Study: Buy GLENMARK when RSI is above 50 and 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 RSI is above 50 and 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
12902.4842172540.485418.8920033.96-3568.74-11102.671.521.030.002569.11
220423.3942162638.110914.8148423.65-5931.29-13646.511.841.130.0089486.27
359665.142192345.2411272.8366298.81-6718.2-18913.291.681.390.0221420.6
466813.9442182442.8612605.9371095.08-6670.53-16519.691.891.420.0231590.81
578955.74221215012541.9253692.7-8782.12-25984.711.431.430.0271879.9
691592.9842182442.8616289.3356154.5-8400.62-26719.581.941.450.0292180.79
711903742192345.2415846.4369396.05-7915-27307.4721.650.0362834.22
897080.942192345.2414936.7659639.95-8118.15-26131.691.841.520.0312311.45
914916242231954.7614209.9258404.07-9350.85-27836.571.521.840.0473551.47
1037523542192345.2428608.15241361-7318.26-25485.013.913.230.0518934.17
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
GLENMARK Performance, X=10, Profit Factor:3.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018124 May 2018 (1.01%)
2016225 Nov 2016 (-0.39%), 09 Dec 2016 (2.51%)
2015219 Mar 2015 (-0.59%), 21 Dec 2015 (0.62%)
2014328 Jan 2014 (-0.67%), 30 May 2014 (4.95%), 04 Sep 2014 (-3.31%)
2013309 Apr 2013 (-2.45%), 31 May 2013 (-3.13%), 02 Dec 2013 (-0.4%)
2012323 May 2012 (0.67%), 31 Oct 2012 (2.78%), 10 Dec 2012 (15.53%)
2011503 Mar 2011 (-10.75%), 17 May 2011 (1.02%), 27 Jun 2011 (-3.68%), 14 Jul 2011 (-1.58%), 25 Oct 2011 (9.51%)
2010310 Feb 2010 (-5.5%), 14 Sep 2010 (4.52%), 28 Sep 2010 (-0.03%)
2009121 May 2009 (26.97%)
2008114 Jul 2008 (4.9%)
2007222 Jan 2007 (-4.78%), 27 Aug 2007 (120.68%)
2006202 Feb 2006 (4.69%), 22 Dec 2006 (-6.77%)
2005221 Jul 2005 (-1.57%), 11 Oct 2005 (-12.74%)
2004403 Sep 2004 (-3.34%), 24 Sep 2004 (27.74%), 04 Nov 2004 (-1.0%), 15 Dec 2004 (3.81%)
2003325 Jun 2003 (10.83%), 29 Jul 2003 (-0.19%), 29 Aug 2003 (13.53%)
2002409 Apr 2002 (-4.4%), 03 May 2002 (-7.5%), 14 Jun 2002 (-7.39%), 18 Nov 2002 (-2.01%)
2001114 Nov 2001 (15.51%)

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-15.2573491.8848143429.1721647.4573085.9-6752.13-11804.153.211.320.0191531.08
atrnil37.64-3747.447113623.425479.9249297.27-7889.63-11804.153.230.99-0.0012-79.73
atrtrail34.6-33943.0148143429.1713973.5349297.27-6752.13-11804.152.070.85-0.013-707.15
atrtrail24.12-37668.7349143528.5714071.6832864.85-6704.92-11804.152.10.84-0.017-768.75
atrnil26.1-57526.248133527.0817029.4732864.85-7968.84-12147.922.140.79-0.024-1198.46

In the table above, row 1 shows the best exit criterion. Profit factor is 1.32. 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 29.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.77%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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:1.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018124 May 2018 (-1.55%)
2016225 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%)
2013309 Apr 2013 (-2.09%), 31 May 2013 (-1.49%), 02 Dec 2013 (0.16%)
2012323 May 2012 (-3.71%), 31 Oct 2012 (-1.23%), 10 Dec 2012 (15.95%)
2011703 Mar 2011 (-5.28%), 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%)
2009121 May 2009 (15.13%)
2008214 Jul 2008 (-5.75%), 18 Jul 2008 (0.43%)
2007322 Jan 2007 (-4.14%), 23 Jan 2007 (-2.1%), 27 Aug 2007 (-3.9%)
2006202 Feb 2006 (5.25%), 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%)
2003325 Jun 2003 (21.29%), 29 Jul 2003 (-4.65%), 29 Aug 2003 (1.65%)
2002409 Apr 2002 (-4.47%), 03 May 2002 (-1.92%), 14 Jun 2002 (-3.47%), 18 Nov 2002 (-3.09%)
2001114 Nov 2001 (28.45%)



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