Study: Buy GLENMARK when near 200 SMA and above 200 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy GLENMARK when near 200 SMA and above 200 SMA and RSI is above 50" 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
112258251312523213.6313118.02-2459.94-10711.991.311.420.027490.32
239223.39251510604542.8516228.07-2891.93-9076.331.572.360.0721568.94
358175.1525178685468.5819336.13-4348.85-13085.311.262.670.0822327.01
488462.1251510609012.925974.86-4673.14-11285.551.932.890.093538.48
593820.6525178688385.6625523.69-6091.94-9525.341.382.930.0893752.83
693305.05251510609044.0622494.36-4235.59-10166.772.143.20.0973732.2
7100760251510608856.121131.93-3208.12-9041.122.764.140.124030.41
863518.4425187725533.9115372.22-5155.98-9133.951.072.760.0942540.74
923693.87251312528624.432001.29-7368.62-30258.671.171.270.019947.75
1031074.2251411568700.9131582.34-8248.96-40158.671.051.340.0231242.97
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=7, Profit Factor:4.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018228 Jun 2018 (1.55%), 27 Jul 2018 (3.17%)
2017212 Apr 2017 (-1.0%), 28 Apr 2017 (-0.79%)
2016228 Jul 2016 (0.82%), 12 Aug 2016 (1.4%)
2014124 Feb 2014 (5.32%)
2013330 Sep 2013 (10.57%), 10 Dec 2013 (-2.69%), 27 Dec 2013 (-4.52%)
2012410 Jan 2012 (3.77%), 30 Jan 2012 (-3.83%), 23 Feb 2012 (-0.45%), 03 Apr 2012 (2.74%)
2011407 Jun 2011 (-1.1%), 23 Jun 2011 (-0.92%), 19 Jul 2011 (5.69%), 03 Nov 2011 (9.08%)
2009122 Jul 2009 (-0.4%)
2006304 Jul 2006 (1.36%), 18 Jul 2006 (-0.34%), 11 Aug 2006 (10.22%)
2004122 Jul 2004 (5.58%)
2003209 Jan 2003 (1.98%), 30 Apr 2003 (3.18%)

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
atrnil310.596068.32491537.521715.4638504.79-6624.72-14151.443.281.970.0624002.85
atrtrail35.0737917.9729131644.839273.0821578-5164.51-8727.331.81.460.0321307.52
atrnil2830921.932491537.514476.9725669.86-6624.72-14151.442.191.310.0271288.41
200nil32.3516745.03401228308381.8111380.78-2994.17-3981.722.81.20.018418.63
200trail32.0515338.9240132732.57301.911380.78-2947.62-3981.722.481.190.017383.47
atrtrail24.8312361.6529131644.837307.2114385.34-5164.51-8727.331.411.150.013426.26
200trail-12.828293.9339112828.217916.0116963.95-2813.65-3981.722.811.110.0085212.66
atrtrail-15.384482.6329131644.836701.1417900.99-5164.51-8727.331.31.050.0049154.57
200trail21.66-950.6741142734.155616.87587.19-2947.62-3981.721.910.99-0.0013-23.19
200nil21.68-2542.8341142734.155616.87587.19-3006.59-3981.721.870.97-0.0034-62.02

In the table above, row 1 shows the best exit criterion. Profit factor is 1.97. 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 37.5%, which is not acceptable. Avoid this strategy. Average return per trade is 2%, which is very good. Sharpe Ratio is 0.062, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GLENMARK Performance, Profit Factor:1.97

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018228 Jun 2018 (-3.34%), 27 Jul 2018 (8.24%)
2017112 Apr 2017 (-2.07%)
2016328 Jul 2016 (-2.22%), 10 Aug 2016 (-2.42%), 12 Aug 2016 (8.06%)
2014124 Feb 2014 (7.44%)
2013330 Sep 2013 (10.0%), 10 Dec 2013 (-2.83%), 27 Dec 2013 (-2.48%)
2012410 Jan 2012 (-3.69%), 23 Feb 2012 (-2.96%), 01 Mar 2012 (-3.06%), 03 Apr 2012 (-2.73%)
2011407 Jun 2011 (-3.52%), 23 Jun 2011 (-3.75%), 19 Jul 2011 (10.79%), 03 Nov 2011 (8.95%)
2009122 Jul 2009 (-7.08%)
2006104 Jul 2006 (19.25%)
2004122 Jul 2004 (14.87%)
2003309 Jan 2003 (10.11%), 21 Jan 2003 (-4.36%), 30 Apr 2003 (-3.18%)



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