Study: Sell MCDOWELL-N when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell MCDOWELL-N when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell MCDOWELL-N 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
123453.4734191555.884786.2512830.61-4499.02-8878.341.061.350.029689.81
2-14090.23341717505399.7312202.21-6228.57-13769.580.870.87-0.014-414.42
3-4652.934151944.126485.0224063.3-5364.64-26097.561.210.95-0.0038-136.85
420546.7634142041.1810412.8843835.62-6261.68-22439.021.661.160.012604.32
519736.0234181652.948981.8833788.72-8871.12-25203.991.011.140.011580.47
648228.1134181652.9410858.5729487.35-9201.64-19945.61.181.330.0271418.47
756459.2234181652.9411610.126152.05-9532.67-20697.811.221.370.0311660.57
875163.934191555.8813100.7231807.69-11583.32-27379.871.131.430.0362210.7
912884434181652.9415217.8246173.08-9067.27-25747.961.681.890.0593789.54
1017889334201458.8215815.2753865.38-9815.17-18198.871.612.30.0775261.56
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
MCDOWELL-N Performance, X=10, Profit Factor:2.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019404 Jun 2019 (9.02%), 26 Jun 2019 (1.11%), 11 Jul 2019 (-2.92%), 30 Jul 2019 (-3.47%)
2018409 Jul 2018 (9.66%), 06 Nov 2018 (-1.93%), 10 Dec 2018 (1.79%), 26 Dec 2018 (4.14%)
2017427 Jan 2017 (-3.62%), 08 Mar 2017 (1.61%), 24 Mar 2017 (15.17%), 11 May 2017 (6.42%)
2016107 Oct 2016 (4.1%)
2015203 Nov 2015 (-2.6%), 23 Nov 2015 (8.96%)
2014331 Jan 2014 (5.6%), 13 Mar 2014 (-6.43%), 23 Jun 2014 (7.44%)
2012104 May 2012 (13.59%)
2010224 May 2010 (-4.34%), 13 Dec 2010 (-6.67%)
2009225 May 2009 (2.65%), 08 Jun 2009 (3.71%)
2008204 Mar 2008 (6.5%), 22 Apr 2008 (3.02%)
2006231 May 2006 (26.93%), 28 Jul 2006 (-6.97%)
2004506 Feb 2004 (-6.53%), 22 Mar 2004 (-9.1%), 11 May 2004 (9.04%), 23 Jul 2004 (-1.01%), 06 Aug 2004 (-7.62%)
2003120 May 2003 (-5.49%)
2002115 Jul 2002 (17.69%)

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
atrnil36.710444340132732.525626.2346593.95-8470.31-15419.983.031.460.0372611.07
atrnil24.8679097.9642172540.4816860.3331062.63-8301.1-15419.982.031.380.0341883.28
atrtrail34.5660537.644518274012523.7634473.71-6107.04-14626.782.051.370.0281345.28
atrtrail-15.4455990.594518274012271.1548999.35-6107.04-14626.782.011.340.0251244.24
atrtrail2441910.384518274011488.9125138.33-6107.04-14626.781.881.250.022931.34
200nil31.656005.5551123923.539316.511993.11-2712.63-3906.443.431.060.0054117.76
200trail31.59-618.0951114021.579433.6511993.11-2609.71-3906.443.610.99-0.00057-12.12
200trail-12.29-18615.815184315.6911250.4526552.68-2526.03-3906.444.450.83-0.015-365.02
200nil21.51-31260.4551123923.5362117995.41-2712.63-3906.442.290.7-0.038-612.95
200trail21.47-35208.1351114021.576289.17995.41-2609.71-3906.442.410.66-0.043-690.36

In the table above, row 1 shows the best exit criterion. Profit factor is 1.46. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 32.5%, which is not acceptable. Avoid this strategy. Average return per trade is 1.31%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, 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.
MCDOWELL-N Performance, Profit Factor:1.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019501 Jan 2019 (9.54%), 04 Jun 2019 (8.76%), 26 Jun 2019 (-3.02%), 11 Jul 2019 (-2.84%), 30 Jul 2019 (-3.26%)
2018409 Jul 2018 (10.89%), 06 Nov 2018 (-4.24%), 10 Dec 2018 (-3.34%), 26 Dec 2018 (-3.5%)
2017527 Jan 2017 (-3.06%), 08 Mar 2017 (-2.68%), 24 Mar 2017 (7.8%), 11 May 2017 (-3.08%), 15 May 2017 (9.66%)
2016107 Oct 2016 (9.69%)
2015303 Nov 2015 (-2.92%), 16 Nov 2015 (-3.13%), 23 Nov 2015 (9.99%)
2014431 Jan 2014 (-3.38%), 07 Feb 2014 (-3.13%), 23 Jun 2014 (-3.29%), 26 Jun 2014 (10.31%)
2012104 May 2012 (17.03%)
2010224 May 2010 (-3.67%), 13 Dec 2010 (-4.11%)
2009325 May 2009 (-6.85%), 08 Jun 2009 (-7.31%), 18 Jun 2009 (-7.71%)
2008304 Mar 2008 (-6.28%), 22 Apr 2008 (-5.59%), 25 Apr 2008 (18.71%)
2006231 May 2006 (23.3%), 28 Jul 2006 (-4.95%)
2004506 Feb 2004 (-6.57%), 22 Mar 2004 (-4.84%), 11 May 2004 (13.66%), 23 Jul 2004 (-4.02%), 06 Aug 2004 (-4.34%)
2003120 May 2003 (-3.26%)
2002115 Jul 2002 (17.24%)



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