Study: Buy GLENMARK when there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy GLENMARK when there is Bullish 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: 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
131951.7668323647.064873.2820033.96-3444.25-11102.671.411.260.017469.88
252400.3768313745.598086.4448423.65-5358.9-13646.511.511.260.017770.59
3107158683434508906.0166298.81-5754.31-18913.291.551.550.0291575.85
4101425683434509129.7771095.08-6146.69-16519.691.491.490.0261491.54
589296.9668383055.889583.2453692.7-9162.21-31927.711.051.320.0211313.19
63408.0268303844.1212312.3456154.5-9630.58-65538.011.281.010.0006850.12
745439.1568303844.1213968.9369396.05-9832.34-92417.951.421.120.0079668.22
8-1142.0568313745.5913359.4659639.95-11223.93-1025551.191-0.00019-16.79
91024716834345013741.0858404.07-10727.23-92791.861.281.280.0181506.93
1034333068313745.5922616.43241361-9669.7-82737.852.341.960.0335048.98
Although, strategy looks good but profit factor on day 8 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-16.8322013075284737.3318902.14112193-6577.24-11804.152.871.710.0342935.06
atrtrail36.1312523775284737.3315513.11121460-6577.24-11804.152.361.410.0211669.83
atrtrail25.4198327.2576284836.8414734.1980973.49-6546.46-11804.152.251.310.0211293.78
atrnil39.7711977774205427.0330453.75121460-9061.08-27918.353.361.240.0171618.61
atrnil27.13-7973.97524513219347.1480973.49-9260.89-27918.352.090.98-0.0015-106.32

In the table above, row 1 shows the best exit criterion. Profit factor is 1.71. 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 37.33%, which is not acceptable. Avoid this strategy. Average return per trade is 1.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, 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:1.71

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019527 Feb 2019 (8.28%), 17 Jun 2019 (-1.63%), 09 Jul 2019 (-2.07%), 28 Aug 2019 (-0.59%), 18 Oct 2019 (2.16%)
2018228 Feb 2018 (0.54%), 24 May 2018 (-1.55%)
2017402 Jun 2017 (-3.22%), 01 Sep 2017 (-2.83%), 14 Sep 2017 (1.26%), 19 Dec 2017 (7.72%)
2016508 Feb 2016 (-4.42%), 16 Feb 2016 (1.76%), 27 Jun 2016 (6.84%), 25 Nov 2016 (-3.75%), 08 Dec 2016 (2.67%)
2015219 Mar 2015 (-3.17%), 21 Dec 2015 (-0.89%)
2014328 Jan 2014 (-2.28%), 30 May 2014 (3.43%), 04 Sep 2014 (-1.81%)
2013409 Apr 2013 (-2.09%), 31 May 2013 (-1.49%), 06 Sep 2013 (-1.39%), 29 Nov 2013 (1.36%)
2012402 Jan 2012 (5.4%), 23 May 2012 (-3.71%), 31 Oct 2012 (-1.23%), 10 Dec 2012 (15.95%)
2011916 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%), 27 Jul 2011 (-3.38%), 25 Oct 2011 (2.69%)
2010310 Feb 2010 (-3.95%), 14 Sep 2010 (-2.65%), 28 Sep 2010 (-2.86%)
2009211 Feb 2009 (0.3%), 21 May 2009 (15.13%)
2008514 Jul 2008 (-5.75%), 18 Jul 2008 (0.43%), 16 Oct 2008 (-5.46%), 07 Nov 2008 (-2.0%), 15 Dec 2008 (1.86%)
2007322 Jan 2007 (-4.14%), 23 Jan 2007 (-2.1%), 27 Aug 2007 (-3.9%)
2006302 Feb 2006 (5.25%), 22 Jun 2006 (11.33%), 22 Dec 2006 (-5.9%)
2005221 Jul 2005 (1.44%), 11 Oct 2005 (-5.2%)
2004603 Sep 2004 (-3.56%), 24 Sep 2004 (16.47%), 04 Nov 2004 (-4.34%), 17 Nov 2004 (-4.38%), 15 Dec 2004 (-3.91%), 16 Dec 2004 (36.54%)
2003425 Jun 2003 (21.29%), 29 Jul 2003 (-4.65%), 29 Aug 2003 (1.65%), 12 Nov 2003 (56.1%)
2002609 Apr 2002 (-4.47%), 03 May 2002 (-1.92%), 14 Jun 2002 (-3.47%), 22 Aug 2002 (-1.84%), 07 Oct 2002 (0.27%), 18 Nov 2002 (-3.09%)
2001319 Jan 2001 (-4.29%), 22 Mar 2001 (-5.48%), 14 Nov 2001 (28.45%)



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