Study: Buy GLENMARK when there is bullish divergence in RSI

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In this study, we evaluate the performance of strategy "Buy GLENMARK when there is bullish divergence in RSI" 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
11630.61178947.066185.8122162.37-5317.32-18845.341.161.030.002695.92
220382.441710758.826053.8418314.74-5736.56-17499.111.061.510.0351198.97
331177.341711664.719737.4421392.84-12655.74-36273.470.771.410.031833.96
454874.81711664.7111739.2438771.96-12376.14-30816.940.951.740.0463227.93
544692.351711664.7112041.9436068.74-14628.17-40972.960.821.510.0342628.96
618603.731710758.8212390.7432786.25-15043.38-61091.190.821.180.0131094.34
727504.721710758.821322735682.56-14966.47-61943.990.881.260.0181617.92
862361.731712570.5911570.4736068.74-15296.78-37600.540.761.820.0513668.34
91039371710758.8216308.9759702.65-8450.36-20899.751.932.760.0796113.95
1068671.841710758.8215778.6243212.98-12730.62-27114.191.241.770.0524039.52
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=9, Profit Factor:2.76

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019410 Jun 2019 (-6.25%), 08 Jul 2019 (-0.85%), 22 Jul 2019 (-0.6%), 15 Oct 2019 (7.92%)
2018122 Feb 2018 (5.62%)
2017329 May 2017 (6.03%), 21 Aug 2017 (1.17%), 13 Dec 2017 (9.72%)
2016127 Jan 2016 (-0.37%)
2011118 Oct 2011 (7.66%)
2009106 Feb 2009 (6.58%)
2008229 Sep 2008 (-6.47%), 27 Oct 2008 (29.85%)
2003203 Nov 2003 (-4.59%), 15 Nov 2003 (4.39%)
2002114 Aug 2002 (2.61%)
2001108 Mar 2001 (-10.45%)

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
atrtrail27.9517649521111052.3823212.56125516-7884.27-15619.762.943.240.0668404.55
atrtrail38.7615984521111052.3821698.89111816-7884.27-15619.762.753.030.0657611.67
atrtrail-18.9514747621111052.3820574.38111816-7884.27-15619.762.612.870.0617022.64
atrnil315.95197966206143060760.56188275-11899.83-41251.635.112.190.0469898.29
atrnil213131028208124034928.88125516-12366.93-41251.632.821.880.0436551.39

In the table above, row 1 shows the best exit criterion. Profit factor is 3.24. Strategy is very good and impressively bullish. Percentage of profitable trades is 52.38%, which is not acceptable. Avoid this strategy. Average return per trade is 4.2%, which is very good. Sharpe Ratio is 0.066, 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:3.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019710 Jun 2019 (-3.04%), 21 Jun 2019 (-3.19%), 08 Jul 2019 (0.76%), 19 Jul 2019 (-3.06%), 23 Jul 2019 (-1.94%), 30 Jul 2019 (-1.46%), 15 Oct 2019 (9.53%)
2018122 Feb 2018 (5.64%)
2017329 May 2017 (3.35%), 21 Aug 2017 (1.83%), 13 Dec 2017 (-1.16%)
2016127 Jan 2016 (8.66%)
2011118 Oct 2011 (7.08%)
2009106 Feb 2009 (11.03%)
2008229 Sep 2008 (-7.67%), 27 Oct 2008 (15.67%)
2003103 Nov 2003 (62.76%)
2002114 Aug 2002 (1.35%)
2001308 Mar 2001 (-6.96%), 12 Mar 2001 (-7.81%), 20 Mar 2001 (-3.13%)



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