Study: Sell SUZLON when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell SUZLON when RSI is below 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 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
115452973452861.646189.9920859.99-4429.3-21459.891.42.250.0792116.84
224864273512269.868154.7537346.44-7602.26-25095.061.072.490.0873406.06
329878473442960.2711796.8845208.85-7595.82-42851.231.552.360.0854092.93
438417373452861.6414272.8252579.85-9217.99-45265.471.552.490.0925262.65
533366872442861.1113748.6862138.73-9688.35-48367.681.422.230.0774634.28
638252672423058.3315892.0176589.6-9497.94-54502.021.672.340.0785312.86
750974772492368.0615608.3773218.67-11089.7-52438.131.4130.17079.82
839186072452762.516704.5173410.4-13327.51-51431.671.252.090.0725442.5
945339572442861.1117647.6265028.9-11539.3-51074.941.532.40.0886297.15
1052496072472565.2819214.8371098.27-15125.49-51055.831.272.390.0897291.11

From the table above, we see that best results are achieved by holding positions for 7 trading days. Profit factor is 3. 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 68.06%, which is good. Average return per trade is 3.54%, which is very good.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
SUZLON Performance, X=7, Profit Factor:3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019116 Jan 2019 (4.72%)
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%)
2017503 Feb 2017 (-7.55%), 15 May 2017 (3.83%), 02 Aug 2017 (17.34%), 26 Sep 2017 (4.95%), 08 Nov 2017 (11.61%)
2016612 Jan 2016 (10.39%), 28 Apr 2016 (-3.17%), 24 May 2016 (-5.08%), 20 Sep 2016 (8.81%), 09 Nov 2016 (1.76%), 15 Dec 2016 (5.21%)
2015702 Jun 2015 (7.21%), 22 Jul 2015 (0.68%), 24 Aug 2015 (-0.7%), 23 Sep 2015 (-9.61%), 03 Nov 2015 (2.83%), 08 Dec 2015 (1.17%), 23 Dec 2015 (-9.64%)
2014417 Feb 2014 (1.91%), 13 Mar 2014 (1.0%), 19 Sep 2014 (36.61%), 02 Dec 2014 (-9.13%)
2013223 May 2013 (20.6%), 25 Jul 2013 (11.04%)
2012719 Mar 2012 (1.65%), 09 May 2012 (1.95%), 01 Jun 2012 (-1.42%), 18 Jul 2012 (5.51%), 08 Aug 2012 (3.72%), 10 Oct 2012 (5.44%), 12 Nov 2012 (0.33%)
2011810 Jan 2011 (-4.75%), 25 Jan 2011 (6.97%), 22 Feb 2011 (-3.93%), 17 Mar 2011 (3.71%), 17 Jun 2011 (5.46%), 05 Aug 2011 (23.66%), 30 Sep 2011 (-4.39%), 11 Nov 2011 (36.27%)
2010519 Feb 2010 (-5.16%), 23 Mar 2010 (0.2%), 16 Apr 2010 (1.68%), 12 May 2010 (12.26%), 28 Jul 2010 (4.36%)
2009412 Jan 2009 (0.7%), 24 Feb 2009 (10.05%), 06 Aug 2009 (7.68%), 23 Sep 2009 (7.88%)
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%)
2007710 Jan 2007 (-5.13%), 29 Jan 2007 (-3.86%), 13 Feb 2007 (4.61%), 15 May 2007 (-1.47%), 17 Aug 2007 (-5.51%), 19 Oct 2007 (-26.22%), 17 Dec 2007 (-4.02%)
2006215 May 2006 (17.9%), 17 Jul 2006 (-11.76%)

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-1750974772492368.0615608.3773218.67-11089.7-52438.131.4130.17079.82
atrtrail-15.832651697839395014331.4181285.67-7532.19-16524.091.91.90.0583399.61
atrtrail35.032297187839395013422.441052.18-7532.19-16524.091.781.780.0612945.11
atrtrail24.4422652681414050.6212879.734207.83-7538.55-16524.091.711.750.0632796.62
atrnil26.4420390078344443.5919199.2354588.63-10201.67-16168.371.881.450.0462614.11
atrnil310.411768270234732.8626847.9841052.18-10634.51-27294.312.521.240.0251681.16

In the table above, row 1 shows the best exit criterion. Profit factor is 3. 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 68.06%, which is good. Average return per trade is 3.54%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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