Study: Sell GLENMARK when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell GLENMARK when RSI is below 50 and there is Bearish Crossover in MACD" 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
1-22281.8104416339.425585.5639981.46-3988.73-28929.571.40.91-0.0067-214.25
2-79733.09104406438.467538.3555059.48-5957.3-39037.011.270.79-0.017-766.66
3-180366103426140.78671240537.62-7578.2-47978.120.890.61-0.038-1751.13
4-202145103426140.786919.8626487.96-8078.34-56104.710.860.59-0.04-1962.57
5-232915103445942.727030.0632912.88-9190.46-33326.820.760.57-0.047-2261.31
6-117280103505348.548521.8637313-10252.33-32584.490.830.78-0.021-1138.65
7-119527103495447.579396.9533507.91-10740.32-46648.040.870.79-0.02-1160.45
8-120823103515249.519282.6434379.58-11427.64-33519.550.810.8-0.019-1173.04
9-144587103515249.519578.5937523.28-12174.91-48836.130.790.77-0.022-1403.76
10-165951103465744.6611527.8948870.64-12214.64-52467.410.940.76-0.023-1611.18

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.91. 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 39.42%, which is not acceptable. Avoid this strategy. Average return per trade is -0.11%, we advise you not to use this strategy.

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
atrnil38.96-12479.9310024762426276.297405.46-8461.96-16663.953.110.98-0.0017-124.8
atrnil26.41-36634.77111347730.6318316.9864936.98-8563.79-21951.882.140.94-0.0054-330.04
atrtrail24.35-35798.04116397733.6212398.2664936.98-6744.55-21951.881.840.93-0.0061-308.6
nilnil-11-22281.8104416339.425585.5639981.46-3988.73-28929.571.40.91-0.0067-214.25
atrtrail34.59-74175.34112367632.1412417.0733370.69-6857.76-21951.881.810.86-0.014-662.28
atrtrail-15.11-177381112367632.149550.2335847.53-6857.76-21951.881.390.66-0.037-1583.76

In the table above, row 1 shows the best exit criterion. Profit factor is 0.98. 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%, which is not acceptable. Avoid this strategy. Average return per trade is -0.062%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GLENMARK Performance, Profit Factor:0.981

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019503 Jan 2019 (9.14%), 21 Jun 2019 (9.58%), 16 Aug 2019 (-4.7%), 19 Sep 2019 (11.09%), 13 Nov 2019 (-4.47%)
2018328 Mar 2018 (-2.61%), 02 May 2018 (8.26%), 20 Nov 2018 (-3.7%)
2017504 May 2017 (-2.23%), 15 May 2017 (13.38%), 08 Sep 2017 (-2.85%), 26 Oct 2017 (-2.0%), 08 Nov 2017 (7.9%)
2016707 Jan 2016 (8.85%), 04 Feb 2016 (-4.72%), 29 Mar 2016 (-3.51%), 03 Aug 2016 (-2.45%), 03 Nov 2016 (9.6%), 30 Nov 2016 (-3.59%), 27 Dec 2016 (-2.88%)
2015503 Feb 2015 (-2.71%), 23 Mar 2015 (-3.76%), 25 May 2015 (-3.65%), 02 Sep 2015 (16.32%), 09 Dec 2015 (-2.98%)
2014703 Jan 2014 (-2.52%), 13 Feb 2014 (-2.84%), 10 Mar 2014 (-3.01%), 27 Mar 2014 (-3.01%), 09 May 2014 (10.3%), 08 Jul 2014 (-3.25%), 30 Oct 2014 (-3.02%)
2013521 Feb 2013 (-3.23%), 25 Apr 2013 (-3.36%), 10 Jun 2013 (-3.6%), 25 Jul 2013 (-2.9%), 23 Sep 2013 (-3.93%)
2012331 Jan 2012 (-3.71%), 05 Mar 2012 (-3.01%), 05 Dec 2012 (-3.66%)
20111110 Jan 2011 (-4.12%), 11 Jan 2011 (12.47%), 28 Feb 2011 (-5.56%), 15 Mar 2011 (-5.43%), 03 May 2011 (-3.27%), 20 Jun 2011 (-3.74%), 05 Jul 2011 (-3.66%), 20 Jul 2011 (-3.66%), 08 Aug 2011 (-4.06%), 05 Sep 2011 (11.01%), 21 Nov 2011 (-4.21%)
2010625 Feb 2010 (-3.77%), 11 Mar 2010 (-3.41%), 28 Jul 2010 (-3.22%), 07 Sep 2010 (-3.01%), 16 Sep 2010 (-2.89%), 09 Dec 2010 (-4.89%)
2009310 Jul 2009 (-8.16%), 26 Oct 2009 (-4.01%), 30 Nov 2009 (-5.85%)
2008904 Mar 2008 (-6.25%), 05 Mar 2008 (-6.01%), 20 Jun 2008 (16.69%), 16 Jul 2008 (-6.07%), 04 Aug 2008 (-5.68%), 08 Aug 2008 (-5.24%), 28 Aug 2008 (-5.03%), 15 Sep 2008 (15.6%), 24 Oct 2008 (48.7%)
2007127 Jul 2007 (9.94%)
2006322 Feb 2006 (-4.2%), 13 Apr 2006 (-5.0%), 19 May 2006 (-7.28%)
2005207 Dec 2005 (-4.17%), 23 Dec 2005 (-4.08%)
2004421 Jan 2004 (-8.05%), 25 Feb 2004 (-6.47%), 28 Apr 2004 (14.11%), 31 May 2004 (-5.55%)
2003106 Mar 2003 (-3.38%)
2002816 May 2002 (-5.28%), 19 Jun 2002 (-4.67%), 16 Jul 2002 (10.62%), 11 Sep 2002 (8.8%), 14 Nov 2002 (-3.94%), 22 Nov 2002 (-4.81%), 25 Nov 2002 (-4.68%), 13 Dec 2002 (-3.63%)
2001423 Feb 2001 (11.78%), 06 Jun 2001 (-6.56%), 22 Jun 2001 (16.84%), 17 Sep 2001 (-7.06%)
2000818 May 2000 (-8.33%), 13 Jun 2000 (-5.52%), 29 Jun 2000 (12.65%), 22 Sep 2000 (-3.3%), 11 Oct 2000 (-3.38%), 30 Oct 2000 (-3.16%), 08 Nov 2000 (9.36%), 19 Dec 2000 (12.32%)



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