3713149.45-3703.06-10757.631.131.40.026657.61
35502.5665323349.235523.4116594.41-5189.29-21106.431.061.030.002584.65
45254.0765353053.856000.8719724.28-6825.87-35415.870.881.030.001980.83
5-79074.865313447.697588.2325062.42-9244.41-82559.710.820.75-0.018-1216.54
6-34170.4865343152.318000.225874.87-9876.69-80576.840.810.89-0.0076-525.7
7-41571.3165293644.629537.1432025.45-8837.45-81177.711.080.87-0.0089-639.56
8-61807.4865323349.238702.8733616.12-10312.1-78714.140.840.82-0.013-950.88
9-47735.4865323349.239751.6334569.25-10902.65-78714.140.890.87-0.0096-734.39
10-3907.4265333250.7711332.2550490.73-11808.49-78053.180.960.99-0.00072-60.11

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.63. 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 47.69%, which is not acceptable. Avoid this strategy. Average return per trade is 0.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, 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-1144308.2965313447.693703.3418618.48-2073.39-7527.441.791.630.034681.67
atrtrail35.4297330.878324641.0310535.1734994.38-5212.93-14538.612.021.410.0261247.83
atrtrail24.7163582.5278324641.039480.5423479.03-5212.93-14538.611.821.270.019815.16
atrnil38.8373607.016018423019950.8235218.54-6797.8-20714.412.931.260.0191226.78
atrtrail-16.0544496.1878324641.038884.0940700.65-5212.93-14538.611.71.190.013570.46
200nil32.4721592.6597257225.778919.3511727.27-2797.1-3743.433.191.110.0087222.6
atrnil26.864518.6664224234.3813129.3423479.03-6769.69-20714.411.941.020.001470.6
200trail32.23-9477.28103267725.247166.1711343.14-2542.83-3743.432.820.95-0.0041-92.01
200nil21.94-23066.621003070305809.267818.18-2819.2-3826.292.060.88-0.012-230.67
200trail-13.02-31337.67102247823.536773.1915736.77-2485.82-3743.432.720.84-0.013-307.23
200trail21.81-37036.52105297627.625517.357562.09-2592.63-3826.292.130.81-0.019-352.73

In the table above, row 1 shows the best exit criterion. Profit factor is 1.63. 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 47.69%, which is not acceptable. Avoid this strategy. Average return per trade is 0.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, 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:1.63

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018107 Mar 2018 (2.66%)
2017405 May 2017 (0.92%), 06 Sep 2017 (1.78%), 11 Oct 2017 (1.42%), 02 Nov 2017 (-0.34%)
2016222 Mar 2016 (-0.3%), 18 Oct 2016 (-0.41%)
20151205 Jan 2015 (-0.56%), 02 Feb 2015 (-3.38%), 19 Feb 2015 (0.17%), 11 Mar 2015 (-1.52%), 07 Apr 2015 (0.42%), 18 May 2015 (-0.78%), 09 Jul 2015 (-1.14%), 29 Sep 2015 (1.13%), 20 Oct 2015 (0.48%), 04 Nov 2015 (0.43%), 11 Dec 2015 (1.81%), 29 Dec 2015 (-0.13%)
2014307 Jan 2014 (0.61%), 21 Jan 2014 (1.42%), 13 Feb 2014 (-0.25%)
2013503 Apr 2013 (0.53%), 26 Jun 2013 (2.47%), 11 Jul 2013 (-1.15%), 29 Oct 2013 (-0.54%), 13 Nov 2013 (3.33%)
2012416 Feb 2012 (3.36%), 20 Apr 2012 (-1.63%), 02 Jul 2012 (0.42%), 19 Jul 2012 (-0.99%)
2011614 Feb 2011 (-1.77%), 03 May 2011 (-0.59%), 05 Jul 2011 (-0.28%), 19 Jul 2011 (-1.49%), 17 Aug 2011 (-0.27%), 29 Nov 2011 (-0.06%)
2009102 Apr 2009 (9.31%)
2007806 Mar 2007 (4.95%), 17 Apr 2007 (-0.52%), 08 May 2007 (-0.31%), 06 Jul 2007 (-1.07%), 24 Jul 2007 (-1.69%), 24 Sep 2007 (-2.37%), 23 Oct 2007 (-1.94%), 07 Nov 2007 (-1.53%)
2005228 Mar 2005 (-0.41%), 24 May 2005 (1.58%)
2004513 Aug 2004 (-1.55%), 03 Sep 2004 (1.8%), 24 Sep 2004 (-1.76%), 08 Oct 2004 (-0.01%), 08 Nov 2004 (0.1%)
2003203 Feb 2003 (0.25%), 31 Mar 2003 (-0.2%)
2002204 Jan 2002 (3.22%), 05 Jun 2002 (0.05%)
2001114 Dec 2001 (-3.76%)
2000103 Mar 2000 (2.84%)
1997421 Apr 1997 (1.5%), 13 May 1997 (3.05%), 03 Jun 1997 (-0.56%), 09 Oct 1997 (1.23%)
1996116 Jul 1996 (2.85%)
1995127 Dec 1995 (1.32%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play