Study: Sell SUZLON when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50

home > technical-strategy > suzlon > 18

In this study, we evaluate the performance of strategy "Sell SUZLON when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell SUZLON 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
1-15393.371596603518.969848.48-7844.01-33795.010.450.67-0.029-1026.22
2-7121.01157846.677266.119128.79-7247.96-38227.1510.88-0.011-474.73
3-8313.171569409240.3922062-7083.95-332411.30.87-0.013-554.21
4-24346.5157846.678193.9918181.82-10213.05-34903.050.80.7-0.035-1623.1
5-60390.35157846.678562.8315331.01-15041.27-72022.160.570.5-0.054-4026.02
6-78949.02157846.678216.3717808.22-17057.95-78670.360.480.42-0.065-5263.27
7-41277.471596608493.3124657.53-19619.54-73130.190.430.65-0.034-2751.83
8-18244.571510566.678883.821232.88-21416.51-82548.480.410.83-0.014-1216.3
9-775.171510566.6712148.5736236.93-24452.17-96398.890.50.99-0.0005-51.68
1071750.45151238014322.7752264.81-33374.25-82548.480.431.720.0484783.36
Although, strategy looks good but profit factor on day 6 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
atrnil29.3970067.181871138.8923525.1752396.4-8600.82-11639.952.741.740.0613892.62
50trail-13.0439857.92862221.4317503.4665567.94-2961.95-3901.955.911.610.0291423.5
atrtrail-16.0516196.382191242.8611023.2844320.54-6917.76-11639.951.591.20.017771.26
atrtrail257693.812191242.8610078.5521569.8-6917.76-11639.951.461.090.01366.37
atrtrail35.71754.792191242.869307.5522251.47-6917.76-11639.951.351.010.00135.94
atrnil312.76-16998.171741323.5327697.2332761.35-9829.78-26198.22.820.87-0.016-999.89
50trail31.89-19076.022862221.437681.1411510.62-2961.95-3901.952.590.71-0.04-681.29
50trail21.59-22847.612972224.146152.167673.75-2996.03-3901.952.050.65-0.054-787.85
50nil31.89-25770.132852317.869140.6711510.62-3107.54-3911.262.940.64-0.053-920.36
50nil21.59-25376.532972224.146152.167673.75-3110.98-3911.261.980.63-0.06-875.05

In the table above, row 1 shows the best exit criterion. Profit factor is 1.74. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 38.89%, which is not acceptable. Avoid this strategy. Average return per trade is 1.95%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.061, 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.
SUZLON Performance, Profit Factor:1.74

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018125 Jan 2018 (7.81%)
2016302 Aug 2016 (-3.11%), 05 Aug 2016 (6.98%), 05 Dec 2016 (-3.84%)
2015111 Nov 2015 (-4.64%)
2013224 Jan 2013 (-4.75%), 20 May 2013 (7.42%)
2011417 Jan 2011 (10.92%), 05 May 2011 (-5.01%), 25 May 2011 (-4.62%), 03 Jun 2011 (-4.17%)
2010202 Aug 2010 (-2.95%), 11 Aug 2010 (-2.81%)
2009109 Jan 2009 (26.2%)
2008428 Apr 2008 (-5.82%), 30 May 2008 (10.78%), 06 Jun 2008 (12.23%), 29 Aug 2008 (-5.58%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play