Study: Sell GLENMARK when RSI is above 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell GLENMARK when RSI is above 50 and there is Bearish Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. buy 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
1-21648.6384414348.813466.6519987.78-3808.86-16076.950.910.87-0.011-257.72
26152.7584404447.625525.8131784.84-4883.63-18481.621.131.030.002373.25
3-58811.7984414348.814991.0917465.54-6126.66-21773.290.810.78-0.021-700.14
4-15611.684394546.437242.4922210.94-6623.75-23609.091.090.95-0.0048-185.85
53160784434151.197345.221093.86-6932.6-26883.841.061.110.009376.27
653634.5284523261.96756.1519169.15-9302.66-27207.150.731.180.014638.51
784369.2284513360.717927.5422089.82-9695.01-37581.590.821.260.0211004.4
810709184483657.149091.329523.23-9146.97-36619.720.991.330.0251274.9
983145.1684483657.149645.3727937.63-10550.91-50566.820.911.220.017989.82
1055680.5684473755.959466.3627889.41-10519.95-61971.830.91.140.011662.86
Although, strategy looks good but profit factor on day 3 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
atrnil38.8663294.9896286829.1722429.2641625.53-8304.77-18396.252.71.110.01659.32
atrtrail24.55-25759.796366037.58765.2927750.35-5688.5-11810.761.540.92-0.007-268.33
atrnil26.14-78332.496316532.2914961.9727750.35-8340.82-18396.251.790.86-0.016-815.96
atrtrail-15.65-69069.5596356136.467891.1627142.68-5660-11810.761.390.8-0.02-719.47
atrtrail35.18-76891.7896356136.467667.6732637.74-5660-11810.761.350.78-0.022-800.96

In the table above, row 1 shows the best exit criterion. Profit factor is 1.11. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 29.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.33%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.01, 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:1.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019108 Apr 2019 (7.54%)
2018629 Jan 2018 (6.95%), 30 Apr 2018 (7.51%), 28 Jun 2018 (-3.34%), 16 Aug 2018 (-2.52%), 17 Sep 2018 (9.38%), 21 Nov 2018 (-3.54%)
2017220 Feb 2017 (7.16%), 04 Aug 2017 (6.56%)
2016524 May 2016 (-2.33%), 31 May 2016 (7.16%), 02 Aug 2016 (-2.29%), 23 Aug 2016 (-2.46%), 03 Oct 2016 (-2.85%)
2015517 Mar 2015 (-3.32%), 27 Apr 2015 (-4.16%), 22 May 2015 (-3.72%), 22 Jul 2015 (7.93%), 01 Sep 2015 (15.61%)
2014711 Mar 2014 (-2.9%), 11 Apr 2014 (-2.86%), 21 Apr 2014 (-2.66%), 30 Jun 2014 (-2.56%), 27 Aug 2014 (-3.27%), 12 Sep 2014 (7.96%), 02 Dec 2014 (9.31%)
2013507 Jan 2013 (-3.18%), 08 Jan 2013 (9.41%), 07 Jun 2013 (9.84%), 26 Jul 2013 (8.77%), 22 Oct 2013 (9.41%)
2012818 May 2012 (-4.69%), 25 May 2012 (-4.56%), 12 Jun 2012 (-3.79%), 18 Jul 2012 (-3.09%), 22 Aug 2012 (-2.98%), 23 Aug 2012 (-2.95%), 06 Sep 2012 (-3.2%), 04 Dec 2012 (-3.34%)
2011502 May 2011 (8.69%), 17 Jun 2011 (-3.42%), 04 Jul 2011 (-3.63%), 05 Aug 2011 (-3.8%), 27 Sep 2011 (8.32%)
2010704 Jan 2010 (-3.72%), 07 Jan 2010 (-3.8%), 21 Apr 2010 (-3.17%), 12 May 2010 (-3.66%), 08 Sep 2010 (-2.92%), 14 Oct 2010 (-3.07%), 15 Nov 2010 (-4.03%)
2009729 Apr 2009 (-8.43%), 09 Jun 2009 (-9.2%), 03 Aug 2009 (-6.73%), 07 Aug 2009 (20.73%), 23 Oct 2009 (-3.9%), 01 Dec 2009 (-5.58%), 16 Dec 2009 (-4.71%)
2008203 Jan 2008 (15.41%), 12 May 2008 (-5.4%)
2007431 Jan 2007 (12.83%), 30 Apr 2007 (-4.73%), 07 Jun 2007 (-4.78%), 03 Oct 2007 (14.33%)
2006616 Jan 2006 (-4.1%), 21 Feb 2006 (-4.27%), 17 Mar 2006 (-3.57%), 25 Jul 2006 (-4.36%), 04 Sep 2006 (-4.4%), 29 Dec 2006 (-5.59%)
2005814 Jan 2005 (-6.85%), 08 Feb 2005 (-4.92%), 16 Mar 2005 (-5.38%), 19 Jul 2005 (-3.33%), 02 Aug 2005 (9.44%), 30 Sep 2005 (-5.91%), 14 Oct 2005 (16.32%), 08 Dec 2005 (-5.12%)
2004820 Jan 2004 (20.81%), 29 Apr 2004 (13.78%), 29 Jul 2004 (-4.05%), 27 Aug 2004 (-3.81%), 30 Aug 2004 (-3.7%), 08 Sep 2004 (-3.41%), 12 Oct 2004 (-5.17%), 14 Oct 2004 (-5.06%)
2003421 Jan 2003 (13.09%), 02 Jun 2003 (-2.63%), 11 Jul 2003 (-5.12%), 18 Sep 2003 (-7.37%)
2002130 Apr 2002 (-5.46%)
2001302 Nov 2001 (-5.22%), 05 Nov 2001 (-5.07%), 05 Dec 2001 (16.62%)
2000228 Jun 2000 (13.14%), 25 Sep 2000 (-3.24%)



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