Study: Buy M&M when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy M&M when below 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
1-78202.561005446543561.7518324.47-5881.24-22482.640.610.71-0.024-782.03
2-1802671004951495466.1617788.03-8786.44-48850.950.620.6-0.034-1802.67
3-98631.671005050506982.9920951.09-8955.62-68207.490.780.78-0.017-986.32
4-60250.221005050508084.6727092.39-9289.68-53342.090.870.87-0.01-602.5
5-29516.111005446548871.0328605.87-11055.47-41339.460.80.94-0.0045-295.16
644140.210053475310101.4730614.7-10451.87-36928.40.971.090.0067441.4
7-22153.781005545559998.9538449.18-12713.25-44174.760.790.96-0.0031-221.54
8-6550.3310055455511740.4344194.46-14494.98-49946.060.810.99-0.00079-65.5
916748.0410054465411766.8640458.02-13449.18-41423.950.871.030.0021167.48
1020579.2910058425811451.6546605.06-15324.19-44120.820.751.030.0025205.79
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
atrnil39.363315121625011230.8628749.28109440-9874.57-30785.132.911.30.022046.37
atrnil25.632490821746710738.5119232.5572959.89-9714.94-30785.131.981.240.0181431.51
atrtrail34.42-21234.981986813034.3414217.65109440-7600.27-30785.131.870.98-0.0015-107.25
atrtrail23.83-29090.761986912934.8513880.1772959.89-7649.79-30785.131.810.97-0.0023-146.92
atrtrail-15.1-1177651986813034.3412798.0982259.58-7600.27-30785.131.680.88-0.0092-594.77

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 30.86%, which is not acceptable. Avoid this strategy. Average return per trade is 1.02%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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
20191422 Jan 2019 (-2.39%), 25 Jan 2019 (-2.5%), 11 Feb 2019 (-3.01%), 15 Feb 2019 (8.68%), 04 Apr 2019 (-2.4%), 06 May 2019 (-2.18%), 08 May 2019 (-2.23%), 15 May 2019 (6.88%), 17 Jun 2019 (-2.58%), 19 Jun 2019 (7.93%), 18 Jul 2019 (-2.47%), 19 Jul 2019 (-2.79%), 24 Jul 2019 (-2.81%), 07 Aug 2019 (9.49%)
2018303 Oct 2018 (-4.41%), 05 Oct 2018 (-4.61%), 11 Oct 2018 (-4.71%)
2017422 Mar 2017 (6.6%), 08 Sep 2017 (-1.92%), 25 Sep 2017 (-1.93%), 27 Sep 2017 (6.03%)
2016707 Jan 2016 (-2.61%), 11 Jan 2016 (-2.68%), 11 Feb 2016 (10.5%), 17 Oct 2016 (-2.46%), 11 Nov 2016 (-3.53%), 17 Nov 2016 (-3.84%), 24 Nov 2016 (11.58%)
20151003 Feb 2015 (-3.03%), 06 Feb 2015 (-3.1%), 09 Feb 2015 (9.75%), 20 Mar 2015 (9.27%), 27 Apr 2015 (9.33%), 24 Aug 2015 (-3.38%), 01 Sep 2015 (-3.54%), 02 Sep 2015 (11.4%), 30 Oct 2015 (8.29%), 16 Dec 2015 (-2.97%)
2014303 Jan 2014 (-2.58%), 10 Jan 2014 (-2.63%), 04 Feb 2014 (8.56%)
2013705 Apr 2013 (-2.73%), 15 Apr 2013 (7.73%), 17 Jul 2013 (-3.55%), 02 Aug 2013 (-3.55%), 19 Aug 2013 (-3.88%), 21 Aug 2013 (-4.1%), 02 Sep 2013 (13.07%)
