Study: Sell GLENMARK when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell GLENMARK when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell GLENMARK 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
141872.0644242054.553992.6213082.73-2697.54-8827.321.481.780.047951.64
25069.9144212347.734353.3910538.41-3754.4-11662.371.161.060.0052115.23
3-11381.8944182640.916290.2822788.94-4792.58-12218.771.310.91-0.0085-258.68
47392.33442222505513.7232062.51-5177.71-16271.621.061.060.005168.01
5-9960.03442222504700.0927065.09-5152.81-19602.820.910.91-0.0072-226.36
6-42032.5944162836.366260.942521.04-5078.82-17071.611.230.7-0.024-955.29
7-32063.244172738.649121.150094.45-6930.44-23862.621.320.83-0.014-728.71
8-91430.4144162836.3610167.7859093.25-9075.53-33354.731.120.64-0.032-2077.96
9-78783.144162836.3611817.1876919.11-9566.36-42248.11.240.71-0.024-1790.52
10-96328.1944172738.6411987.6977674.74-11115.51-41936.371.080.68-0.028-2189.28

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.78. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 54.55%, which is not acceptable. Avoid this strategy. Average return per trade is 0.48%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.047, which is low, don't trade solely on the basis of this study.

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
nilnil-1141872.0644242054.553992.6213082.73-2697.54-8827.321.481.780.047951.64
atrtrail24.15-95007.5361194231.157016.7725296.54-5436.34-12078.421.290.58-0.049-1557.5
atrtrail-14.7-10798961194231.156333.5261797.56-5436.34-12078.421.170.53-0.042-1770.32
200nil21.85-86684.23751560206159.517863.43-2984.61-3994.162.060.52-0.07-1155.79
200trail31.95-87763.2378146417.956290.8711795.14-2747.43-3994.162.290.5-0.065-1125.17
atrnil26.19-13153248103820.8312902.3325296.54-6856.72-13247.691.880.5-0.073-2740.25
atrtrail34.52-12049061194231.155675.5737944.81-5436.34-12078.421.040.47-0.06-1975.25
200trail21.73-96242.0878146417.955685.247863.43-2747.43-3994.162.070.45-0.082-1233.87
200nil32.32-1160427186311.279175.4711795.14-3007.07-3994.163.050.39-0.094-1634.39
atrnil38.48-167757424389.5223457.0137944.81-6883.81-13247.693.410.36-0.096-3994.21
200trail-12.37-11654378146417.954321.0615734.48-2766.21-3994.161.560.34-0.1-1494.14

In the table above, row 1 shows the best exit criterion. Profit factor is 1.78. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 54.55%, which is not acceptable. Avoid this strategy. Average return per trade is 0.48%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.047, 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.
GLENMARK Performance, X=1, Profit Factor:1.78

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019314 Feb 2019 (6.54%), 07 Mar 2019 (2.18%), 22 Apr 2019 (-0.51%)
2018213 Jun 2018 (-2.24%), 12 Jul 2018 (0.89%)
2017310 Mar 2017 (-1.21%), 27 Mar 2017 (-0.02%), 03 May 2017 (2.95%)
2016215 Jul 2016 (2.14%), 02 Aug 2016 (2.52%)
2014627 Jan 2014 (-3.74%), 12 Feb 2014 (3.54%), 10 Mar 2014 (-2.01%), 16 May 2014 (4.82%), 02 Jun 2014 (-0.19%), 15 Jul 2014 (-2.18%)
2013521 Aug 2013 (0.05%), 20 Sep 2013 (6.43%), 28 Oct 2013 (-0.62%), 09 Dec 2013 (-1.18%), 26 Dec 2013 (-1.17%)
2012311 Jan 2012 (0.72%), 22 Feb 2012 (-0.44%), 30 Mar 2012 (1.37%)
2011716 May 2011 (0.62%), 31 May 2011 (1.29%), 15 Jun 2011 (0.42%), 04 Jul 2011 (1.7%), 20 Jul 2011 (0.32%), 25 Oct 2011 (0.02%), 09 Dec 2011 (-0.75%)
2010117 Mar 2010 (0.37%)
2009115 Sep 2009 (-1.29%)
2008124 Sep 2008 (4.28%)
2006303 Jul 2006 (-1.1%), 19 Jul 2006 (-1.78%), 02 Aug 2006 (1.4%)
2005128 Oct 2005 (-0.04%)
2004115 Jul 2004 (-4.41%)
2003220 Feb 2003 (2.93%), 07 May 2003 (-1.63%)
2002219 Aug 2002 (0.02%), 31 Dec 2002 (-0.44%)
2000124 Nov 2000 (0.41%)



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