Study: Sell SUZLON when there is Bearish Crossover in MACD

home > technical-strategy > suzlon > 25

In this study, we evaluate the performance of strategy "Sell SUZLON when 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 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
1132911106644260.385574.7320859.99-5330.29-21459.891.051.590.0481253.87
2195879106664062.267963.6437346.44-8243.02-25095.060.971.590.0471847.92
3249471106594755.6611062.0545208.85-8578.51-53481.891.291.620.0482353.5
4355415106614557.5513378.4152579.85-10237.07-47019.51.311.770.0583352.97
5268582105594656.1913115.9362138.73-10983.86-81559.891.191.530.0412557.92
6329358105584755.2415078.8276589.6-11600.29-1050701.31.60.0433136.74
7435579105644160.9515222.6173218.67-13138.24-91922.011.161.810.0564148.38
8299763105604557.1415718.2673410.4-14296.28-71420.611.11.470.0382854.88
9365270105604557.1416719.3365028.9-14175.33-79554.321.181.570.0463478.76
10365846105604557.1418502.1471098.27-16539.61-75431.751.121.490.0413484.25

From the table above, we see that best results are achieved by holding positions for 7 trading days. Profit factor is 1.81. 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 60.95%, which is good. Average return per trade is 2.07%, which is very good. Sharpe Ratio is 0.056, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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
nilnil-17435579105644160.9515222.6173218.67-13138.24-91922.011.161.810.0564148.38
atrtrail-15.19217837122536943.4413932.7381285.67-7544.89-16723.851.851.420.0331785.55
atrtrail24.05199574126557143.6513480.8334207.83-7632-16723.851.771.370.0361583.92
atrtrail34.61184275122536943.4413299.4844614.9-7544.89-16723.851.761.350.0321510.45
atrnil25.89230524122497340.1619781.8354588.63-10120.35-16723.851.951.310.0331889.54
atrnil39.3898954.29112328028.5728884.3356550.41-10316.8-27294.312.81.120.013883.52

In the table above, row 1 shows the best exit criterion. Profit factor is 1.81. 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 60.95%, which is good. Average return per trade is 2.07%, which is very good. Sharpe Ratio is 0.056, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SUZLON Performance, X=7, Profit Factor:1.81

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019316 Jan 2019 (4.72%), 20 Mar 2019 (10.14%), 22 Apr 2019 (0.74%)
2018816 Jan 2018 (4.26%), 06 Mar 2018 (4.51%), 24 Apr 2018 (6.22%), 04 Jun 2018 (-1.88%), 07 Aug 2018 (-1.4%), 04 Sep 2018 (-1.45%), 24 Sep 2018 (12.31%), 14 Nov 2018 (6.9%)
2017902 Feb 2017 (-12.11%), 16 Feb 2017 (-5.85%), 03 Mar 2017 (4.76%), 29 Mar 2017 (-6.03%), 21 Apr 2017 (-3.79%), 15 May 2017 (3.83%), 02 Aug 2017 (17.34%), 26 Sep 2017 (4.95%), 08 Nov 2017 (11.61%)
2016812 Jan 2016 (10.39%), 28 Apr 2016 (-3.17%), 24 May 2016 (-5.08%), 23 Jun 2016 (-1.47%), 19 Jul 2016 (3.9%), 20 Sep 2016 (8.81%), 09 Nov 2016 (1.76%), 15 Dec 2016 (5.21%)
2015927 Jan 2015 (-11.8%), 05 Mar 2015 (-0.57%), 02 Jun 2015 (7.21%), 22 Jul 2015 (0.68%), 18 Aug 2015 (6.11%), 23 Sep 2015 (-9.61%), 28 Oct 2015 (7.3%), 08 Dec 2015 (1.17%), 23 Dec 2015 (-9.64%)
2014715 Jan 2014 (2.71%), 14 Feb 2014 (6.39%), 13 Mar 2014 (1.0%), 30 Apr 2014 (-7.66%), 17 Jun 2014 (2.88%), 19 Sep 2014 (36.61%), 02 Dec 2014 (-9.13%)
2013517 Jan 2013 (-10.82%), 13 Feb 2013 (-1.31%), 23 May 2013 (20.6%), 25 Jul 2013 (11.04%), 07 Nov 2013 (-3.13%)
2012914 Feb 2012 (2.9%), 16 Mar 2012 (3.0%), 09 May 2012 (1.95%), 01 Jun 2012 (-1.42%), 18 Jul 2012 (5.51%), 08 Aug 2012 (3.72%), 09 Oct 2012 (8.16%), 12 Nov 2012 (0.33%), 18 Dec 2012 (-4.59%)
2011910 Jan 2011 (-4.75%), 25 Jan 2011 (6.97%), 22 Feb 2011 (-3.93%), 17 Mar 2011 (3.71%), 29 Apr 2011 (5.74%), 17 Jun 2011 (5.46%), 05 Aug 2011 (23.66%), 30 Sep 2011 (-4.39%), 11 Nov 2011 (36.27%)
2010714 Jan 2010 (16.61%), 19 Feb 2010 (-5.16%), 23 Mar 2010 (0.2%), 16 Apr 2010 (1.68%), 12 May 2010 (12.26%), 27 Jul 2010 (4.4%), 20 Oct 2010 (3.4%)
2009712 Jan 2009 (0.7%), 24 Feb 2009 (10.05%), 27 May 2009 (-45.96%), 12 Jun 2009 (10.01%), 06 Aug 2009 (7.68%), 23 Sep 2009 (7.88%), 21 Dec 2009 (-11.06%)
2008616 Jan 2008 (14.55%), 29 Feb 2008 (3.86%), 28 Apr 2008 (-0.31%), 29 May 2008 (4.85%), 21 Aug 2008 (3.92%), 15 Sep 2008 (7.38%)
20071010 Jan 2007 (-5.13%), 29 Jan 2007 (-3.86%), 13 Feb 2007 (4.61%), 15 May 2007 (-1.47%), 13 Jun 2007 (-6.38%), 17 Aug 2007 (-5.51%), 19 Oct 2007 (-26.22%), 06 Nov 2007 (-5.31%), 21 Nov 2007 (0.71%), 17 Dec 2007 (-4.02%)
2006814 Feb 2006 (5.09%), 29 Mar 2006 (-0.34%), 15 May 2006 (17.9%), 17 Jul 2006 (-11.76%), 25 Aug 2006 (-1.89%), 27 Oct 2006 (-5.17%), 17 Nov 2006 (-4.81%), 01 Dec 2006 (15.94%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play