2012504 Jan 2012 (11.9%), 13 Mar 2012 (10.39%), 09 May 2012 (-2.94%), 17 May 2012 (9.27%), 25 Jul 2012 (6.3%)
20111104 Feb 2011 (-4.21%), 08 Feb 2011 (-4.69%), 25 Feb 2011 (14.17%), 16 May 2011 (-3.46%), 06 Jun 2011 (-3.36%), 20 Jun 2011 (8.97%), 04 Aug 2011 (-3.04%), 05 Aug 2011 (10.15%), 21 Nov 2011 (-3.98%), 23 Nov 2011 (-4.1%), 15 Dec 2011 (-4.13%)
20081615 Jan 2008 (-4.84%), 21 Jan 2008 (-6.69%), 12 Feb 2008 (24.63%), 04 Apr 2008 (-7.12%), 04 Jun 2008 (-4.57%), 24 Jun 2008 (-4.38%), 27 Jun 2008 (-5.57%), 30 Jun 2008 (-6.47%), 01 Jul 2008 (23.08%), 07 Oct 2008 (-6.54%), 16 Oct 2008 (-9.27%), 22 Oct 2008 (-10.9%), 23 Oct 2008 (-12.43%), 24 Oct 2008 (-15.39%), 27 Oct 2008 (54.72%), 02 Dec 2008 (41.69%)
2007505 Mar 2007 (17.52%), 01 Aug 2007 (-4.55%), 16 Aug 2007 (-4.52%), 21 Aug 2007 (15.24%), 21 Nov 2007 (17.3%)
2006119 Jul 2006 (20.19%)
2005215 Apr 2005 (-3.74%), 27 Apr 2005 (11.38%)
2004316 Aug 2004 (-3.88%), 23 Aug 2004 (11.38%), 25 Oct 2004 (8.48%)
2003130 Jan 2003 (11.66%)
2002820 May 2002 (-4.8%), 22 May 2002 (16.1%), 17 Jul 2002 (-4.41%), 25 Jul 2002 (-4.51%), 26 Jul 2002 (-4.68%), 19 Aug 2002 (-4.38%), 29 Aug 2002 (-3.78%), 25 Oct 2002 (8.41%)
20011409 Mar 2001 (-7.56%), 12 Mar 2001 (-8.48%), 13 Mar 2001 (-10.21%), 15 Jun 2001 (-5.19%), 22 Jun 2001 (-5.56%), 26 Jun 2001 (-5.75%), 27 Jun 2001 (-6.55%), 25 Jul 2001 (-4.98%), 31 Jul 2001 (15.85%), 31 Aug 2001 (-4.59%), 12 Sep 2001 (-5.25%), 13 Sep 2001 (-5.81%), 14 Sep 2001 (-6.22%), 17 Sep 2001 (21.57%)
20001407 Mar 2000 (-10.54%), 09 Mar 2000 (-12.21%), 17 Apr 2000 (-10.13%), 11 May 2000 (-10.93%), 12 May 2000 (-12.4%), 24 Jul 2000 (-6.35%), 04 Aug 2000 (23.02%), 05 Oct 2000 (-4.49%), 06 Oct 2000 (-4.68%), 09 Oct 2000 (-5.07%), 13 Oct 2000 (-5.15%), 17 Oct 2000 (-5.67%), 23 Oct 2000 (-5.97%), 26 Dec 2000 (15.79%)
19981615 Jan 1998 (-4.06%), 16 Jan 1998 (-4.31%), 27 Jan 1998 (-4.8%), 28 Jan 1998 (-5.24%), 11 Feb 1998 (16.25%), 13 May 1998 (-4.53%), 19 May 1998 (-4.51%), 28 May 1998 (-4.22%), 01 Jun 1998 (-5.03%), 02 Jun 1998 (-5.88%), 16 Jun 1998 (-7.02%), 23 Jul 1998 (-5.49%), 24 Jul 1998 (-6.23%), 27 Jul 1998 (-7.01%), 03 Aug 1998 (21.68%), 13 Oct 1998 (20.71%)
19971031 Mar 1997 (11.37%), 04 Sep 1997 (13.12%), 14 Oct 1997 (-4.23%), 23 Oct 1997 (-4.02%), 28 Oct 1997 (-4.58%), 19 Nov 1997 (-4.12%), 20 Nov 1997 (-4.31%), 11 Dec 1997 (-4.24%), 12 Dec 1997 (-4.52%), 15 Dec 1997 (14.39%)
1996809 Jan 1996 (26.26%), 22 Mar 1996 (12.31%), 04 Oct 1996 (-2.62%), 07 Oct 1996 (8.35%), 22 Nov 1996 (-2.97%), 25 Nov 1996 (-3.34%), 02 Dec 1996 (-3.77%), 03 Dec 1996 (-3.84%)



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