Study: Sell GLENMARK when there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell GLENMARK when there is Bearish Crossover in MACD and ADX is Trending" 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
1-1868.169343549.285383.4939981.46-5283.05-28929.571.020.99-0.00072-27.07
2-12607.8869353450.727278.3355059.48-7863.22-39037.010.930.95-0.0035-182.72
3-85522.6569303943.487452.1640537.62-7925.32-47978.120.940.72-0.024-1239.46
4-46334.2669363352.177679.1425583.19-9781.31-56104.710.790.86-0.012-671.51
522513.9269353450.729006.4927496.11-8609.21-33326.821.051.080.0064326.29
644417.7469422760.878140.5723482.35-11018.01-32584.490.741.150.013643.74
720907.8369393056.529123.9924385.69-11164.26-37581.590.821.060.0054303.01
834494.5969383155.079959.4529523.23-11095.63-36619.720.91.10.0085499.92
957671.3269383155.0711082.0939751.17-11724.13-50566.820.951.160.013835.82
1057957.6669363352.1712226.9756236.39-11582.22-61971.831.061.150.011839.97
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
atrtrail24.5430767.6683325138.5510977.9264936.98-6284.82-21951.881.751.10.0071370.69
atrnil37.8330281.3780225827.525401.3397405.46-9112.9-18396.252.791.060.0048378.52
atrnil25.9-61710.9383265731.3317930.5364936.98-9261.49-21951.881.940.88-0.012-743.51
atrtrail-15.42-73600.02802852359285.1629681.03-6415.09-21951.881.450.78-0.021-920
atrtrail34.81-77086.9881295235.88844.7432637.74-6415.09-21951.881.380.77-0.023-951.69

In the table above, row 1 shows the best exit criterion. Profit factor is 1.1. 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 38.55%, which is not acceptable. Avoid this strategy. Average return per trade is 0.19%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0071, 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:1.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019508 Apr 2019 (-1.85%), 21 Jun 2019 (6.39%), 24 Jun 2019 (7.7%), 16 Aug 2019 (-4.01%), 19 Sep 2019 (7.39%)
2018329 Jan 2018 (4.64%), 30 Apr 2018 (5.0%), 17 Sep 2018 (6.26%)
2017204 Aug 2017 (4.37%), 08 Sep 2017 (-1.29%)
2016204 Feb 2016 (0.08%), 30 Nov 2016 (-1.81%)
2015517 Mar 2015 (-3.32%), 23 Mar 2015 (-1.04%), 27 Apr 2015 (-3.2%), 22 Jul 2015 (5.29%), 09 Dec 2015 (0.2%)
2014327 Aug 2014 (-3.27%), 12 Sep 2014 (-2.08%), 02 Dec 2014 (-0.22%)
2013307 Jan 2013 (-3.18%), 08 Jan 2013 (6.27%), 07 Jun 2013 (0.57%)
2012418 May 2012 (-4.69%), 25 May 2012 (-2.83%), 18 Jul 2012 (-2.28%), 04 Dec 2012 (-0.27%)
2011628 Feb 2011 (-5.56%), 15 Mar 2011 (-5.17%), 17 Jun 2011 (-0.48%), 04 Jul 2011 (-1.27%), 20 Jul 2011 (-3.2%), 05 Aug 2011 (1.21%)
2010528 Jul 2010 (-1.1%), 07 Sep 2010 (-3.01%), 16 Sep 2010 (-2.89%), 14 Oct 2010 (1.7%), 15 Nov 2010 (-1.9%)
2009329 Apr 2009 (0.36%), 09 Jun 2009 (0.22%), 26 Oct 2009 (8.03%)
2008603 Jan 2008 (3.13%), 12 May 2008 (-0.97%), 16 Jul 2008 (-6.07%), 04 Aug 2008 (-5.68%), 24 Oct 2008 (32.47%), 11 Dec 2008 (-10.98%)
2007331 Jan 2007 (-1.67%), 30 Apr 2007 (0.47%), 03 Oct 2007 (9.55%)
2006516 Jan 2006 (-2.89%), 21 Feb 2006 (-0.36%), 19 May 2006 (14.57%), 22 May 2006 (-2.73%), 29 Dec 2006 (0.07%)
2005814 Jan 2005 (-0.13%), 08 Feb 2005 (-4.92%), 16 Mar 2005 (0.45%), 19 Jul 2005 (-3.33%), 02 Aug 2005 (6.29%), 30 Sep 2005 (-5.91%), 14 Oct 2005 (10.88%), 23 Dec 2005 (-4.08%)
2004620 Jan 2004 (13.88%), 27 Aug 2004 (-3.81%), 30 Aug 2004 (-2.34%), 08 Sep 2004 (0.69%), 12 Oct 2004 (-5.17%), 14 Oct 2004 (-1.19%)
2003421 Jan 2003 (8.73%), 02 Jun 2003 (-1.41%), 11 Jul 2003 (-4.95%), 18 Sep 2003 (-2.31%)
2002630 Apr 2002 (-5.46%), 16 May 2002 (-2.31%), 11 Sep 2002 (5.87%), 14 Nov 2002 (-3.94%), 22 Nov 2002 (-4.81%), 25 Nov 2002 (-4.68%)
2001426 Feb 2001 (1.46%), 02 Nov 2001 (-5.22%), 05 Nov 2001 (-3.05%), 05 Dec 2001 (1.48%)



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