Study: Buy GLENMARK when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy GLENMARK when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
112245.0343202346.513196.3812178.09-2247.06-8365.281.421.240.017284.77
240531.9543162737.218482.1834028.61-3525.29-11068.632.411.430.026942.6
330207.0243212248.846762.3725327.77-5081.95-17532.241.331.270.019702.49
46310843261760.476920.9224909.05-6872.7-24712.441.011.540.0351467.63
570574.8943241955.818494.5624715.78-7015.5-23736.491.211.530.0371641.28
686782.0843222151.1611034.9231478.88-7427.91-21854.31.491.560.0392018.19
712824543222151.161337540733.06-7905.02-23213.661.691.770.0472982.43
810023943212248.8413975.944260.03-8784.3-25444.411.591.520.0352331.15
912248543232053.4913410.5853843.86-9297.91-23143.951.441.660.0422848.49
1029307143232053.4922558.81241361-11289.1-27951.9522.30.0396815.6
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
GLENMARK Performance, X=10, Profit Factor:2.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019315 Jan 2019 (-2.92%), 01 Feb 2019 (-13.98%), 12 Mar 2019 (0.94%)
2018213 Aug 2018 (10.98%), 21 Nov 2018 (-2.44%)
2017311 Jan 2017 (-3.35%), 27 Jan 2017 (6.08%), 19 Apr 2017 (-5.7%)
2016210 Nov 2016 (-0.97%), 12 Dec 2016 (-2.8%)
2015112 Jun 2015 (11.7%)
2014227 Jun 2014 (-5.67%), 03 Nov 2014 (11.96%)
2013412 Feb 2013 (1.3%), 10 Apr 2013 (-5.62%), 02 May 2013 (13.88%), 10 Dec 2013 (0.72%)
2012110 Oct 2012 (-3.62%)
2011403 Jan 2011 (-9.03%), 02 Sep 2011 (1.48%), 21 Sep 2011 (-8.57%), 24 Nov 2011 (-3.02%)
2010328 May 2010 (-4.27%), 16 Jun 2010 (0.2%), 30 Jun 2010 (3.37%)
2009201 Oct 2009 (1.12%), 16 Nov 2009 (0.83%)
2008228 Mar 2008 (2.91%), 21 Aug 2008 (3.3%)
2007422 Mar 2007 (4.05%), 02 Jul 2007 (2.45%), 31 Jul 2007 (-7.11%), 27 Aug 2007 (120.68%)
2006403 Apr 2006 (-0.33%), 28 Apr 2006 (21.71%), 04 Jul 2006 (0.27%), 16 Oct 2006 (24.28%)
2005326 Apr 2005 (-11.9%), 09 Jun 2005 (1.23%), 05 Sep 2005 (13.97%)
2002314 Jun 2002 (-7.39%), 03 Jul 2002 (-3.05%), 25 Jul 2002 (-11.16%)

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
atrtrail35.3966064.6446163034.7813790.830141.48-5152.94-11835.672.681.430.0311436.19
atrtrail-16.2651953.1246163034.7812908.8332000.33-5152.94-11835.672.511.340.0241129.42
atrnil39.6262238.714012283022761.1338504.79-7531.96-12197.793.021.30.0241555.97
atrtrail25.1138979.846163034.7812097.9922742.06-5152.94-11835.672.351.250.021847.39
atrnil27.3628837.0742152735.7115448.7225669.86-7514.58-12197.792.061.140.014686.6
50nil21.9112281.7665234235.386197.997950.06-3101.71-3976.3121.090.0095188.95
50trail-13.2311734.52601545259270.3928333.37-2829.36-3976.313.281.090.0067195.58
50trail21.8510601.3565224333.856126.487950.06-2887.94-3976.312.121.090.0085163.1
50trail32.152334.4362174527.427619.3311925.09-2826.54-3976.312.71.020.001737.65
50nil32.68-12344.4759144523.739113.3511925.09-3109.59-3976.312.930.91-0.009-209.23

In the table above, row 1 shows the best exit criterion. Profit factor is 1.43. 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 34.78%, which is not acceptable. Avoid this strategy. Average return per trade is 0.72%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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, Profit Factor:1.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019315 Jan 2019 (-2.81%), 01 Feb 2019 (-2.74%), 12 Mar 2019 (-0.54%)
2018213 Aug 2018 (7.56%), 21 Nov 2018 (-1.45%)
2017411 Jan 2017 (-2.16%), 27 Jan 2017 (-0.12%), 01 Feb 2017 (6.88%), 19 Apr 2017 (-2.05%)
2016210 Nov 2016 (-3.94%), 12 Dec 2016 (0.17%)
2015112 Jun 2015 (9.78%)
2014227 Jun 2014 (7.82%), 03 Nov 2014 (8.63%)
2013412 Feb 2013 (-1.7%), 10 Apr 2013 (-3.85%), 02 May 2013 (8.76%), 10 Dec 2013 (-2.83%)
2012110 Oct 2012 (-2.13%)
2011403 Jan 2011 (-0.53%), 02 Sep 2011 (-1.35%), 27 Sep 2011 (-2.77%), 24 Nov 2011 (-1.76%)
2010328 May 2010 (-3.24%), 16 Jun 2010 (0.32%), 30 Jun 2010 (8.45%)
2009201 Oct 2009 (-0.87%), 16 Nov 2009 (2.78%)
2008328 Mar 2008 (-5.92%), 03 Apr 2008 (2.45%), 21 Aug 2008 (-2.99%)
2007422 Mar 2007 (-1.72%), 02 Jul 2007 (2.1%), 31 Jul 2007 (-3.39%), 27 Aug 2007 (-3.9%)
2006403 Apr 2006 (3.7%), 28 Apr 2006 (14.54%), 04 Jul 2006 (-3.2%), 16 Oct 2006 (15.07%)
2005326 Apr 2005 (-4.97%), 09 Jun 2005 (-3.31%), 05 Sep 2005 (11.3%)
2002414 Jun 2002 (-3.47%), 03 Jul 2002 (-0.89%), 12 Jul 2002 (-3.47%), 25 Jul 2002 (-3.23%)



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