Study: Buy MCDOWELL-N when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy MCDOWELL-N when below 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
1-44583.3366372956.063346.7111578.32-5807.29-42334.460.580.74-0.023-675.51
299332.7166392759.097332.0339181.71-6911.72-33256.011.061.530.0351505.04
312421366392759.098156.3432522.92-7180.88-25126.531.141.640.0431882.02
415126066372956.0611672.247740.32-9676.27-43835.621.211.540.0352291.81
514080466363054.5513054.0245216.48-10971.35-59468.581.191.430.032133.4
612484066353153.0314324.1647051.53-12145.34-67608.61.181.330.0251891.52
753606.9766363054.5512260.1641297.71-12925.3-49641.50.951.140.011812.23
868708.3166382857.5812614.8544166.87-14666.29-44116.410.861.170.0141041.03
915794.1666363054.5514209.8556987.79-16525.35-54769.660.861.030.0027239.31
10-56631.966323448.4815943.1892579.06-16670.99-77566.930.960.9-0.0086-858.06
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil39.19164445105267924.7636255.198692.22-9850.47-27917.083.681.210.0161566.15
atrtrail24.16-22058.84125448135.214213.8765794.81-7993.45-26478.471.780.97-0.0031-176.47
atrnil25.98-39450.79109327729.3622529.6965794.81-9875.33-27917.082.280.95-0.0051-361.93
atrtrail34.98-61776.71125438234.413720.9998692.22-7948.53-26478.471.730.91-0.0078-494.21
atrtrail-15.44-76137.33125438234.413387.0274652.06-7948.53-26478.471.680.88-0.01-609.1

In the table above, row 1 shows the best exit criterion. Profit factor is 1.21. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 24.76%, which is not acceptable. Avoid this strategy. Average return per trade is 0.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, 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:1.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019804 Jan 2019 (-3.08%), 10 Jan 2019 (-2.96%), 24 Jan 2019 (-3.09%), 25 Jan 2019 (-3.26%), 11 Feb 2019 (-3.84%), 15 Feb 2019 (11.2%), 06 May 2019 (7.91%), 19 Jun 2019 (10.05%)
2018905 Jul 2018 (-3.83%), 12 Jul 2018 (-3.84%), 16 Jul 2018 (-4.17%), 11 Sep 2018 (-3.46%), 19 Sep 2018 (-3.55%), 21 Sep 2018 (-4.18%), 03 Oct 2018 (-4.59%), 05 Oct 2018 (-4.85%), 10 Dec 2018 (-3.34%)
2017409 Mar 2017 (-2.66%), 21 Mar 2017 (-2.68%), 03 Apr 2017 (-2.95%), 10 Apr 2017 (9.96%)
20161507 Jan 2016 (-3.14%), 15 Jan 2016 (-3.34%), 18 Jan 2016 (-3.63%), 29 Jan 2016 (-5.18%), 11 Feb 2016 (17.13%), 11 Apr 2016 (12.55%), 24 Jun 2016 (7.51%), 03 Aug 2016 (-3.36%), 04 Aug 2016 (11.36%), 01 Nov 2016 (-3.01%), 03 Nov 2016 (-3.25%), 04 Nov 2016 (-3.52%), 11 Nov 2016 (-4.22%), 15 Nov 2016 (-4.55%), 21 Nov 2016 (13.57%)
2015424 Aug 2015 (-3.73%), 08 Sep 2015 (12.01%), 03 Dec 2015 (-3.66%), 09 Dec 2015 (-3.74%)
2014630 Jan 2014 (-3.32%), 12 Feb 2014 (-3.26%), 14 Feb 2014 (10.21%), 27 Jun 2014 (-3.59%), 30 Jun 2014 (-3.79%), 09 Jul 2014 (11.31%)
2013128 Aug 2013 (18.29%)
2012307 Mar 2012 (25.86%), 09 May 2012 (-6.71%), 31 May 2012 (-6.8%)
20112110 Jan 2011 (-5.14%), 01 Feb 2011 (-4.78%), 04 Feb 2011 (-5.29%), 08 Feb 2011 (-5.6%), 09 Feb 2011 (-6.08%), 10 Feb 2011 (20.6%), 16 Jun 2011 (-3.21%), 21 Jun 2011 (-3.54%), 05 Aug 2011 (-3.75%), 08 Aug 2011 (-3.89%), 09 Aug 2011 (-4.06%), 26 Aug 2011 (-4.67%), 19 Sep 2011 (-4.67%), 20 Sep 2011 (-4.93%), 26 Sep 2011 (14.88%), 15 Nov 2011 (-6.35%), 25 Nov 2011 (-6.24%), 14 Dec 2011 (-5.64%), 16 Dec 2011 (-6.25%), 27 Dec 2011 (-5.95%), 29 Dec 2011 (-6.73%)
2010321 May 2010 (-3.77%), 25 May 2010 (12.84%), 26 Nov 2010 (14.03%)
2009309 Jan 2009 (-9.93%), 22 Jan 2009 (-13.24%), 23 Jan 2009 (49.35%)
20081017 Mar 2008 (22.12%), 09 May 2008 (-5.51%), 09 Jun 2008 (-5.36%), 10 Jun 2008 (-5.63%), 16 Jun 2008 (-6.07%), 01 Jul 2008 (-6.65%), 03 Jul 2008 (22.63%), 08 Oct 2008 (-9.84%), 10 Oct 2008 (-13.96%), 16 Oct 2008 (47.45%)
2006431 May 2006 (-7.77%), 08 Jun 2006 (-8.23%), 12 Jun 2006 (-8.94%), 13 Jun 2006 (29.43%)
2004403 Feb 2004 (22.18%), 11 May 2004 (-4.55%), 14 May 2004 (-5.47%), 17 May 2004 (25.21%)
2003427 Jan 2003 (-4.86%), 14 Feb 2003 (-4.85%), 10 Mar 2003 (-4.05%), 17 Mar 2003 (11.69%)
2002626 Jul 2002 (-6.24%), 29 Jul 2002 (-6.75%), 18 Sep 2002 (-3.73%), 24 Sep 2002 (-3.49%), 23 Oct 2002 (-3.07%), 25 Oct 2002 (-4.25%)



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