Study: Buy GLENMARK when there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy GLENMARK when there is Bullish Crossover in MACD" 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
131745.49164778746.954360.2120032.69-3494.15-32375.171.251.10.0074193.57
287730.44164808448.786511.0648423.65-5156.6-42151.721.261.20.013534.94
3187604164867852.447807.7366308.66-6203.34-42405.521.261.390.0241143.93
4230370164848051.229143.1292972.22-6720.66-45958.621.361.430.0251404.69
5215403164897554.279797.0298248.89-8753.75-51089.661.121.330.0211313.44
6171409164768846.3412149.7179103.43-8545.1-65538.011.421.230.0151045.18
7280789164808448.7813257.9881811.81-9283.92-92417.951.431.360.0221712.13
8246561164798548.1714117.4783773.06-10220.22-1025551.381.280.0181503.42
9296827164848051.2213270.4574807.38-10223.64-92791.861.31.360.0231809.92
10579453164848051.2217765.12241361-11410.21-82737.851.561.630.033533.25
Although, strategy looks good but profit factor on day 1 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
atrtrail-16.022126741856811736.7613711.58112193-6151.4-15154.762.231.30.0171149.59
atrnil39.32992001745012428.7426638.85121460-8328.57-27918.353.21.290.0211719.54
atrnil26.732408631867111538.1716957.9880973.49-8375.25-27918.352.021.250.0211294.96
atrtrail35.371771791866911737.113013.7121460-6160.4-15154.762.111.250.016952.57
atrtrail24.81499731927212037.512284.9680973.49-6121.2-15154.762.011.20.016781.11

In the table above, row 1 shows the best exit criterion. Profit factor is 1.3. 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 36.76%, which is not acceptable. Avoid this strategy. Average return per trade is 0.57%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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:1.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019701 Feb 2019 (-2.74%), 04 Feb 2019 (-2.86%), 27 Feb 2019 (8.28%), 17 Jun 2019 (-1.63%), 09 Jul 2019 (-2.07%), 28 Aug 2019 (-0.59%), 18 Oct 2019 (2.16%)
2018728 Feb 2018 (0.54%), 03 Apr 2018 (3.05%), 24 May 2018 (-1.55%), 30 Jul 2018 (0.77%), 20 Aug 2018 (4.29%), 23 Oct 2018 (-2.15%), 11 Dec 2018 (0.04%)
20171030 Jan 2017 (-2.15%), 31 Jan 2017 (4.68%), 10 Apr 2017 (2.36%), 11 May 2017 (-2.24%), 02 Jun 2017 (-3.22%), 01 Sep 2017 (-2.83%), 14 Sep 2017 (1.26%), 30 Oct 2017 (3.22%), 24 Nov 2017 (-2.11%), 19 Dec 2017 (7.72%)
20161008 Feb 2016 (-4.42%), 16 Feb 2016 (1.76%), 22 Apr 2016 (4.95%), 27 Jun 2016 (6.84%), 18 Aug 2016 (-2.52%), 08 Sep 2016 (-2.33%), 01 Nov 2016 (-2.82%), 02 Nov 2016 (-2.93%), 25 Nov 2016 (-3.75%), 08 Dec 2016 (2.67%)
2015921 Jan 2015 (-1.83%), 05 Feb 2015 (5.86%), 19 Mar 2015 (-3.17%), 07 Apr 2015 (4.7%), 15 May 2015 (-2.8%), 12 Jun 2015 (9.93%), 11 Aug 2015 (11.14%), 30 Sep 2015 (-3.03%), 21 Dec 2015 (-0.89%)
20141127 Jan 2014 (1.38%), 28 Feb 2014 (-0.39%), 22 Mar 2014 (-0.51%), 01 Apr 2014 (-0.68%), 16 Apr 2014 (-2.56%), 30 Apr 2014 (1.25%), 30 May 2014 (3.43%), 03 Jul 2014 (-2.56%), 22 Jul 2014 (14.61%), 04 Sep 2014 (-1.81%), 03 Nov 2014 (6.62%)
