Study: Sell MCDOWELL-N when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell MCDOWELL-N when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA" 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
110126.581266505786.9712612.61-4099.21-8314.851.411.410.033843.88
2-465.611266504101.726674.46-4179.32-10676.250.980.98-0.0019-38.8
319721.91127558.335506.2813515.98-3764.41-9397.491.462.050.0621643.49
450883.3127558.3310813.0343835.62-4961.58-13191.372.183.050.0744240.27
549496.7128466.6711141.1828858.45-9908.18-13867.291.122.250.0774124.72
669538.49128466.6712818.1122648.4-8251.6-13255.361.553.110.125794.87
786576.26128466.6715068.9526152.05-8493.84-11306.041.773.550.137214.69
889794.38128466.6717575.1131807.69-12701.63-21637.431.382.770.117482.86
997037.57128466.6718631.2546173.08-13003.12-18011.261.432.870.118086.46
10115503128466.6721098.8753865.38-13321.95-18198.871.583.170.119625.26
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
MCDOWELL-N Performance, X=7, Profit Factor:3.55

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019103 Jan 2019 (3.75%)
2018109 Jul 2018 (13.08%)
2017124 Mar 2017 (8.81%)
2014231 Jan 2014 (2.52%), 23 Jun 2014 (4.27%)
2010224 May 2010 (-3.85%), 13 Dec 2010 (-5.61%)
2008104 Mar 2008 (4.06%)
2006131 May 2006 (11.73%)
2004306 Feb 2004 (-5.65%), 22 Mar 2004 (-1.88%), 11 May 2004 (12.05%)

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
atrnil24.43107885149564.2916917.6331062.63-8874.74-13142.671.913.430.147706.07
atrtrail23.9361493.6148657.1413287.8825138.33-7468.24-11446.871.782.370.0934392.4
atrnil38.5779396.15146842.8624987.3946593.95-8816.03-13142.672.832.130.0745671.15
atrtrail-16.2931334.04148657.149517.9425353.17-7468.24-11446.871.271.70.0522238.15
atrtrail35.0724861.84148657.148708.9121779.69-7468.24-11446.871.171.550.0451775.85
200nil31.888404.781751229.418768.9211823.64-2953.32-3906.442.971.240.022494.4
200trail31.711503.51741323.538954.1811823.64-2639.48-3906.443.391.040.004188.44
200nil21.59-6210.091751229.415845.957882.43-2953.32-3906.441.980.82-0.021-365.3
200trail-12.41-78961731417.659642.0214837.27-2630.15-3906.443.670.79-0.022-464.47
200trail21.47-10435.411741323.535969.457882.43-2639.48-3906.442.260.7-0.038-613.85

In the table above, row 1 shows the best exit criterion. Profit factor is 3.43. Strategy is very good and impressively bearish. Percentage of profitable trades is 64.29%, which is good. Average return per trade is 3.85%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MCDOWELL-N Performance, Profit Factor:3.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019103 Jan 2019 (6.01%)
2018109 Jul 2018 (7.26%)
2017124 Mar 2017 (5.2%)
2014431 Jan 2014 (-3.38%), 07 Feb 2014 (6.25%), 23 Jun 2014 (-3.29%), 26 Jun 2014 (6.87%)
2010224 May 2010 (7.33%), 13 Dec 2010 (-4.11%)
2008104 Mar 2008 (12.57%)
2006131 May 2006 (15.53%)
2004306 Feb 2004 (-6.57%), 22 Mar 2004 (-4.84%), 11 May 2004 (9.11%)



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