Study: Buy MCDOWELL-N when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy MCDOWELL-N when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1-17675.9145935.714091.697722.01-4237.15-17933.110.970.54-0.051-1262.56
2-21444.691441028.577948.0816857.29-5323.7-22710.911.490.6-0.043-1531.76
3-10142.72146842.866011.5212238.65-5776.48-12544.521.040.78-0.026-724.48
414406.7148657.146572.3815749.98-6362.06-13986.621.031.380.0311029.05
513139.03149564.297657.7320703.72-11156.1-23520.760.691.240.019938.5
657682.42149564.299946.0622035.93-6366.42-11797.411.562.810.14120.17
785653.191411378.5710567.2718812.33-10195.59-14920.981.043.80.156118.08
857302.461411378.577937.916238.31-10004.83-15182.840.792.910.114093.03
959524.841410471.439218.4323151.45-8164.86-16331.311.132.820.114251.77
1046727.77148657.1411002.4825817.73-6882.01-11848.591.62.130.073337.7
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
MCDOWELL-N Performance, X=7, Profit Factor:3.8

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019212 Jun 2019 (-4.11%), 09 Jul 2019 (5.79%)
2018205 Nov 2018 (1.85%), 20 Nov 2018 (7.02%)
2017201 Feb 2017 (2.65%), 12 May 2017 (-7.46%)
2016106 Oct 2016 (-3.72%)
2015105 Nov 2015 (2.05%)
2014120 Oct 2014 (7.03%)
2012220 Apr 2012 (2.29%), 29 Jun 2012 (4.57%)
2008107 Apr 2008 (9.41%)
2004130 Jul 2004 (6.24%)
2003115 May 2003 (9.22%)

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
atrtrail25.47618115966012052.2221971.14-5381.49-9213.792.243.360.125078.73
atrtrail36.451012.41596609255.7130378.63-5381.49-9213.791.722.580.0843400.83
atrnil28.5767385.4514775016628.2121971.14-7001.72-9213.792.372.370.0944813.25
atrtrail-16.5334692.491596607442.3814058.73-5381.49-9213.791.382.070.0772312.83
atrnil314.7751263.27135838.4622252.1727713.73-7499.7-10985.572.971.850.0633943.33
200trail-12.757570.61164122511105.5620948.79-3070.97-3996.953.621.210.016473.16
200trail31.69-3619.316412258308.0811572.61-3070.97-3996.952.710.9-0.011-226.21
200nil31.69-4418.116412258308.0811572.61-3137.54-3996.952.650.88-0.013-276.13
200trail21.69-14696.7416412255538.727715.07-3070.97-3996.951.80.6-0.057-918.55
200nil21.69-15495.5416412255538.727715.07-3137.54-3996.951.770.59-0.06-968.47

In the table above, row 1 shows the best exit criterion. Profit factor is 3.36. Strategy is very good and impressively bullish. Percentage of profitable trades is 60%, which is not acceptable. Avoid this strategy. Average return per trade is 2.54%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MCDOWELL-N Performance, Profit Factor:3.36

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019212 Jun 2019 (-3.0%), 09 Jul 2019 (5.67%)
2018205 Nov 2018 (-0.33%), 20 Nov 2018 (6.91%)
2017201 Feb 2017 (2.34%), 12 May 2017 (-3.17%)
2016106 Oct 2016 (-3.14%)
2015105 Nov 2015 (0.83%)
2014120 Oct 2014 (6.64%)
2012220 Apr 2012 (-4.61%), 29 Jun 2012 (9.24%)
2008107 Apr 2008 (10.99%)
2004230 Jul 2004 (1.49%), 11 Aug 2004 (10.13%)
2003115 May 2003 (-1.89%)



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