Study: Sell MCDOWELL-N when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell MCDOWELL-N when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50" 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
120012.9626161061.542549.449137.08-2077.82-5355.821.231.960.056769.73
21972026151157.694778.8613964.5-4723.9-13929.791.011.380.029758.46
314703.6526161061.544334.8611257.79-5465.4-11934.770.791.270.023565.52
4480226141253.857253.220629.1-8061.9-29322.850.91.050.0042184.69
512736.5126151157.697994.0416444.61-9743.1-35701.330.821.120.01489.87
6-24768.7926161061.548018.0417622.13-15305.74-61698.910.520.84-0.014-952.65
7-31234.09261313509076.5224141.56-11479.14-51451.030.790.79-0.019-1201.31
8-50983.39261313508625.0326817.27-12546.83-49062.880.690.69-0.03-1960.9
9-88610.2261313508264.3524764.32-15080.52-68591.290.550.55-0.046-3408.08
10-46731.91261313509296.1826323.36-12890.94-51360.340.720.72-0.027-1797.38

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.96. 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 61.54%, which is good. Average return per trade is 0.38%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.056, which is low, don't trade solely on the basis of this study.

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
nilnil-1120012.9626161061.542549.449137.08-2077.82-5355.821.231.960.056769.73
atrtrail-1749767.2730141646.679804.4139440.01-5468.4-13003.921.791.570.0361658.91
atrtrail35.823395.6630141646.677920.7218821.68-5468.4-13003.921.451.270.022779.86
atrnil27.5826370.3824101441.6712648.0116826.51-7150.7-13003.921.771.260.0261098.77
atrtrail25.2721363.1530141646.677775.5415290.77-5468.4-13003.921.421.240.022712.11
atrnil312.6321654.981961331.5819484.3525239.76-7327.01-13003.922.661.230.0211139.74
50trail-13.9712578.4437112629.737840.3622669.27-2833.29-3907.692.771.170.013339.96
50trail22.26594.341142734.156235.567982.34-2989.02-3996.452.091.080.0084160.84
50trail32.865432.8837112629.737190.7711080.31-2833.29-3907.692.541.070.0069146.83
50nil22.246004.7941142734.156438.257982.34-3115.95-3996.452.071.070.0075146.46
50nil33.53-588.413492526.478956.3411080.31-3247.82-3991.172.760.99-0.00075-17.31

In the table above, row 1 shows the best exit criterion. Profit factor is 1.96. 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 61.54%, which is good. Average return per trade is 0.38%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.056, 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, X=1, Profit Factor:1.96

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019503 Jan 2019 (2.5%), 01 Apr 2019 (1.59%), 26 Apr 2019 (-2.58%), 30 May 2019 (-2.68%), 17 Jun 2019 (0.77%)
2017211 Jan 2017 (0.49%), 20 Mar 2017 (1.27%)
2016831 Mar 2016 (0.04%), 23 May 2016 (0.09%), 06 Jun 2016 (0.39%), 20 Jun 2016 (0.69%), 13 Jul 2016 (0.06%), 29 Jul 2016 (2.84%), 28 Sep 2016 (0.01%), 26 Oct 2016 (2.43%)
2014304 Sep 2014 (4.57%), 19 Sep 2014 (-0.31%), 09 Oct 2014 (-0.58%)
2011218 May 2011 (-0.11%), 02 Jun 2011 (0.05%)
2009112 May 2009 (-1.15%)
2008302 May 2008 (-1.3%), 16 May 2008 (-0.15%), 17 Sep 2008 (-1.43%)
2003123 Jan 2003 (2.6%)
2002120 Dec 2002 (-0.12%)



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