Study: Sell GLENMARK when RSI is below 50 and 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 RSI is below 50 and 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
1-11626.1131112035.489174.2139981.46-5627.12-28929.571.630.9-0.0079-375.04
2-94810.3731102132.2610061.9555059.48-9306.18-39037.011.080.51-0.047-3058.4
3-10790130102033.339928.440537.62-10359.26-47978.120.960.48-0.053-3596.71
4-79198.95301515507094.7925583.19-12374.72-56104.710.570.57-0.039-2639.96
5-81910.1830141646.678494.7627496.11-12552.3-33326.820.680.59-0.045-2730.34
6-67200.5330131743.339794.6623482.35-11443.01-32584.490.860.65-0.039-2240.02
7-73169.8630131743.3310280.7224385.69-12165.83-34655.210.850.65-0.039-2439
8-1059603012184010008.2325816.49-12558.79-31529.190.80.53-0.056-3531.98
9-77238.923012184011289.8739751.17-11817.63-31552.820.960.64-0.039-2574.63
10-61359.683012184013390.5756236.39-12335.92-32779.841.090.72-0.026-2045.32

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.9. 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 35.48%, which is not acceptable. Avoid this strategy. Average return per trade is -0.19%, 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
nilnil-11-11626.1131112035.489174.2139981.46-5627.12-28929.571.630.9-0.0079-375.04
atrtrail24.06-23975.2736102627.7816828.4364936.98-7394.6-21951.882.280.88-0.01-665.98
atrnil24.39-57371.543682822.2224732.964936.98-9115.53-21951.882.710.78-0.022-1593.65
atrnil36.3-99544.513342912.1239083.3897405.46-8823.38-16099.794.430.61-0.035-3016.5
atrtrail-14.79-85033.763482623.5314541.8435847.53-7744.94-21951.881.880.58-0.047-2500.99
atrtrail33.97-1137353482623.5310954.1522339.51-7744.94-21951.881.410.44-0.077-3345.16

In the table above, row 1 shows the best exit criterion. Profit factor is 0.9. 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 35.48%, which is not acceptable. Avoid this strategy. Average return per trade is -0.19%, 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, X=1, Profit Factor:0.897

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019421 Jun 2019 (7.79%), 16 Aug 2019 (-1.94%), 19 Sep 2019 (1.63%), 13 Nov 2019 (-2.64%)
2017108 Sep 2017 (1.56%)
2016204 Feb 2016 (-1.28%), 30 Nov 2016 (-0.09%)
2015223 Mar 2015 (-2.03%), 09 Dec 2015 (2.11%)
2013110 Jun 2013 (-3.46%)
2012105 Dec 2012 (-1.94%)
2011528 Feb 2011 (-14.46%), 15 Mar 2011 (-3.32%), 20 Jun 2011 (-3.71%), 05 Jul 2011 (-0.57%), 20 Jul 2011 (0.32%)
2010228 Jul 2010 (-0.63%), 07 Sep 2010 (-1.07%)
2009126 Oct 2009 (2.85%)
2008416 Jul 2008 (-2.96%), 04 Aug 2008 (-2.57%), 24 Oct 2008 (19.99%), 11 Dec 2008 (-7.42%)
2006222 Feb 2006 (0.78%), 19 May 2006 (-1.83%)
2005123 Dec 2005 (-1.89%)
2004121 Jan 2004 (6.55%)
2002316 May 2002 (0.72%), 11 Sep 2002 (-0.92%), 14 Nov 2002 (-1.53%)
2001126 Feb 2001 (6.16%)



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