Study: Buy MCDOWELL-N when above 200 SMA

home > technical-strategy > mcdowell-n > 58

In this study, we evaluate the performance of strategy "Buy MCDOWELL-N when 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
11045936201655.565910.9826704.49-6735.04-23499.580.881.10.0076290.53
28407.736201655.566417.2925252.12-7496.13-28446.330.861.070.0053233.55
35040.4336162044.448485.432073.99-6536.3-34722.321.31.040.0029140.01
449387.5236191752.789497.3335948.89-7709.52-40983.731.231.380.0261371.88
576461.0736201655.5611679.633725.44-9820.69-38487.921.191.490.0352123.92
686894.236191752.7813168.8836354.83-9606.73-44369.851.371.530.0372413.73
719326.9136191752.7812854.1844238.4-13229.56-43873.60.971.090.0072536.86
860739.3536171947.2217081.6645602.94-12086.78-48208.421.411.260.021687.2
910888636211558.3314548.5348493.15-13108.9-55272.571.111.550.0363024.6
101883423618185023633.52134785-13170.07-51317.231.791.790.0435231.72
Although, strategy looks good but profit factor on day 3 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
atrtrail-15.7933941361223936.0727976.97186359-7078.97-14449.013.952.230.0425564.16
atrnil37.6312881659194032.226209.7643583.57-9229.25-16192.642.841.350.032183.32
atrtrail34.5244411.9961223936.0714567.8143583.57-7078.97-14449.012.061.160.013728.07
atrnil24.7631777.6659213835.5917998.1832220.69-9110.11-16192.641.981.090.0093538.6
atrtrail23.917436.2561223936.0713341.6432220.69-7078.97-14449.011.881.060.0059285.84

In the table above, row 1 shows the best exit criterion. Profit factor is 2.23. 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 36.07%, which is not acceptable. Avoid this strategy. Average return per trade is 2.78%, which is very good. Sharpe Ratio is 0.042, 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:2.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018724 Jan 2018 (-3.66%), 25 Jan 2018 (-3.8%), 02 Feb 2018 (-3.94%), 06 Feb 2018 (1.98%), 09 May 2018 (-2.68%), 14 May 2018 (-2.32%), 21 May 2018 (0.17%)
2017410 Aug 2017 (1.35%), 22 Sep 2017 (-2.92%), 29 Sep 2017 (-0.64%), 06 Oct 2017 (27.69%)
2015524 Apr 2015 (-4.13%), 12 May 2015 (11.75%), 23 Jun 2015 (-2.3%), 12 Aug 2015 (-1.34%), 20 Aug 2015 (-2.99%)
2014215 May 2014 (7.91%), 19 Jun 2014 (-2.86%)
2013915 Jan 2013 (-3.54%), 16 Jan 2013 (-0.68%), 05 Apr 2013 (18.21%), 28 Jun 2013 (24.9%), 31 Jul 2013 (-3.98%), 02 Aug 2013 (-2.48%), 06 Aug 2013 (1.7%), 19 Aug 2013 (-3.85%), 07 Nov 2013 (5.57%)
2012129 Oct 2012 (58.72%)
2010921 Jan 2010 (1.23%), 15 Apr 2010 (-3.36%), 16 Apr 2010 (-1.02%), 28 Apr 2010 (3.49%), 25 Aug 2010 (-2.67%), 12 Oct 2010 (-1.52%), 28 Oct 2010 (-1.43%), 11 Nov 2010 (-3.15%), 12 Nov 2010 (-3.34%)
2009117 Aug 2009 (4.87%)
2008221 Jan 2008 (-6.6%), 22 Jan 2008 (3.99%)
2007313 Feb 2007 (2.35%), 28 Feb 2007 (-5.6%), 05 Mar 2007 (5.77%)
2006419 May 2006 (-5.51%), 22 May 2006 (-6.65%), 23 May 2006 (-7.22%), 25 May 2006 (-6.31%)
2005405 Jan 2005 (-6.25%), 11 Jan 2005 (-6.56%), 14 Jan 2005 (15.08%), 17 Jun 2005 (-2.26%)
2004606 Jan 2004 (-2.43%), 12 Jan 2004 (-4.24%), 16 Jan 2004 (-5.33%), 21 Jan 2004 (1.28%), 12 Oct 2004 (-3.26%), 25 Oct 2004 (93.18%)
2003422 Jul 2003 (-0.82%), 28 Jul 2003 (-4.4%), 31 Jul 2003 (10.77%), 19 Sep 2003 (5.78%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play