Study: Buy M&M when there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy M&M when there is Golden 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: 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
1-7334.82169756.252169.547346.73-3837.24-8979.090.570.73-0.025-458.43
282781.891611568.758794.9349490-2792.47-5740.063.156.930.0855173.87
385773.251610662.511539.8446841.9-4937.53-6144.942.343.90.0815360.83
493367.761610662.512539.8566045.51-5338.47-9417.622.353.910.075835.48
592361.24169756.2514686.8256845.82-5688.59-8645.682.583.320.0725772.58
684316.2416885015801.0547273.44-5261.52-7290.59330.0745269.77
793943.6516885015444.3448705.37-3701.38-8881.94.174.170.0875871.48
878292.311610662.510537.9239623.38-4514.48-8142.282.333.890.0894893.27
91258431613381.2511016.445625.74-5790.12-6308.181.98.240.137865.18
101396991611568.7514443.1649901.92-3835.08-8252.553.778.290.138731.21
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
M&M Performance, X=10, Profit Factor:8.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017127 Nov 2017 (-0.89%)
2016105 May 2016 (-0.74%)
2015216 Jul 2015 (3.2%), 26 Nov 2015 (-4.13%)
2013109 Dec 2013 (-0.16%)
2012110 Aug 2012 (4.26%)
2011105 Sep 2011 (4.01%)
2009114 May 2009 (24.95%)
2007120 Nov 2007 (5.73%)
2005123 Jun 2005 (2.76%)
2004108 Dec 2004 (9.5%)
2003106 Jan 2003 (1.61%)
2002115 Jan 2002 (12.69%)
1999122 Feb 1999 (6.0%)
1997131 Jan 1997 (4.73%)
1996128 Jun 1996 (-3.67%)

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
atrnil37.331379111881044.4425047.5835190-6247.01-10703.594.013.210.0937661.7
atrtrail34.721048601881044.4419311.1435190-4962.93-10703.593.893.110.085825.54
atrnil25.0690993.6118995016315.3523460-6204.95-10703.592.632.630.0855055.2
atrtrail24.1762517.131881044.4414018.323460-4962.93-10703.592.822.260.0653473.17
atrtrail-15.7857310.861881044.4413367.5234675.74-4962.93-10703.592.692.150.0573183.94

In the table above, row 1 shows the best exit criterion. Profit factor is 3.21. Strategy is very good and impressively bullish. Percentage of profitable trades is 44.44%, which is not acceptable. Avoid this strategy. Average return per trade is 3.83%, which is very good. Sharpe Ratio is 0.093, 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:3.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017127 Nov 2017 (-1.78%)
2016105 May 2016 (-2.61%)
2015216 Jul 2015 (7.02%), 26 Nov 2015 (-2.33%)
2013109 Dec 2013 (-2.33%)
2012110 Aug 2012 (6.48%)
2011105 Sep 2011 (9.58%)
2009114 May 2009 (17.59%)
2007220 Nov 2007 (-5.35%), 21 Nov 2007 (17.3%)
2005123 Jun 2005 (-2.65%)
2004108 Dec 2004 (9.23%)
2003206 Jan 2003 (-3.19%), 07 Jan 2003 (-3.31%)
2002115 Jan 2002 (16.03%)
1999122 Feb 1999 (16.96%)
1997131 Jan 1997 (-3.96%)
1996128 Jun 1996 (-3.72%)



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