Study: Sell M&M when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

home > technical-strategy > m&m > 9

In this study, we evaluate the performance of strategy "Sell M&M when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA" 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
18040.4726141253.852829.678755.76-2631.25-7160.621.081.250.018309.25
239076.1326141253.855958.0213972.33-3694.68-12472.831.611.880.0461502.93
3-3547.926121446.155207.0114257.32-4716.58-20951.091.10.95-0.004-136.46
42484.4326161061.545161.1214399.82-8009.35-27092.390.641.030.002295.56
5-4123.1126161061.545838.8717054.79-9754.5-27690.220.60.96-0.0033-158.58
65655.9726141253.857353.3314024.82-8107.55-26005.430.911.060.0045217.54
7-13904.2726141253.857805.6920092.25-10265.33-25135.870.760.89-0.0093-534.78
8-39510.8826141253.857526.6617137.29-12073.67-33200.530.620.73-0.025-1519.65
9-53950.24261313509745.4921339.23-13895.51-45506.860.70.7-0.027-2075.01
10-52821.75261313509184.4225447.18-13247.64-49638.480.690.69-0.027-2031.61
Although, strategy looks good but profit factor on day 1 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
atrnil26.81-18431.532681830.7713329.2416839.54-6948.08-12852.281.920.85-0.015-708.91
200trail31.91-14450.974393420.938189.439829.57-2592.82-3791.313.160.84-0.015-336.07
atrtrail35.16-19499.6831102132.268664.3124225.96-5054.42-9267.61.710.82-0.016-629.02
200nil21.81-15920.8742113126.196262.867203.33-2735.88-3791.312.290.81-0.019-379.07
atrtrail24.32-22155.6331102132.268398.7216150.64-5054.42-9267.61.660.79-0.02-714.7
200nil32.29-20545.994183319.518992.289829.57-2802.55-3791.313.210.78-0.022-501.12
200trail21.67-23969.7843103323.266168.827112.39-2595.69-3791.312.380.72-0.03-557.44
200trail-12.6-31673.74393420.936275.7918757.9-2592.82-3791.312.420.64-0.034-736.6
atrtrail-15.29-39938.1131102132.266620.4714312.04-5054.42-9267.61.310.62-0.041-1288.33
atrnil310.19-67038.942642215.3820876.9124225.96-6843.03-12852.283.050.55-0.051-2578.42

In the table above, row 1 shows the best exit criterion. Profit factor is 0.85. 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 30.77%, which is not acceptable. Avoid this strategy. Average return per trade is -0.35%, 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:0.853

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017422 May 2017 (-2.04%), 24 May 2017 (-2.16%), 08 Sep 2017 (-1.92%), 12 Sep 2017 (4.11%)
2016219 Oct 2016 (-2.35%), 09 Nov 2016 (-2.85%)
2015224 Aug 2015 (6.77%), 17 Dec 2015 (6.05%)
2014103 Jan 2014 (5.16%)
2013205 Apr 2013 (-2.73%), 10 Jul 2013 (6.94%)
2011204 Feb 2011 (8.42%), 21 Nov 2011 (-3.98%)
2007218 Apr 2007 (-3.96%), 19 Nov 2007 (-4.63%)
2006120 Jul 2006 (-6.43%)
2005229 Mar 2005 (-3.74%), 07 Apr 2005 (7.79%)
2004116 Aug 2004 (-3.88%)
2003105 Feb 2003 (-3.62%)
2002117 Jul 2002 (-4.41%)
1997420 May 1997 (-3.73%), 04 Jun 1997 (-3.11%), 04 Sep 1997 (-4.37%), 15 Oct 1997 (8.08%)
1996104 Oct 1996 (-2.62%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play