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

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In this study, we evaluate the performance of strategy "Buy MCDOWELL-N when above 200 SMA and near 50 SMA and above 50 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
15248.2929151451.723973.2611988.59-3882.19-7874.561.021.10.0088180.98
29106.4929151451.725244.2814604.31-4968.41-13214.151.061.130.011314.02
379814.6229151451.729501.6340783.85-4479.28-15618.992.122.270.0642752.23
495595.2429161355.179986.4344758.78-4937.51-13488.122.022.490.0693296.39
510318829161355.1711048.4642821.05-5660.6-19440.721.952.40.073558.19
613033329181162.079894.5643171.19-4342.61-11851.852.283.730.0934494.25
71744692921872.419441.2347118.27-2974.57-8465.613.178.330.136016.18
81880702921872.4110174.7846752.21-3200.09-8042.333.188.350.156485.16
919233429191065.5212238.1646772.11-4019.15-7233.783.045.790.146632.19
101846782920968.9711583.743413.91-5221.78-11226.612.224.930.136368.21
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=8, Profit Factor:8.35

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018302 Apr 2018 (5.21%), 31 May 2018 (2.53%), 15 Jun 2018 (0.12%)
2017230 Aug 2017 (1.0%), 24 Oct 2017 (23.38%)
2015405 May 2015 (3.13%), 26 May 2015 (-1.26%), 07 Jul 2015 (2.5%), 21 Jul 2015 (5.07%)
2013606 Feb 2013 (-1.56%), 01 Mar 2013 (4.36%), 11 Apr 2013 (9.56%), 06 Sep 2013 (6.04%), 22 Nov 2013 (1.5%), 06 Dec 2013 (1.21%)
2010422 Jan 2010 (-0.28%), 11 Feb 2010 (2.77%), 17 Jun 2010 (5.02%), 20 Dec 2010 (-0.44%)
2009226 Aug 2009 (1.18%), 01 Oct 2009 (6.54%)
2007320 Mar 2007 (-1.89%), 09 Apr 2007 (3.51%), 26 Dec 2007 (1.37%)
2005208 Jul 2005 (8.5%), 25 Nov 2005 (-0.75%)
2004101 Nov 2004 (12.36%)
2003221 Aug 2003 (-2.6%), 16 Sep 2003 (-4.02%)

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
atrtrail-15.7615265337152240.5419082.64160488-6072.1-10168.673.142.140.0354125.76
atrnil39.0362304.9231102132.2622734.4131602.98-7859.01-10625.362.891.380.0332009.84
atrtrail34.8939173.6837162143.2410477.0327080.9-6117.09-10168.671.711.30.0241058.75
50nil21.6223881.53502030405548.227583.61-2902.76-3834.711.911.270.027477.63
atrnil26.6742153.6233132039.3915263.2421068.65-7813.42-10625.361.951.270.0261277.38
50trail21.5320221.7951193237.255570.487583.61-2675.54-3769.722.081.240.023396.51
50nil32.1319955.4246133328.268716.3511375.41-2829.01-3834.713.081.210.019433.81
atrtrail24.5910929.8237162143.248711.7920023.12-6117.09-10168.671.421.090.008295.4
50trail31.82255.7249143528.576607.6211375.41-2578.6-3769.722.561.020.002446.04
50trail-12.42-35740.01481236254451.914787.31-2476.74-3672.461.80.6-0.05-744.58

In the table above, row 1 shows the best exit criterion. Profit factor is 2.14. 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 40.54%, which is not acceptable. Avoid this strategy. Average return per trade is 2.06%, which is very good. Sharpe Ratio is 0.035, 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:2.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018502 Apr 2018 (-3.19%), 31 May 2018 (-3.18%), 07 Jun 2018 (0.56%), 25 Jun 2018 (0.87%), 27 Jun 2018 (-3.28%)
2017230 Aug 2017 (1.85%), 24 Oct 2017 (19.96%)
2015505 May 2015 (-4.22%), 26 May 2015 (-4.1%), 29 May 2015 (-4.4%), 07 Jul 2015 (0.95%), 21 Jul 2015 (4.36%)
2013706 Feb 2013 (-0.42%), 14 Feb 2013 (-3.27%), 01 Mar 2013 (-3.26%), 11 Apr 2013 (10.83%), 06 Sep 2013 (1.19%), 22 Nov 2013 (0.19%), 03 Dec 2013 (2.05%)
2010522 Jan 2010 (-4.09%), 11 Feb 2010 (-0.42%), 17 Jun 2010 (-1.35%), 20 Dec 2010 (-3.65%), 28 Dec 2010 (-2.56%)
2009426 Aug 2009 (0.44%), 07 Sep 2009 (-4.96%), 01 Oct 2009 (-3.71%), 14 Oct 2009 (7.0%)
2007320 Mar 2007 (-0.56%), 29 Mar 2007 (-0.22%), 26 Dec 2007 (4.45%)
2005308 Jul 2005 (8.17%), 25 Nov 2005 (-5.08%), 02 Dec 2005 (-2.82%)
2004101 Nov 2004 (80.24%)
2003221 Aug 2003 (-4.63%), 16 Sep 2003 (-3.4%)



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