Study: Buy GLENMARK when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy GLENMARK when near 200 SMA and above 200 SMA" 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
123220.8947242351.063442.1213118.02-2582.17-10711.991.331.390.028494.06
261155.8847272057.454653.2216228.07-3224.06-9076.331.441.950.0571301.19
344105.6247281959.575168.3219336.13-5295.13-13085.310.981.440.032938.42
493720.3847272057.458288.6325974.86-6503.64-36885.771.271.720.0441994.05
592156.6147291861.78044.0925523.69-7840.11-22112.321.031.650.0431960.78
672008.2147272057.458686.822494.36-8126.77-33918.321.071.440.0321532.09
759628.3547262155.328484.8521131.93-7665.61-41735.81.111.370.0261268.69
8-17074.9747272057.456151.419548.02-9158.13-49298.020.670.91-0.0074-363.3
9-58200.0247242351.068031.8532001.29-10911.5-47925.970.740.77-0.021-1238.3
1017201.5447262155.329067.5331582.34-10407.35-40158.670.871.080.0063365.99
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
200trail32.289623.94702842407421.8311700-2813.98-3981.722.641.760.0541280.34
200trail21.7166306.5972314143.065934.867842.39-2870.1-3981.722.071.560.047920.92
200trail-13.2562865.4868254336.767142.5619602.95-2690.66-3981.722.651.540.036924.49
200nil21.7261312.2572314143.065934.867842.39-2991.91-3981.721.981.50.043851.56
200nil32.4362962.5267234434.338489.8711700-3006.92-3981.722.821.480.038939.74
atrnil310.4886959.4742132930.9522442.1538504.79-7061.67-16570.043.181.420.0332070.46
atrtrail35.0925913.4655233241.828255.2221578-5123.65-12350.641.611.160.013471.15
atrtrail24.624590.6555233241.828197.7122629.2-5123.65-12350.641.61.150.013447.1
atrnil27.7221108.6243152834.8814625.8825669.86-7081.41-16570.042.071.110.01490.9
atrtrail-15.33-20665.0555233241.826230.0717900.99-5123.65-12350.641.220.87-0.013-375.73

In the table above, row 1 shows the best exit criterion. Profit factor is 1.76. 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 40%, which is not acceptable. Avoid this strategy. Average return per trade is 0.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.054, 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:1.76

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019308 Feb 2019 (-1.39%), 03 May 2019 (-1.34%), 07 May 2019 (-1.52%)
2018228 Jun 2018 (3.26%), 26 Jul 2018 (3.09%)
2017509 Mar 2017 (-0.26%), 17 Mar 2017 (-0.83%), 12 Apr 2017 (0.29%), 25 Apr 2017 (-1.73%), 28 Apr 2017 (-1.19%)
2016428 Jul 2016 (-1.02%), 10 Aug 2016 (-1.74%), 12 Aug 2016 (1.13%), 31 Aug 2016 (5.82%)
2015313 Nov 2015 (4.39%), 26 Nov 2015 (1.98%), 03 Dec 2015 (-1.41%)
2014324 Feb 2014 (3.76%), 14 Mar 2014 (3.69%), 28 Mar 2014 (5.6%)
2013610 Sep 2013 (3.7%), 17 Sep 2013 (-1.12%), 30 Sep 2013 (4.37%), 29 Oct 2013 (4.09%), 10 Dec 2013 (-1.56%), 27 Dec 2013 (-1.4%)
2012710 Jan 2012 (-1.5%), 18 Jan 2012 (3.45%), 30 Jan 2012 (-1.99%), 23 Feb 2012 (-1.33%), 28 Feb 2012 (-1.38%), 01 Mar 2012 (-1.18%), 03 Apr 2012 (-1.01%)
20111107 Jun 2011 (-1.59%), 10 Jun 2011 (3.22%), 14 Jun 2011 (-1.53%), 23 Jun 2011 (-1.93%), 29 Jun 2011 (-1.14%), 19 Jul 2011 (-1.36%), 19 Aug 2011 (0.48%), 03 Oct 2011 (-1.18%), 03 Nov 2011 (5.6%), 12 Dec 2011 (-1.28%), 14 Dec 2011 (-1.25%)
2010211 Mar 2010 (-1.93%), 17 Aug 2010 (5.85%)
2009322 Jul 2009 (4.05%), 11 Sep 2009 (-1.65%), 17 Sep 2009 (4.29%)
2007217 Aug 2007 (3.56%), 20 Aug 2007 (-1.67%)
20061013 Apr 2006 (5.11%), 26 Apr 2006 (4.64%), 02 Jun 2006 (4.37%), 04 Jul 2006 (-1.86%), 06 Jul 2006 (-1.59%), 18 Jul 2006 (-1.6%), 20 Jul 2006 (-1.66%), 24 Jul 2006 (-1.36%), 27 Jul 2006 (-1.36%), 11 Aug 2006 (3.02%)
2004122 Jul 2004 (5.69%)
2003509 Jan 2003 (-1.58%), 10 Jan 2003 (4.57%), 21 Jan 2003 (-1.61%), 30 Apr 2003 (-1.55%), 02 May 2003 (-1.03%)
2002305 Aug 2002 (0.83%), 22 Aug 2002 (-1.3%), 29 Aug 2002 (-1.17%)



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