Study: Buy GLENMARK when RSI is below 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy GLENMARK when RSI is below 50 and there is Bullish Crossover in MACD" 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
126896.0948262254.173657.5420022.9-3099.99-10989.011.181.390.024560.34
224250.75482424504495.4922845.49-3485.04-89481.291.290.022505.22
334480.4448232547.925645.821364.31-3814.92-10442.771.481.360.028718.34
46451.5348272156.254918.3614742.83-6016.4-15629.580.821.050.0046134.41
5-11817.8848272156.255877.1317725.62-8119.07-31927.710.720.93-0.006-246.21
6-88897.748212743.757208.3421616.5-8898.99-65538.010.810.63-0.033-1852.04
7-91769.0648202841.679720.2522005.52-10220.5-92417.950.950.68-0.026-1911.86
8-11939848202841.6710552.4227525.3-11801.66-1025550.890.64-0.03-2487.46
9-81266.648192939.5811156.4730027.6-10111.71-92791.861.10.72-0.022-1693.05
10-76008.7748212743.7511258.0531720.33-11571.4-82737.850.970.76-0.021-1583.52

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.39. 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 54.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, which is low, don't trade solely on the basis of this study.

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
atrtrail37.561299155022284413534.81121460-5994.67-10950.752.261.770.0312598.3
atrtrail26.581257155022284413343.980973.49-5994.67-10950.752.231.750.0382514.3
atrtrail-18.041132575022284412777.62112193-5994.67-10950.752.131.670.0292265.14
atrnil312.561423295015353032025.78121460-9658.78-27918.353.321.420.0272846.59
nilnil-1126896.0948262254.173657.5420022.9-3099.99-10989.011.181.390.024560.34
atrnil28.491516.385020304019656.7680973.49-10053.96-27918.351.961.30.0231830.33

In the table above, row 1 shows the best exit criterion. Profit factor is 1.77. 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 44%, which is not acceptable. Avoid this strategy. Average return per trade is 1.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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:1.77

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019504 Feb 2019 (-2.86%), 27 Feb 2019 (10.1%), 17 Jun 2019 (-1.63%), 09 Jul 2019 (-2.07%), 28 Aug 2019 (-0.59%)
2018228 Feb 2018 (0.54%), 23 Oct 2018 (-2.15%)
2017610 Apr 2017 (2.36%), 02 Jun 2017 (-3.22%), 01 Sep 2017 (-2.83%), 14 Sep 2017 (1.26%), 24 Nov 2017 (-2.11%), 19 Dec 2017 (6.38%)
2016308 Feb 2016 (-4.42%), 16 Feb 2016 (1.76%), 27 Jun 2016 (8.0%)
2015221 Jan 2015 (-1.83%), 01 Oct 2015 (-1.89%)
2014102 Jun 2014 (5.9%)
2013411 Mar 2013 (-2.86%), 06 Sep 2013 (-1.39%), 27 Sep 2013 (10.4%), 29 Nov 2013 (1.36%)
2012102 Jan 2012 (5.4%)
2011216 Feb 2011 (-4.56%), 21 Mar 2011 (8.07%)
2010211 Feb 2010 (-2.23%), 02 Mar 2010 (-2.63%)
2009211 Feb 2009 (0.3%), 07 Sep 2009 (-4.91%)
2008418 Feb 2008 (-2.1%), 16 Oct 2008 (-5.46%), 07 Nov 2008 (-2.0%), 15 Dec 2008 (1.86%)
2006122 Jun 2006 (11.33%)
2005231 May 2005 (1.75%), 14 Nov 2005 (2.25%)
2004117 Jun 2004 (4.18%)
2003224 Apr 2003 (3.96%), 12 Nov 2003 (60.73%)
2002222 Aug 2002 (-1.84%), 07 Oct 2002 (0.27%)
2001519 Jan 2001 (-4.29%), 22 Mar 2001 (-5.48%), 19 Jun 2001 (-5.26%), 12 Jul 2001 (-4.66%), 17 Jul 2001 (-3.72%)
2000309 Aug 2000 (0.72%), 27 Oct 2000 (-1.74%), 29 Nov 2000 (-3.21%)



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