Study: Buy M&M when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy M&M when 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
15457.6647281959.574464.1424450.89-6291.48-18815.330.711.050.0031116.12
245795.9547272057.457518.0432684.07-7859.56-30014.120.961.290.019974.38
347788.9447272057.458307.8131538.85-8826.09-28870.080.941.270.0181016.79
49488.4447262155.329900.8329428.68-11806.34-39157.350.841.040.0029201.88
518623.6847272057.4510284.1441442.36-12952.4-47953.090.791.070.0052396.25
6-17415.2547272057.4510491.2441366.18-15033.94-60115.10.70.94-0.0045-370.54
711439.2347262155.3211242.2143099.88-13374.2-48908.680.841.040.003243.39
898301.0747262155.3213760.1643486.67-12355.39-36811.811.111.380.0252091.51
912994147222546.8117472.2945012.9-10177.99-31729.831.721.510.0312764.7
1014310347232448.9418306.6157135.36-11581.22-45173.21.581.510.033044.74
Although, strategy looks good but profit factor on day 6 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
atrnil38.217919864184628.1228566.4646189.96-7282.57-20714.413.921.530.0332799.97
atrnil24.7912453367254237.3117232.1930793.3-7292.19-20714.412.361.410.031858.7
atrtrail-14.6184428.1570274338.5712558.3160812.33-5922-17652.152.121.330.0181206.12
atrtrail34.2175657.5870274338.5712233.4737225.84-5922-17652.152.071.30.0181080.82
atrtrail23.6950274.6470274338.5711293.3630793.3-5922-17652.151.911.20.014718.21

In the table above, row 1 shows the best exit criterion. Profit factor is 1.53. 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 28.12%, which is not acceptable. Avoid this strategy. Average return per trade is 1.4%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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:1.53

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018319 Feb 2018 (-2.54%), 20 Feb 2018 (8.14%), 28 Sep 2018 (-3.91%)
2017228 Jun 2017 (-2.16%), 04 Sep 2017 (-1.72%)
2016420 May 2016 (-2.42%), 11 Aug 2016 (-2.34%), 26 Sep 2016 (-1.94%), 14 Oct 2016 (-2.27%)
2014520 Jun 2014 (10.66%), 23 Sep 2014 (-2.21%), 10 Oct 2014 (-2.64%), 13 Oct 2014 (-2.86%), 16 Oct 2014 (9.24%)
2013616 Jan 2013 (-2.15%), 18 Jan 2013 (-2.32%), 26 Feb 2013 (6.31%), 01 Apr 2013 (-2.79%), 13 Jun 2013 (-3.41%), 16 Dec 2013 (-2.39%)
2011328 Jan 2011 (-3.9%), 15 Nov 2011 (-3.72%), 18 Nov 2011 (-3.84%)
2010327 Jan 2010 (-4.4%), 05 Feb 2010 (13.8%), 16 Dec 2010 (-3.77%)
2009213 Jul 2009 (17.75%), 19 Aug 2009 (18.61%)
2007312 Feb 2007 (-3.53%), 27 Feb 2007 (-4.13%), 28 Feb 2007 (-4.83%)
2006112 Dec 2006 (10.25%)
2005312 Jan 2005 (-3.73%), 17 Mar 2005 (-2.88%), 21 Mar 2005 (-3.62%)
2004422 Jan 2004 (17.63%), 22 Mar 2004 (16.08%), 03 May 2004 (-4.27%), 17 May 2004 (23.09%)
2003328 Jan 2003 (-3.15%), 29 Jan 2003 (-3.67%), 31 Mar 2003 (8.08%)
2002222 Apr 2002 (-4.31%), 29 Apr 2002 (-4.54%)
2000201 Mar 2000 (-8.83%), 03 Mar 2000 (-10.36%)
1999805 Apr 1999 (-6.36%), 09 Apr 1999 (-6.13%), 15 Apr 1999 (18.11%), 27 May 1999 (21.6%), 07 Sep 1999 (-5.8%), 16 Sep 1999 (-5.38%), 04 Oct 1999 (17.75%), 20 Dec 1999 (15.17%)
1997427 Mar 1997 (-3.01%), 25 Aug 1997 (-3.39%), 29 Aug 1997 (-3.73%), 02 Sep 1997 (12.47%)
1996615 Jul 1996 (-3.28%), 16 Jul 1996 (12.37%), 20 Sep 1996 (-1.96%), 23 Sep 1996 (-2.25%), 27 Sep 1996 (-2.26%), 03 Oct 1996 (-2.42%)



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