2013819 Feb 2013 (-3.28%), 08 Mar 2013 (-2.87%), 09 Apr 2013 (-2.09%), 31 May 2013 (-1.49%), 04 Jul 2013 (2.02%), 06 Sep 2013 (-1.39%), 27 Sep 2013 (8.34%), 29 Nov 2013 (1.36%)
20121202 Jan 2012 (5.4%), 16 Feb 2012 (-0.06%), 22 Feb 2012 (-1.2%), 21 Mar 2012 (-3.13%), 27 Mar 2012 (-0.61%), 23 May 2012 (-3.71%), 07 Jun 2012 (-3.78%), 03 Jul 2012 (0.53%), 03 Aug 2012 (-1.21%), 30 Aug 2012 (-1.38%), 31 Oct 2012 (-1.23%), 10 Dec 2012 (15.95%)
20111104 Jan 2011 (-2.78%), 16 Feb 2011 (-4.56%), 03 Mar 2011 (-5.28%), 21 Mar 2011 (8.07%), 17 May 2011 (-4.49%), 27 Jun 2011 (-2.68%), 14 Jul 2011 (-3.31%), 15 Jul 2011 (-3.45%), 26 Jul 2011 (-1.89%), 30 Aug 2011 (-2.17%), 25 Oct 2011 (2.69%)
20101206 Jan 2010 (-1.74%), 10 Feb 2010 (-3.95%), 02 Mar 2010 (-2.63%), 26 Mar 2010 (7.11%), 04 May 2010 (-2.4%), 16 Jun 2010 (0.32%), 19 Aug 2010 (-2.46%), 20 Aug 2010 (0.99%), 14 Sep 2010 (-2.65%), 27 Sep 2010 (-0.52%), 22 Oct 2010 (-1.71%), 03 Dec 2010 (-1.65%)
20091011 Feb 2009 (0.3%), 21 May 2009 (15.13%), 07 Jul 2009 (-7.58%), 20 Jul 2009 (0.75%), 05 Aug 2009 (-6.37%), 07 Sep 2009 (-4.91%), 11 Nov 2009 (-4.89%), 16 Nov 2009 (2.78%), 02 Dec 2009 (2.81%), 22 Dec 2009 (-0.9%)
20081115 Feb 2008 (-3.21%), 25 Mar 2008 (-5.69%), 13 Jun 2008 (-5.4%), 14 Jul 2008 (-5.75%), 18 Jul 2008 (0.43%), 06 Aug 2008 (-5.23%), 19 Aug 2008 (-5.07%), 02 Sep 2008 (-2.79%), 16 Oct 2008 (-5.46%), 07 Nov 2008 (-2.0%), 15 Dec 2008 (1.86%)
2007722 Jan 2007 (-4.14%), 23 Jan 2007 (-2.1%), 12 Mar 2007 (-3.28%), 22 May 2007 (-2.88%), 05 Jul 2007 (1.01%), 27 Aug 2007 (-3.9%), 06 Dec 2007 (10.96%)
2006902 Feb 2006 (5.25%), 10 Mar 2006 (-3.71%), 04 Apr 2006 (0.98%), 28 Apr 2006 (16.0%), 22 Jun 2006 (11.33%), 16 Aug 2006 (6.46%), 12 Oct 2006 (-4.55%), 13 Oct 2006 (-4.96%), 22 Dec 2006 (-5.9%)
2005702 Mar 2005 (-0.99%), 31 May 2005 (1.75%), 21 Jul 2005 (1.44%), 05 Sep 2005 (15.0%), 11 Oct 2005 (-5.2%), 11 Nov 2005 (0.89%), 12 Dec 2005 (2.75%)
20041116 Feb 2004 (-6.19%), 29 Mar 2004 (4.22%), 21 May 2004 (-3.01%), 17 Jun 2004 (4.18%), 02 Aug 2004 (-1.14%), 03 Sep 2004 (-3.56%), 23 Sep 2004 (28.13%), 04 Nov 2004 (-4.34%), 17 Nov 2004 (-4.38%), 15 Dec 2004 (-3.91%), 16 Dec 2004 (36.54%)
2003719 Feb 2003 (-3.75%), 04 Apr 2003 (-0.49%), 24 Apr 2003 (3.96%), 25 Jun 2003 (21.29%), 29 Jul 2003 (-4.65%), 28 Aug 2003 (8.28%), 12 Nov 2003 (56.1%)
20021004 Jan 2002 (-4.57%), 09 Apr 2002 (-4.47%), 03 May 2002 (-1.92%), 14 Jun 2002 (-3.47%), 01 Jul 2002 (-1.16%), 22 Aug 2002 (-1.84%), 07 Oct 2002 (0.27%), 18 Nov 2002 (-3.09%), 03 Dec 2002 (-1.51%), 19 Dec 2002 (3.49%)
2001819 Jan 2001 (-4.29%), 22 Mar 2001 (-5.48%), 19 Jun 2001 (-5.26%), 12 Jul 2001 (-4.66%), 17 Jul 2001 (-3.72%), 27 Aug 2001 (-4.31%), 01 Oct 2001 (6.39%), 14 Nov 2001 (28.45%)
2000831 May 2000 (-5.84%), 20 Jun 2000 (-4.7%), 09 Aug 2000 (0.72%), 29 Sep 2000 (-3.19%), 05 Oct 2000 (-1.9%), 26 Oct 2000 (-3.24%), 02 Nov 2000 (-2.87%), 29 Nov 2000 (-3.21%)



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