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

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In this study, we evaluate the performance of strategy "Buy MCDOWELL-N when near 200 SMA and above 200 SMA" 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
136069.6333191457.584491.8116462.92-3519.62-17933.111.281.730.0441093.02
2-33711.6433132039.396648.2316857.29-6006.93-22710.911.110.72-0.03-1021.56
3-32968.1233171651.527539.8217136.08-10071.57-44686.650.750.8-0.019-999.03
47087.2233201360.618136.1621960.44-11972-29791.10.681.050.004214.76
5-15540.0133191457.588676.7920703.72-12885.65-35863.750.670.91-0.0083-470.91
623318.2633191457.5810751.6224612.88-12925.89-49882.710.831.130.011706.61
771294.1833221166.6711541.3422890.34-16601.38-57389.510.71.390.0312160.43
878281.9333231069.710391.0726613.32-16071.27-56169.650.651.490.0372372.18
990529.3633221166.6711141.2237697.27-14052.49-48963.120.791.590.0432743.31
1096142.2533201360.6112603.1536956.36-11993.91-41400.021.051.620.0452913.4

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.73. 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 57.58%, which is not acceptable. Avoid this strategy. Average return per trade is 0.55%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.044, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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
atrnil311.1315632630111936.6728867.846405.56-8485.28-14929.933.41.970.0655210.85
atrnil28.2211767532141843.7519136.4330937.04-8346.37-14929.932.291.780.0613677.35
nilnil-1136069.6333191457.584491.8116462.92-3519.62-17933.111.281.730.0441093.02
200trail-12.9351619.8845133228.8911148.6335427.65-2916.01-3996.953.821.550.0341147.11
atrtrail35.168672.2841202148.7810671.4534978.08-6893.18-14929.931.551.470.0351674.93
atrtrail24.3460359.8941202148.7810255.8323318.72-6893.18-14929.931.491.420.0341472.19
200trail31.7322258.0845143131.118247.7711880.52-3006.8-3996.952.741.240.022494.62
atrtrail-15.3932409.4841202148.788858.3130348.56-6893.18-14929.931.291.220.019790.48
200nil31.7718554.6744133129.558814.9211880.52-3098.04-3996.952.851.190.018421.7
200trail21.49-1688.5245153033.335920.857920.34-3016.71-3996.951.960.98-0.0021-37.52
200nil21.49-3083.4345153033.335920.857920.34-3063.21-3996.951.930.97-0.0038-68.52

In the table above, row 1 shows the best exit criterion. Profit factor is 1.97. 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 36.67%, which is not acceptable. Avoid this strategy. Average return per trade is 2.61%, which is very good. Sharpe Ratio is 0.065, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MCDOWELL-N Performance, Profit Factor:1.97

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019212 Jun 2019 (-3.0%), 09 Jul 2019 (8.51%)
2018224 May 2018 (10.08%), 05 Nov 2018 (-4.25%)
2017201 Feb 2017 (-3.31%), 12 May 2017 (-3.17%)
2016106 Oct 2016 (-3.14%)
2015105 Nov 2015 (-3.03%)
2014404 Feb 2014 (-3.35%), 19 Jun 2014 (-2.86%), 24 Jun 2014 (-3.21%), 20 Oct 2014 (9.96%)
2013121 Aug 2013 (18.04%)
2012220 Apr 2012 (-4.61%), 29 Jun 2012 (13.86%)
2010319 Nov 2010 (-3.65%), 25 Nov 2010 (-3.82%), 30 Nov 2010 (-4.57%)
2009117 Jun 2009 (23.2%)
2008213 Feb 2008 (-7.0%), 07 Apr 2008 (-5.49%)
2007105 Mar 2007 (20.46%)
2006105 Jun 2006 (-7.46%)
2004509 Feb 2004 (18.69%), 30 Mar 2004 (12.66%), 12 May 2004 (-4.52%), 13 May 2004 (-4.7%), 30 Jul 2004 (13.6%)
2003115 May 2003 (9.71%)
2002124 Jul 2002 (-5.46%)



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