Study: Sell M&M when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell M&M when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)" 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
1-22081.141569402895.886479.48-4384.05-13158.860.660.44-0.06-1472.08
2-50878.641551033.333286.554928.19-6731.14-20164.170.490.24-0.093-3391.91
3-23750.571569405205.5813376.51-6109.34-22594.910.850.57-0.042-1583.37
4-15001.25158753.336245.1719065.05-9280.38-26575.750.670.77-0.02-1000.08
5-7891.231510566.675351.0811292.59-12280.41-31588.650.440.87-0.01-526.08
66835.721510566.676543.3213151.23-11719.5-28676.740.561.120.0087455.71
7-19912.46158753.335330.167280.51-8936.25-28271.290.60.68-0.028-1327.5
8-79377.441569405585.4510701.21-12543.35-35385.180.450.3-0.088-5291.83
9-77349.21551033.335681.518307.52-10575.68-38186.510.540.27-0.086-5156.61
10-79092.371569405239.6210194.31-12281.12-42388.50.430.28-0.08-5272.82
Although, strategy looks good but profit factor on day 2 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
atrnil26.81-19282.821651131.2516460.9826267.36-9235.25-18598.211.780.81-0.019-1205.18
atrtrail24.62-20341.961651131.2512634.8726267.36-7592.39-18598.211.660.76-0.023-1271.37
atrnil310.44-76565.31621412.524815.5928994.04-9014.03-18598.212.750.39-0.082-4785.33
atrtrail34.88-58320.2816412257962.6120637.14-7514.23-18598.211.060.35-0.084-3645.02
atrtrail-14.94-67684.3316412255621.611273.09-7514.23-18598.210.750.25-0.12-4230.27

In the table above, row 1 shows the best exit criterion. Profit factor is 0.81. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 31.25%, which is not acceptable. Avoid this strategy. Average return per trade is -0.6%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
M&M Performance, Profit Factor:0.81

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018114 Nov 2018 (-3.45%)
2016203 Feb 2016 (6.26%), 25 Nov 2016 (-3.71%)
2015216 Feb 2015 (-3.26%), 23 Oct 2015 (5.22%)
2013120 Aug 2013 (-3.98%)
2012111 Jan 2012 (-3.58%)
2011118 Mar 2011 (-3.93%)
2008118 Feb 2008 (13.13%)
2007110 May 2007 (-3.63%)
2002107 Aug 2002 (9.66%)
2000124 Apr 2000 (-9.3%)
1997113 Nov 1997 (6.88%)
1996311 Jan 1996 (-7.77%), 04 Dec 1996 (-4.12%), 05 Dec 1996 (-4.06%)



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